Christos Alexakis

Stock market prices, 'causality' and efficiency: evidence from the Athens stock exchange

During the last few years there has been growing evidence against the Efficient Market Hypothesis. In this study we investigate the hypothesis using stock prices of common and preferred stocks from the Athens Stock Exchange. In Greece, preferred shares are regarded as part of the equity capital of the Greek companies and they are not considered as part of the borrowed funds. Under the Efficient Market Hypothesis their price behaviour, as far as the speed of adjustment to news is concerned, should be the same. However, our empirical evidence contradicts the above proposition. It seems that in the Greek market there are factors, other than news, which influence the price behaviour of the two categories of stocks.

Islamic finance: regulatory framework – challenges lying ahead

Purpose - The purpose of this paper is to provide an overview of the regulatory framework and key regulatory institutions and industry associations in Islamic finance today and highlight areas that merit increased attention. Design/methodology/approach - A wide range of bibliography was reviewed, with particular focus on the standards published by the Islamic Financial Services Board and the Accounting and Auditing Organization for Islamic Financial Institutions. Regulatory topics of particular interest in the Islamic financial world are reviewed. An overview of the main Islamic regulatory institutions is provided. The paper ends with a set of hypotheses requiring further research. Findings - The paper finds that the growth of the Islamic finance sector may be impacted by the: increased involvement in Islamic finance by Western regulators, as well as credit rating agencies; existence of sound accounting procedures; increased protection of stakeholders of Islamic Financial Institutions. Originality/value - This paper provides useful information on the current status of the regulatory framework in Islamic finance and highlights areas for further research for academics and professionals alike.

Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market

This article examines the predictability of stock returns in the Athens Stock Exchange (ASE) during 1993 to 2006 by using accounting information. Using panel data analysis, this article concludes that the selected set of financial ratios contains significant information for predicting the cross-section of stock returns. Results indicate that portfolios selected on the basis of financial ratios produce higher than average returns, suggesting that the emerging Greek market does not fully incorporate accounting information into stock prices and hence it is not semi-strong efficient.

An empirical investigation of the visible effects of corporate governance: the case of Greece

Purpose – To attempt to relate the mean returns and price volatility of a selected sample of 30 companies listed in Athens stock exchange (ATHEX), to the introduction of the legal framework concerning corporate governance. Design/methodology/approach - The essence of this approach is segmenting our whole sample into three subsamples with their key dates being the actual dates on which two legal frameworks related to the corporate governance has been introduced, we perform mean and variance equality tests to assess whether stock market returns and price volatility change, in a statistically significant way, in the three sub-periods. Findings - From our empirical study, it can be concluded that the volatility has been altered both during the sample periods used and the companies for which our methodology has been implemented. Research limitations/implications - Our empirical research can be further extended including a larger sample of companies in order to draw more safe conclusions. In addition, and although our argument for high liquidity for selecting our sample of companies is rational, we believe that our research can be further enriched by first constructing a ranking for all listed companies based on various corporate governance measures. Practical implications - One of the reasons that may have impacted on the volatility may be the introduction of corporate governance; however, other factors may have also resulted to lower volatility, argument that can be further researched in future studies. Originality/value - This paper provides evidence on the relation between volatility and corporate governance. The implication is that the volatility has been altered during the period under investigation.

Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange

In this article, we investigate the possibility that stock market microstructure characteristics might affect price formation and volatility in the Athens Stock Exchange (ATHEX). We conclude that alterations in the structure and the duration of the trading session do not affect volatility or increase informational efficiency. In addition, statistical evidence is provided that the continuous trading system seems more efficient than the system of trading sessions with halts.

A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency

ABSTRACT We use ultra high frequency (trade by trade) data to demonstrate that equity price clustering and pricing predictability around psychologically important prices in Greece switches away from drachma-focused with the introduction of the euro, but does not immediately switch to euro-clustering. The change in trader price focus around the euro introduction addresses an open debate in the clustering literature on whether the presence of clustering is a bias related to the current prices or anchoring to past prices. Our findings of a decline in drachma clustering, but lack of switch to euro effects supports the case for clustering being a trading feature that is slow to transfer to new pricing regimes. A key advantage of the ultra high frequency dataset is we are also able to demonstrate the presence of psychological pricing barriers related to each currency that are not detectable in daily data.