42 research outputs found
Three papers on European financial market integration
No full textEThOS - Electronic Theses Online ServiceGBUnited Kingdo
The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities
No full textThis paper investigates the relationship between spillover effects and stock market regulations for a sample of cross-listed firms in Frankfurt+ and Zurich markets. Using La Porta et al.¡¯s (1998) stock exchange regulatory classification we identify firms that have cross-listed on foreign exchanges with either tougher, weaker or similar accounting disclosure, bankruptcy and shareholder protection rules. We then use the GARCH approach suggested by Karolyi (1995) and Engle and Kroner (1995) to estimate volatility and error transmission for our sample of cross-listed equities, taking into account regulatory differences between exchanges. Our results show the differences in stock exchange rules that can influence spillovers between foreign cross-listed equities and the respective market indices. Shareholder protection rules also seem to have less of an effect on cross-listed share volatility transmission than do differences in accounting disclosure and bankruptcy protection rules.Volatility spillovers, GARCH-BEKK, Regulatory differences
Return and volatility spillovers in twelve Eastern European countries, 2006-2015
No full textThis study investigates return and volatility spillovers in the stock markets of 12 Eastern European countries using an augmented univariate AR-EGARCH model. The study introduces two additional explanatory variables: the change in exchange rates of each country’s domestic currency to the USD and the return of the S&P 500 index. The previous period's figures were preferred for both parameters. These newly introduced variables are used not only separately, but also in conjunction with and without the liquidity factor. Thus, a ‚bouquet’ of eight parallel equations for each sample is formed. According to the empirical results, return and volatility spillovers are confirmed for most cases, regardless of the chosen approach. Furthermore, the expected positive sign for the coefficients regarding the exchange rates and the S&P 500 index is verified most of the time. Moreover, the leverage effect was observed in several cases. In addition, the outcomes illustrate that the trading volume’s coefficient mainly carries a positive sign and that this variable accounts for spillover effects in return and volatility. Overall, it can be concluded that the developed univariate AR-EGARCH models successfully capture the effects of volatility transmissions in the examined stock markets.12319121
Positive feedback trading and long-term volatility links: evidence from real estate markets of USA, Be/Lux and Switzerland
No full text2329710
Measuring the Impact of Stock Exchange Rules on Volatility and Error Transmission – The Case of European Cross-Listed Equities
No full textThis paper investigates the relationship between spillover effects and stock market regulations for a sample of cross-listed European firms. Using LaPorta et al.’s (1998) stock exchange regulatory classification we identify firms that have cross-listed on foreign exchanges with either tougher, weaker or similar accounting disclosure, bankruptcy and shareholder protection rules. We then use the GARCH approach suggested by Karolyi (1995) and Engle and Kroner (1995) to estimate volatility and error transmission for our sample of cross-listed equities, taking into account regulatory differences between exchanges. Our results show how differences in stock exchange rules can influence spillovers between foreign cross-listed equities and the respective market indices. Accounting disclosure rules also seem to have less of an effect on cross-listed share volatility transmission than do differences in shareholder and bankruptcy protection rules
Measuring the forecasting accuracy of models: evidence from industrialised countries
No full textThis paper uses the approach suggested by Akrigay (1989), Tse and Tung (1992) and Dimson and Marsh (1990) to examine the forecasting accuracy of stock price index models for industrialised markets. The focus of this paper is to compare the Mean Absolute Percentage Error (MAPE) of three models, that is, the Random Walk model, the Single Exponential Smoothing model and the Conditional Heteroskedastic model with the MAPE of the benchmark Naive Forecast 1 case. We do not evidence that a single model to provide better forecasting accuracy results compared to other models.forecasting accuracy; stock price returns; industrialised countries; random walk; stock price index models; single exponential smoothing; conditional heteroskedastic.
Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets
No full text3915016
Corruption, inflation and income distribution in transition economies: the Balkan region
No full textΔιπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2018.This dissertation is an empirical analysis on the trends and correlations concerning corruption, inflation and income inequality relative to ten countries belonging to the Balkan region -nine transition economies plus Greece- ever since the fall of the iron curtain. Thus, we have used Transparency International's Corruption Perception Index and the World Bank’s Control of Corruption Indicator as proxies for corruption; the Consumer Price Index and the GDP de deflator to measure inflation; and the GINI Index to examine income distribution. The first chapters are devoted to describing the evolution of the aforesaid variables as well as other complementary indicators. Moreover, we also developed two dummy variables -European Union membership and belonging to the former Yugoslav federation- with the aim of finding out whether these two aspects had a significant impact on their performance regarding the former aspects. Subsequently, we performed different econometric methods using the former data and other additional variables, these being: Simple Linear Regression, Multiple Linear Regression, and Panel Data. Finally, we run the Hausman test on the Panel Data models so as to discover whether the Fixed-effects or Random-Effects models were more accurate. The results of the former have shown in all cases that the Fixed-effects models are always more consistent, thus entailing that the results achieved according to this kind of models are more reliable in every case
Corruption, inflation and income distribution in transition economies: the Balkan region
No full textΔιπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2018.This dissertation is an empirical analysis on the trends and correlations concerning corruption, inflation and income inequality relative to ten countries belonging to the Balkan region -nine transition economies plus Greece- ever since the fall of the iron curtain. Thus, we have used Transparency International's Corruption Perception Index and the World Bank’s Control of Corruption Indicator as proxies for corruption; the Consumer Price Index and the GDP de deflator to measure inflation; and the GINI Index to examine income distribution. The first chapters are devoted to describing the evolution of the aforesaid variables as well as other complementary indicators. Moreover, we also developed two dummy variables -European Union membership and belonging to the former Yugoslav federation- with the aim of finding out whether these two aspects had a significant impact on their performance regarding the former aspects. Subsequently, we performed different econometric methods using the former data and other additional variables, these being: Simple Linear Regression, Multiple Linear Regression, and Panel Data. Finally, we run the Hausman test on the Panel Data models so as to discover whether the Fixed-effects or Random-Effects models were more accurate. The results of the former have shown in all cases that the Fixed-effects models are always more consistent, thus entailing that the results achieved according to this kind of models are more reliable in every case
