Panayotis Alexakis

Day of the week effect on the Greek stock market

Evidence is presented concentrating on the day of the week effect on the Greek stock market, which is currently in a transitory stage. The analysis carried out takes into account that the variance is dependent over time, while an EGARCH-M model investigates the volatility which is considered non-constant over time. During the period examined, January 1985 to February 1994 this market is divided into two subperiods, one in which it operated under backward statutory conditions and the recent one, that is since 1988, during which significant changes have been introduced affecting all market players. A positive return is found for Mondays when the total period is examined, as well as in the first subperiod. Tuesdays, on the other hand, show negative returns. The recent changes, however, since 1988 have established a new pattern of returns which comes closer to that of most other national stock markets. Factors relating to the degree of order established in this market in combination with human behaviour patte...

The Lead-Lag Relationship between Cash and Stock Index Futures in a New Market

This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures and the underlying cash indices in the relatively new futures market of Greece. Empirical results show that there is a bi-directional relationship between cash and futures prices. However, futures lead the cash index returns, by responding more rapidly to economic events than stock prices. This speed is much higher in the more liquid FTSE/ATHEX-20 market. Moreover, results indicate that futures volatilities spill information over to the corresponding cash market volatilities in both investigated futures markets, but volatilities in the cash markets have no effect on the volatilities of futures markets. Overall, it seems that new market information is disseminated faster in the futures market compared to the stock market. This implies that the futures markets can be used as price discovery vehicles, providing further evidence that derivatives markets contribute to completing and stabilising capital markets in Greece. A further finding of this study is that futures volume and disequilibrium effects between cash and futures prices are important variables in the explanation of volatilities in cash and futures markets.

The Feldstein-Horioka puzzle and exchange rate regimes: Evidence from cointegration tests

Abstract Many economists specialized in international finance claim that international capital markets are highly integrated (at least during the flexible exchange rate era). The main consequence of the above claim is that there is no longer any close relationship between investment and savings decisions. In other words, the close link between savings and investment ceases to exist under perfect capital mobility. Therefore, we construct a general equilibrium optimization model that is capable of generating artificial (model) data for savings and investment. Then, using the methodology of cointegration testing on these artificial data, we test whether there exists or not any link between savings and investment. The test is implemented between two different exchange rate regimes, that is, that of the Bretton Woods and that of the floating or flexible exchange rate regime. The results from the empirical analysis provide support for integrated capital markets over the second exchange rate era in the case of the United States of America.

ARCH effects and cointegration: Is the foreign exchange market efficient?

Abstract Extensive empirical work has produced mixed evidence regarding the validity of the unbiased efficient expectations hypothesis in the foreign exchange market. Empirical analysis in this paper, via cointegration techniques, produces the same inconclusive results for three currency markets, namely, the FFR/

The international stock market crisis of 1997 and the dynamic relationships between Asian stock markets: linear and non‐linear Granger causality tests

US, the DM/

Inflation volatility and stock prices: Evidence from ARCH effects

US and the Yen/

On the integration of European capital markets

US foreign exchange market. However, when modeling conditional heteroskedasticity of exchange rates, through autoregressive conditional heteroskedasticity (ARCH) models, the results are fairly conclusive; the presence of the efficient foreign exchange market hypothesis is found in all these three currency markets.

'Altman Ζ-score model' and prediction of business failures

Examines the dynamic relationships between stock markets in Japan, Hong Kong, Singapore, Malaysia, Taiwan and Thailand before, during and after the October 1997 crisis. Discusses linear and non‐linear Granger causality tests and applies both to stock market data for three time periods between Jan 1997 and Oct 1998. Presents the results, which suggest that Hong Kong, Singapore and Malaysia led the Asian crisis, Taiwan and Thailand followed but Japan played no part in spreading it. Considers consistency with other research and the implications for these stock exchanges, their regulators and future research.

Short selling and equity returns with full information dissemination

This paper examines the impact of inflation uncertainty on stock prices in developed as well as in emerging capital markets over the period 1980:1–93:12 via an Autoregressive Conditional Heteroskedasticity (ARCH) model for inflation. The results seem to support the presence of a negative association between inflation uncertainty and stock prices.

Analysing stock market behaviour in a small capital market

Purpose - The paper aims to investigate European equity market integration by analyzing volatility spillover effects between selected indices of high liquidity from the major regulated European equity markets. Design/methodology/approach - In undertaking the empirical analysis, data for major European stock market indices were utilised. The conditional variance of the VAR-GARCH model for each pair of indices is examined. Findings - The results provide evidence on strong EU equity market integration. The findings in general suggest a high degree of European equity market interconnection. This situation is depicted through strong effects from one European equity market to the other, as well as through significant feedback effects between them. Originality/value - The high level of interconnection found among the EU stock markets exerts significant influence on the efficient operation of each market and on asset and index pricing, which has therefore to be taken into account by investors and traders as market prices are set in common.