ABSTRACT By adopting a dynamic ARDL transformation, we investigate the cointegrating relationship of the government bond debt yields, driven by the common money market factors in Economic Monetary Union. The findings indicate that the... more
ABSTRACT By adopting a dynamic ARDL transformation, we investigate the cointegrating relationship of the government bond debt yields, driven by the common money market factors in Economic Monetary Union. The findings indicate that the introduction of the common currency has not a uniform effect on the bond yields and there is a nominal convergence between Eurozone bond yields based on money market determinants. The recent financial crisis indicates that the sovereign bond market convergence was temporary and it can be highly affected by a exogenous shocks and the sentiment of international investors. This finding implies the necessity for a common monetary and fiscal policies in Euro zone countries.
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Technical analysis has become a custom decision support tool for traders and analysts, though not widely accepted by the academic community. It is based on the identification of a series of well-defined formations appearing over irregular... more
Technical analysis has become a custom decision support tool for traders and analysts, though not widely accepted by the academic community. It is based on the identification of a series of well-defined formations appearing over irregular intervals. The same principle forms the basis for the application of data mining methodologies as a tool to discover hidden patterns that exist in a time series, which is achieved by a detailed breakdown of historic information. This paper introduces a methodology for the discovery of formations that exist within a time series and have high probability of reoccurrence. The methodology was developed in an efficient manner requiring only a small number of user-specified parameters. Its two main stages are (a) a modified bottom-up segmentation algorithm with an optimization stage to reach the optimal number of segments, and (b) a rule extraction algorithm. The developed methodology is tested on two major financial series, the daily closing values of t...
PurposeThis paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets.Design/methodology/approachThis survey covers the... more
PurposeThis paper presents an integrated overview of the empirical literature on the impact of all forms of unconventional monetary policy on macroeconomic variables and on markets.Design/methodology/approachThis survey covers the findings concerning portfolio rebalancing, signaling, liquidity, bank lending and confidence channels.FindingsThe positive effect of QE announcements on stock and bond prices seems to be unified across studies. A contagion effect from US QE to other emerging markets is identified, while currency devaluation is present in most cases for the country that its central bank adopted such policies. Moreover, impacts of non-conventional practices on GDP, inflation and unemployment are examined. The studies presenting weak instead of strong positive effects on inflation are more, and these studies, also, present weak positive effects on GDP growth.Originality/valueBased on the large body of research on non-conventional action taking, this is the first survey includ...
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Various studies model the dynamics of the yield curve assuming that some of the yields are measured without error but this methodology lacks economic interpretation. We overcome this problem by estimating a modified affine model with... more
Various studies model the dynamics of the yield curve assuming that some of the yields are measured without error but this methodology lacks economic interpretation. We overcome this problem by estimating a modified affine model with macroeconomic and latent factors which introduces measurement noise on both yields and macroeconomic determinants. Our results suggest that under the proposed model there is a significant reduction in the persistence of the latent factors and an increase in the effect of macroeconomic shocks to the entire yield curve. We provide a comparative analysis of these models, and we conduct out of sample comparative forecasts to investigate if our specification has a superior performance. We find important differences concerning the magnitude of the dynamics that move the yield curve. Our model provides better forecasts for the entire yield curve while it also beats random walk in many cases. This is an important finding since according to the relative literatu...
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In this paper, we investigate the relationship between stock prices and industrial production both for South and North of Euro-zone during the period 2004–2013. In contrast to previous studies we identify additional price interaction and... more
In this paper, we investigate the relationship between stock prices and industrial production both for South and North of Euro-zone during the period 2004–2013. In contrast to previous studies we identify additional price interaction and dynamics investigating asymmetric adjustment behavior combined with long-run relationship using the Threshold cointegration approach. This method is proper as well because takes into consideration the type of shocks which appears in period 2004–2013. The results demonstrate symmetric adjustment process for the North and asymmetric for the South when stock prices and industrial production adjust to achieve the long-run equilibrium. The main cause of asymmetry is the difference in structural competitiveness which is weakest in South with respect to North. This finding is particularly important because provides the direction of economic policy that should adopt the governments of South of Euro-zone.
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This paper, tests the bank lending channel of monetary policy transmission mechanism in a series of European countries since the Euro currency circulation. By disaggregating bank loans to households for consumer, housing and other... more
This paper, tests the bank lending channel of monetary policy transmission mechanism in a series of European countries since the Euro currency circulation. By disaggregating bank loans to households for consumer, housing and other purposes over the period 2003:Q1 to 2012:Q4, we try to shed light to any hidden dynamics by aggregate data. An unrestricted VAR model and impulse response analysis provide empirical evidence of an active bank lending channel working via housing loans for the majority of countries studied (Germany, France, Belgium, Italy, Spain, Sweden and UK). Additionally, there is evidence of a transmission mechanism proceed through consumer credit in Austria, Belgium and Netherlands. Moreover our results reveal that monetary transmission to housing loans proceeds quickly in Germany, Spain, Sweden and UK compared to the others. However in Belgium, Germany and UK, consumer credits reduction also amplifies the initial shock on GDP and on inflation produced by a tightening ...
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ABSTRACT Using daily returns from the NASDAQ Composite and TSE 300 Composite indices from 1984 to 2003, we specify a method that corrects the chaotic forecasting of financial time series taking into account the day-of-the-week, the... more
ABSTRACT Using daily returns from the NASDAQ Composite and TSE 300 Composite indices from 1984 to 2003, we specify a method that corrects the chaotic forecasting of financial time series taking into account the day-of-the-week, the turn-of-the-month and the holiday effects. When calendar effects are present in the series, the forecasting ability of the model leads to profitable opportunities compared to a buy-and-hold strategy.
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This study examines the survival of firms in the Athens Exchange for the period 1993-2006, by applying a number of alternative parametric and non-parametric models. A company is considered not to survive, if its shares have been either... more
This study examines the survival of firms in the Athens Exchange for the period 1993-2006, by applying a number of alternative parametric and non-parametric models. A company is considered not to survive, if its shares have been either under supervision or their trading ...
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ABSTRACT A method is presented that takes into account the day-of-the-week and the turn-of-the-month effect and the holiday effect and embodies them to neural network forecasting. It adjusts the time series in order to make its dynamics... more
ABSTRACT A method is presented that takes into account the day-of-the-week and the turn-of-the-month effect and the holiday effect and embodies them to neural network forecasting. It adjusts the time series in order to make its dynamics less distorted. After a predicted value is calculated by the network, the inverse adjustment is made to obtain the final predicted value. If there are no calendar effects on the time series this method has approximately the same performance as its classic counterpart. Empirical results are presented, based on NASDAQ Composite, and TSE 300 Composite indices using daily returns form 1984 to 2003.
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This study examines the impact of one measure of financial regulation, namely that of a price limit imposition, on return volatility of selected different capitalization stocks in the Athens Stock Exchange for different periods. It... more
This study examines the impact of one measure of financial regulation, namely that of a price limit imposition, on return volatility of selected different capitalization stocks in the Athens Stock Exchange for different periods. It emphasizes the role of shifting binding constraints on stock ...
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A key problem facing monetary policy makers is determining whether serious financial instability is present. Periods of financial instability are linked with low investors’ risk appetite (or in other words high risk aversion). Two... more
A key problem facing monetary policy makers is determining whether serious financial instability is present. Periods of financial instability are linked with low investors’ risk appetite (or in other words high risk aversion). Two different measures of investors’ risk aversion are used: (a) the implied volatility from the Eurostoxx 50 index (VSTOX) and (b) an index based on principal component analysis applied to risk premia of several stock portfolios in the eurozone area (12 countries) with different fundamental and size characteristics. By using an unrestricted VAR model and impulse response analysis for the period January 1999 to August 2007, our results show that a shock in the risk aversion indicator affects negatively future real activity in the eurozone in a similar way to an exchange rate shock. The ECB reacts significantly to a risk aversion shock by reducing the interest rate in order to provide liquidity. Moreover, assuming rational expectations and using a forward-looki...
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The role of networks concerning the exchange of information is crucial. From the different networks (private and public) created during the last 40 years the Internet is the one that obtained the biggest approval from the users and became... more
The role of networks concerning the exchange of information is crucial. From the different networks (private and public) created during the last 40 years the Internet is the one that obtained the biggest approval from the users and became the point of reference for all networks. Technically speaking the Internet is not a single network but a network of networks. Internet is the most rapidly growing network of our days and his dominance in the world of information systems is not contested. From an economic point of view the Internet is a valuable resource that is available to the public. Following the technological achievements that made possible the use of Internet by anyone from any point of the earth questions have been raised concerning the behavior of the Internet as an economic system. The purpose of this paper is a) to present the different issues that are faced by the economic theory on its effort to model the networks (and specially the Internet) as an economic system, b) to...
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Information Arrival, Trading Volume and Garch Effects: Evidence from the Greek Banking Sector. Stuart McLeay, Ioannis Asimakopoulos, Costas Siriopoulos, University of Wales, Bangor. School of Accounting, Banking and Economics University... more
Information Arrival, Trading Volume and Garch Effects: Evidence from the Greek Banking Sector. Stuart McLeay, Ioannis Asimakopoulos, Costas Siriopoulos, University of Wales, Bangor. School of Accounting, Banking and Economics University of Wales Press, 1997.
We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we... more
We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.
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ABSTRACT The paper investigates the value of information drawn from the released Google Trends database, in a time-varying entropy framework. By separating the information flow into cells, this novel proxy measures the... more
ABSTRACT The paper investigates the value of information drawn from the released Google Trends database, in a time-varying entropy framework. By separating the information flow into cells, this novel proxy measures the volatility-spillover effects of the time-varying losses in the value of information, as an entropy measure, on the dynamics of the processes that determine conditional volatility. The empirical analysis is focusing on three European market indices namely, the EuroStoxx50 index, the Deutsche BorseAg German Stock Index DAX and the FTSE100 index of the London Stock Exchange, together with the three implied volatility indices referring to these stock market indices. The results demonstrate that the variations in the value of information may have significant effects on market indices in terms of conditional volatility but do not totally determine or differentiate investors’ beliefs. The nature of the market and the allocation of the information factor are the greatest determinant factors for the investors’ beliefs. These factors are directly linked to the asset-specific information in order to allow investors to build portfolios in an individual manner based on priority and urgency that vary according to their portfolio selections.
Purpose–The purpose of this paper is to consider the impact of the drachma's replacement by the euro on the quality of accounting information published by Greek listed firms. Design/methodology/approach–The authors examined how the... more
Purpose–The purpose of this paper is to consider the impact of the drachma's replacement by the euro on the quality of accounting information published by Greek listed firms. Design/methodology/approach–The authors examined how the adoption of the euro currency impacted on the timeliness of income recognition and the relevance of accounting information during the pre and post euro adoption periods using a sample of 176 listed firms over the period 1995-2008.
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Several recently developed chaotic forecasting methods give better results than the random walk forecasts. However they do not take into account specific regularities of stock returns reported in empirical finance literature, such as the... more
Several recently developed chaotic forecasting methods give better results than the random walk forecasts. However they do not take into account specific regularities of stock returns reported in empirical finance literature, such as the calendar effects. In this paper, we present a method for filtering the day-of-the-week and the holiday effect in a time series. Our main objective is twofold.
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Using daily returns from the NASDAQ Composite and TSE 300 Composite indices from 1984 to 2003, we specify a method that corrects the chaotic forecasting of financial time series taking into account the day-of-the-week, the... more
Using daily returns from the NASDAQ Composite and TSE 300 Composite indices from 1984 to 2003, we specify a method that corrects the chaotic forecasting of financial time series taking into account the day-of-the-week, the turn-of-the-month and the holiday effects. When calendar effects are present in the series, the forecasting ability of the model leads to profitable opportunities compared to
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... in Japan's real GDP. Scheinkman and LeBaron (1989), Ashley and Patterson (1989) also report evidence of nonlinearities and chaotic behavior testing CRSP data. In addition, De Grauwe et.al. (1995), Hsieh (1989)... more
... in Japan's real GDP. Scheinkman and LeBaron (1989), Ashley and Patterson (1989) also report evidence of nonlinearities and chaotic behavior testing CRSP data. In addition, De Grauwe et.al. (1995), Hsieh (1989) applying ...
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ABSTRACT This paper discusses the trends for the euro area economy and financial markets. The introduction of the euro constitutes a regime shift, which pervades the very structure of markets and the fundamental attitudes of operators. As... more
ABSTRACT This paper discusses the trends for the euro area economy and financial markets. The introduction of the euro constitutes a regime shift, which pervades the very structure of markets and the fundamental attitudes of operators. As such, it will force profound changes. It also highlights the main issues raised in the articles that were selected for publication in this special issue of the E.R.S.J.
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ABSTRACT The aim of the paper is the analysis of the sequential characteristics of the Athens Stock Exchange general index (ASE) using the time series metho-dology based on artificial intelligent techniques. The applied models include the... more
ABSTRACT The aim of the paper is the analysis of the sequential characteristics of the Athens Stock Exchange general index (ASE) using the time series metho-dology based on artificial intelligent techniques. The applied models include the Feed Forward Neural Network trained with the efficient Levenberg - Marquardt optimization algorithm, the Adaptive Neuro-Fuzzy Inference Sys-tem as well as traditional linear regression and ARIMA models for comparison. All these approaches are initially used for the short-term fore-casting of the series, providing an insight into the forecasting capabilities of each model. The analysis of the spectral characteristics of the series indicated the presence of strong persis-tence or alternatively that the models do not differ significantly from a random walk. This observation was also cemen-ted by the forecasting results of the developed models. The proposed approach is based on the application of low-pass digital filters on the series and the employment of the formerly mentioned models for the prediction of the created series. The filtered series contains a lower amount of noise and can be viewed as an alternative trend indication of the original series.