Epameinondas Katsikas

Volatility and Autocorrelation in European Futures Markets

Purpose - This paper seeks to investigate the relationship between volatility and autocorrelation in major European stock index futures markets. Design/methodology/approach - The methodology is based on the exponential autoregressive model with conditionally heteroskedastic errors (EAR-GARCH). Findings - The evidence points to a negative relationship between volatility and autocorrelation. Specifically, autocorrelation is low during volatile periods and high during calm periods. This evidence is in agreement with LeBarons findings for US stock market returns, suggesting that return dynamics are similar across asset categories. Research limitations/implications - An obvious limitation of this study is the lack of a theoretical justification for the observed relationships in futures markets, an area where future research should be directed. Practical implications - The observed relationships suggest that futures prices are non-linearly predictable so that short-term trading could produce abnormal returns. Originality/value - The paper documents a negative relationship between volatility and autocorrelation in major European futures markets. This finding should be of interest to researchers and market participants.

NPM Reforms in Napoleonic Countries: A Comparative Study of Management Accounting Innovations in Greek and Italian Municipalities

ABSTRACT This is a comparative study of the rationale and effects of management accounting innovations in Greek and Italian municipalities, as part of the NPM reform in the public sector. This article aims to understand the extent of adoption of accounting innovations in Greek and Italian municipalities, and the factors affecting the specific techniques in use. The study reports on a survey based on medium-sized and large Italian and Greek municipalities, targeted at public municipalities’ accountants, the users of accounting techniques. The study identifies the intended purposes of NPM reform and, particularly, management accounting innovations, analyzes a set of factors that affect the implementation of management accounting technologies, and discusses determinants and features of such innovation on a comparative perspective.

Accounting Change and Integrated Reporting in Practice: The Case of Hera

The chapter intends to verify, through a case study on the progressive implementation of the IR, the way in which the intra organizational dynamics play a key role in the evolution of management accounting change and impacts on the overall result and success of the change process. The Hera Group case study intends to grasp a useful “lesson to learn” for other entities located in the public sector realm, that are willing to introduce the integrated thinking towards the IR, in order to be more efficiently managed by key organizational actors and managers. The analysis considers both the external change, the integrated thinking and IR disclosure prepared by a public sector entity and its changes over time, as well as the internal change, viewed as the progressive internalization of the integrated thinking and the path towards it. To this aim, the approach and the experience of Hera is presented, outlining features, evolution, similarities and differences of the Hera Sustainability Report with the Integrated Reporting framework, as well as the management accounting change towards the institutionalization of the integrated thinking. This case study is an important and informative example of how integrated reporting is a useful tool for governing an organization such as Hera, operating in the public services sector and owned by both public administrations and private investors.

Principles, Concepts and Elements of Integrated Reporting

The chapter guides the reader in a tour along the development of Integrated Reporting. Most of the emerging literature on Integrated Reporting has identified the sustainability report as being the necessary antecedent. However, a deep understanding of Integrated Reporting requires one to consider similarities and differences with other documents produced annually by an organization. The chapter provides an overview of different accountability tools generally adopted for accountability purposes (annual report, corporate governance report, corporate social responsibility report and intellectual capital report), driving the reader to a panoramic view of the two different frameworks on integrated reporting developed so far: the South Africa Integrated Reporting Framework and the International Framework. Some reflections on the challenges of Integrated Reporting conclude the chapter, leading the reader to the last chapter, where a case study analyzing the ongoing management accounting change process toward the adoption of the Integrated Reporting in a public organization is discussed.

Setting the Context for Integrated Reporting in the Public Sector

The central aim of this chapter is to discuss why Integrated Reporting can represent a new frontier for public sector accounting studies. From this perspective, the chapter introduces the reader to the relationships between environmental and sustainability issues and public sector organizations. These points of view have been considered pivotal for an in depth understanding of the value creation process in the public domain. However, to properly understand how public value is created, the role of intangibles must also be considered. The above mentioned reasons pave the way for the adoption of integrated reporting not only as a communication tools but, above all, as a strategic tool which can open the opportunity to experiment with management change. The chapter ends by identifying the contents to be discussed in the following chapters.

Accounting Change: Integrated Reporting Through the Lenses of Institutional Theory

Institutional theory has been largely adopted in accounting studies to frame research. The chapter explores Management Accounting Change as a lens to observe how the isomorphic and intra organizational dynamics interact, driving towards the adoption of the Integrated Reporting. More specifically, drawing on various Institutional theory strands such as New Institutional theory and Old Institutional Economics, complementary with change management theories, a complete theoretical framework is formulated. This approach intends to grasp—through a deep understanding of institutions, routines and change, both planned and unplanned and to what extent accounting change is related to the adoption of Integrated Reporting. For these reasons the case study presented in the last chapter is intended to analyse the process started in a public sector organization towards the adoption of the Integrated Reporting, by showing the undergoing management accounting change process.

Effects of Interest Rates and Exchange Rates on Bank Stock Returns

The current research attempts to investigate the effects of changes in interest rates (IR) and exchange rates (FX) on bank stock returns (BSR) in the context of Kenya. Further, it will investigate the effects of actual interest and exchange rates on bank stock returns. In addition, this study also explores the impact of 2007-2008 election violence in Kenya on these relationships. Both short and long term interest rates will be used by this study.By applying Ordinary Least Square (OLS) regression method this study will test whether changes in interest rates and exchange rates are negatively or positively related to the BSR as well as the significance of their relationship to BSR. This will be tested together with the effect of the inclusion of inflation rates on them. In order to capture the effect of 2007-2008 election violence in Kenya the significance of IR and FX pre and post the election period will be evaluated with regard to their effect on BSR.

Institutions of Higher Education and Institutional Economics: Is There Change or No Change?

Purpose: This paper investigates the management accounting structure of higher education institutions in Greece and their management’s willingness to adopt cost-effective strategies and proactively encourage structural changes in order to improve its modus operandi and ultimately, provide a higher quality working environment for its staff and students. Design/methodology/approach: Through a qualitative field research which was carried out in all Greek higher education institutions. Findings: The qualitative findings that derive from the field interviews indicate that management has myopically disregarded these issues or simply did not understand their importance. Research limitations/implications: Problems were encountered during the interviews. The results suggest that not all interview questions were understood by the respondents, which could be caused by the use of terms and concepts during the interviews with which the respondents were unfamiliar. Originality/value: This paper contributes to the body of literature because it focuses on Universities in Greece, their managerial pitfalls and initiatives to improve conditions, an under-researched area.