We analyze the impact of the institutional environment on the leverage of European listed SMEs for the period 2005-2018. We use a broad range of institutional quality, judicial efficiency and corruption measures, along with several firm-specific and macro control variables, to identify different transmission channels on leverage. By performing a panel data analysis into the fixed effects filter estimator framework, along with several model specifications and robustness tests, the results show that better institutions, stronger judicial effectiveness and higher corruption decrease leverage. In terms of active transmission channels, increased investment under regimes of better institutional quality tends to increase leverage. Higher judicial efficiency accompanied by increased profitability tends to decrease, while higher institutional quality accompanied by higher investments tends to increase leverage, bringing more bank credit. Increasing profitability under regimes of decreased corruption decreases leverage. This last finding is even more pronounced for medium enterprises, as opposed to micro enterprises. The most significant factors associated with leverage are profitability, asset structure, cost of borrowing, stock market development and size, while an age effect is rejected. Pecking order theory seems to better fit the European SMEs capital structure choices under several institutional states.

This paper analyzes the impact of the European economy digitalization on the financial performance of the European SMEs during COVID-19. Using a panel data from 2017 to 2022 of 12,179 European SMEs and a European transformed digitalization index, we find that financial performance of SMEs is significantly and negatively associated with the COVID-19 pandemic. Digitalization of the European economy significantly increases SMEs’ financial performance measured by various performance measurements and mediates the COVID-19 negative effect. Digitalization is more significant during COVID-19 era compared to the pre-pandemic period. Our results are robust to alternative performance measures.

We aim to identify the key drivers of capital depletion under the adverse scenario by reverse engineering the EU-wide stress tests. Our sample consists of the banks that participated in the 2016, 2018 and 2021 EU-wide stress tests. We use three separate sets of variables, namely the bank-specific indicators, the macroeconomic parameters, and the banks’ exposures per loan portfolio. The results demonstrate that banks that are more profitable, more efficient, smaller, more exposed to corporate clients, less exposed to governments and having booked more impairments beforehand experience lower capital depletion under the adverse scenario. In addition, high rates of inflation imply more severe capital reductions, while high GDP leads to mild capital depletion. The asset mix on banks' balance sheets significantly affects the impact of stress test under the adverse scenario. Results are robust to alternative econometric approaches and provide important implications for both supervisors and banks.

We investigate the effects of non-synchronous trading on volatility spillover for the G-7 equity markets during the Eurozone sovereign debt crisis (ESDC) and the Covid-19 pandemic crisis. For data synchronisation we utilise ΜΑ(1) adjusted return series to estimate the Baba-Engle-Kraft-Kroner (BEKK) and the dynamic conditional correlation (DCC) models. We also consider the use of realised kernels as explanatory variables in the variance equation. In this set up, the contagion effects during crises periods are more perceptible, as the spikes are easier to interpret. We also check the robustness of our main results by applying, wavelet coherence analysis to G-7 major equity indices with realised kernels, as well as local Gaussian correlations (LGC). Our findings suggest the empirical significance of the synchronisation effects for the US and the other G-7 equity markets. We also conclude that realised kernels is an effective tool for mitigating non-synchronous effects. These results underline the significance of quantifying the synchronisation effects in equity markets as well as international portfolio diversification strategies.

Motivated by the increasing demand for alternative assets that can contribute to reducing portfolio risk under inflationary environments, this paper examines the volatility spillovers between collateralized loan obligations (CLOs) and various assets used for protection against inflation, including equities, bonds, crude oil, commodities, gold, bitcoin, shipping and real estate. The applied methodology comprehends the time-varying parameter vector autoregressive (TVP-VAR) model of Antonakakis et al (2020), which relies on the classical Diebold and Yilmaz (2012) approach, for the period from January 1, 2012 to December 31, 2021. The empirical findings show moderate levels of dynamic connectedness; albeit several external shocks, such as the oil price plummet, the US-China trade war and COVID-19, strengthened the interconnection among the assets. Equities, commodities, bitcoin, real estate and gold form the net senders of spillovers, whereas bonds, shipping, CLOs and crude oil absorb the spread shocks. Moreover, we evaluate the hedging ability of CLOs within a portfolio of inflation hedges by estimating hedge ratios and optimal weights by utilizing conditional variance estimations (DCC). Our results indicate that CLOs possess impeccable hedging ability, as the short position in their volatility provides high hedging effectiveness for all investors holding long-positions in the volatility of the remaining assets. Our analysis highlights the importance of CLOs and their relevance to portfolio diversification.

This paper investigates the relationship between investors' attention, as measured by Google search queries, and equity implied volatility during the COVID-19 outbreak. Recent studies show that search investors' behavior data is an extremely abundant repository of predictive data, and investor-limited attention increases when the uncertainty level is high. Our study using data from thirteen countries across the globe during the first wave of the COVID-19 pandemic (January–April 2020) examines whether the search “topic and terms” for the pandemic affect market participants’ expectations about future realized volatility. With the panic and uncertainty about COVID-19, our empirical findings show that increased internet searches during the pandemic caused the information to flow into the financial markets at a faster rate and thus resulting in higher implied volatility directly and via the stock return-risk relation. More specifically for the latter, the leverage effect in the VIX becomes stronger as Google search queries intensify. Both the direct and indirect effects on implied volatility, highlight a risk-aversion channel that operates during the pandemic. We also find that these effects are stronger in Europe than in the rest of the world. Moreover, in a panel vector autoregression framework, we show that a positive shock on stock returns may soothe COVID-related Google searches in Europe. Our findings suggest that Google-based attention to COVID-19 leads to elevated risk aversion in stock markets.

Purpose - The purpose of this study is twofold: To provide a general overview of the existing literature circulating the Non-Performing Loans (NPLs) in the European Banking System and to provide evidence of the future of European NPL developments, from the prism of the recent Covid-19 pandemic and the ESG (Environmental, Social, Governance) factors, placing the focus on the Greek banking sector. Design/methodology/approach - The research methodology implemented is a critical overview of the existing literature regarding NPLs, comprising of officially published papers. Due to the fact that both the Covid-19 pandemic & and the ESG factors are very recent, the papers included are mainly of theoretical nature. This paper provides a comprehensive overview of the NPL literature, placing the focus on the implications that the recent worldwide developments will have on NPL flows. Findings - The findings showed that Covid -19 is expected to negative impact the European NPLs. Moreover, the alterations due to the implementation of ESG factors will cause major effects to the European banking system, which are expected to withhold the upcoming the NPL level increase. Originality/value - This paper offers the first attempt, to the best of the authors’ knowledge, by analyzing the existing literature regarding Covid-19 & ESG, expected to have a profound impact on the NPLs stocks. It also provides a general overview of the expected impact of the two prementioned factors in the European NPLs, driven by the relative shortage of relevant research, while offering useful insights which contribute to a deeper understanding.

The article investigates the impact of the issuance of Tier 1 and Tier 2 regulatory capital by Greek banks for the period 2002-2020 on the return on assets (ROA), return on equity (ROE), leverage ratios (SLR) and liquidity and funding ratios (NSFR), by taking also into account the changes in the macroeconomic environment with variables such as GDP and unemployment. In this context, we perform data analysis on 14 systemic and non-systemic Greek banks and we find that capital ratios of banking institutions affect profitability, asset quality and earnings, liquidity and leverage. Bank size, loan-to-deposit ratio and NPLs ratio are important determinants of banks’ profitability. Finally, unemployment is an important exogenous determinant of profitability ratios.

This study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological research design. Specifically, we employ a panel specification, which takes into consideration both the time dimension and the forecast horizon, and a quantile regression technique, which evaluates the hidden non-monotonic relations between the forecasts and the target variables being forecasted. Evaluating the accuracy of economic forecasts is critical since they are widely used in financial, investment and policy decision making. Our empirical findings show that survey-based forecasts of interest rates and certain key macroeconomic variables are generally biased, but still efficient predictors of target variables. In particular, we find that survey participants are more efficient in predicting long-term interest rates in the long-run and short-term interest rates in the short-run, while the predictability of medium-term interest rates is the least accurate. Finally, our empirical analysis suggests that currency fluctuations are very hard to predict in the short-run, while we show that survey-based forecasts are among the most accurate predictors of key macroeconomic variables.

We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns. Using daily data on bond and stock returns for ten countries, covering Europe, Asia, US and Australia regions, we identify flight-to-quality episodes during the COVID-19 global pandemic crisis employing both a panel data specification and a wavelet analysis. Our empirical results demonstrate that flights occur simultaneously across countries and are not country-specific events. This finding suggests that the two largest asset classes offered diversification to investors during the recent crisis, when they actually needed it the most.

The existence of a calendar anomaly in stock market returns, namely the Halloween Effect, was corroborated by Bouman & Jacobsen (2002). They claimed that returns during May to October are extremely affected by this phenomenon, and hence are lower in comparison with the respective of November to April. This paper investigates the existence of this anomaly in the field of mutual funds for the period 2008-2017. We provide evidence of a robust Halloween effect in the European equity mutual funds market. This effect still exists even after controlling for other seasonal anomalies and dividing our sample according to the size of the funds. Since this calendar anomaly is both statistically and economically significant, we show that an investment based on such seasonal anomaly can be more profitable and effective than the Buy & Hold Strategy without any risk increase. The significant higher returns in winter months are also resulting from close to zero or negative average returns during May to October as well as high positive returns during November to April. It is finally concluded that fund managers do not seem to believe in this anomaly, since they are not reducing their exposure to the equity markets during summer months.

This paper employs econometric techniques in order to examine the role of political risk on the capital structure decisions of European listed SMEs, during a period which fully captures the Euro zone debt crisis and aspects of political risk due to the recession and its over-indebtedness. We find that political risk decreases significantly SMEs leverage via different and significant transmission channels. Very small (micro) enterprises are decreasing more significantly their leverage at times of political risk. The strength of the creditor’s rights act as a proxy for the possible effects of the political risk. Political risk combined with corruption has a positive effect on firm leverage.

This paper studies the effects of U.S. unconventional monetary policy announcements on the implied volatility of three major currency pairs, Dollar/Euro, Dollar/British Pound and Dollar/Yen by using panel data analysis along with several model specifications and robustness tests. Monetary policy announcements not only have an effect on the realized behavior of asset prices, but also influence market participants’ expectations regarding future volatility. Our empirical findings show that Federal Reserve’s unconventional monetary policy announcements significantly reduce the market expectations about future realized volatility of exchange rates, suggesting that lax monetary policy leads to elevated risk-tolerance in currency markets. Furthermore, our findings indicate that market participants’ expectations respond differently to the different rounds of U.S. quantitative easing.

This paper examines the impact of the European Central Bank’s unconventional monetary policy (UMP) on bank lending supply and performance in the euro area, through comparing the evolution of bank-specific variables before and after the UMP implementation. By using a dynamic panel data analysis on banks across discrete country groups (euro zone, core, peripheral) and by controlling for bank-specific and country-level variables, we provide evidence that the bank lending decisions and performance of euro zone banks are not UMP driven, implying the limited ability of the ECB to enhance the effectiveness of banks’ lending channel and to affect banks’ profitability during the crisis. Our findings also suggest that different criteria determine banks’ lending strategy before the UMP period, bank credit strategies vary across the country samples, while the weaker economies’ banks seem to underestimate the impact of liquidity risk on their lending activity.

This paper studies on “Early Warning Systems” (EWS) by investigating possible contagion risks, based on structured financial networks. Early warning indicators improve standard crisis prediction models performance. Using network analysis and machine learning algorithms we find evidence of contagion risk on the dates where we observe significant increase in correlations and centralities. The effectiveness of machine learning reached 98.8%, making the predictions extremely accurate. The model provides significant information to policymakers and investors about employing the financial network as a useful tool to improve portfolio selection by targeting assets based on centrality.

This study quantifies the effects of the Fed’s quantitative easing (QE) and tapering programs’ announcements on professionals’ consensus forecasts of U.S. macroeconomic and financial variables at different forecast horizons. The results of a vector autoregression (VAR) analysis show that the first QE (QE1) program is more effective in terms of significantly affecting the variability of near and medium term forecasts on GDP, inflation and short-term interest rates. This is not the case for these variables of long forecast horizons across all QE/tapering announcements, the forecasts of U.S. currency and long-term rates present significant short-lived responses, while the tapering displays a dominant effect on the volatility of long-term rates across long-term forecast horizons. A dynamic correlation analysis among different horizon forecasts also reveals that the Fed successfully anchor inflation and real economic growth expectations during the expansionary policy (QE) periods. Additional findings show the anchoring of the expectations across different horizons on short-term rates, as opposed to long-term rates, during the QE1 program. During the contractionary (tapering) period, the decrease in the correlations among different horizons for the short-term rates’ forecasts is a sign that the Fed increases the range of possible outcomes and highlights a signal of a monetary policy change.

This article investigates the capital structure dynamics of European SMEs by assessing the impact of firm-specific, institutional, and macroeconomic factors over the period 2005–2015, including the European Sovereign Debt Crisis (ESDC). In this setup, we perform a dynamic panel data analysis, along with several model specifications and robustness tests on listed SMEs of EU-28, dividing them into firm categories (micro, small, and medium) and country groups (core, periphery, high technology, and new EU member countries). We find that the effect of capital structure determinants do not differ significantly across size and country groups. The results suggest that profitability, asset structure, and size have been the driving forces of listed SME’s leverage, regardless of the size of the companies and the country group. At a macroeconomic and institutional level, taxation is the most significant variable for all the subgroups. Finally, the ESDC seems to increase the leverage of the listed SMEs in the periphery and the new member states countries, leaving the core countries practically unaffected.

This paper examines the effects of the unconventional monetary policy (UMP) launched by the European Central Bank on the cross-market correlations between bond, stock and currency forward markets. Using a dynamic conditional correlation analysis and several robustness tests, we investigate possible differences on the correlation dynamics across four UMP periods and across a range of developed countries and emerging market economies. The empirical results indicate a spillover effect on both developed and emerging markets, although this impact is not identical across assets and countries. We also find that the new UMP phase started in 2014 has a more prominent impact, highlighting differences on the impact between the earlier and the new wave of UMPs and across cross-market correlations.

This paper examines the impact of the four unconventional monetary policy announcements followed by the European Central Bank on the stock price of European banks, as well as on the STOXX Europe 600 Banks index, from January 2010 to December 2016. The results show that there is a positive relation between the announced programs and the stock returns of the European banks at the same day of the announcement, while the impact is stronger for the long-term sovereign bond purchases (Securities Markets Programme). We also find that the banks of the countries which benefit most from the unconventional policies are these from Southern Europe. On the contrary, the announcement of these programs displays a limited effect on the banks of the European core countries and those with solid banking system. Finally, the announcements seem to reduce the volatility of stock prices and especially for the Covered Bond Purchase Programme (CBPP3).

This study examines the conditional correlation and the resulting optimal hedge ratios between the Credit Default Swap (CDS) spreads of the U.S. metal and mining industries, and the prices of copper, platinum, silver and gold using the daily date from December 14, 2007 to August 18, 2018. It compares volatility and conditional correlation of the CDSs and the metal prices by employing multivariate GARCH family models which capture distinct characteristics of financial time series. It utilizes rolling window estimation techniques and constructs the one-step-ahead out-of-sample forecasts for the dynamic conditional correlations and thereafter the optimal hedge ratios. In general, our results show that copper provides the best possible hedge for dealing with the U.S. metals and mining industries’ credit risks. Our results are robust under alternate model specifications, choice of model refits and distributional assumptions.

The aim of this study is to examine the correlation of the service quality dimensions to the overall customer satisfaction in the Greek banking sector, following its restructuring due to the mergers and the takeovers during the current financial crisis period (2009 - 2015), and to analyze in particular the case of Piraeus Bank, the biggest Greek commercial Bank. The research conducted so as the data to be collected, was drawn from a customer sample of the Piraeus Bank and as for the measurements used, are based on the widely accepted SERVQUAL model, as it is proposed by Parasuraman et al. (1988), where the five dimensions of service quality merged: reliability, responsiveness, empathy, assurance and tangibles. According to the results, all service quality dimensions are positively related to the customer satisfaction. The greatest impact, regarding customer satisfaction, was observed most in the dimensions of empathy and reliability. Moreover, it was discovered that a certain type of customer discontent is on the verge of being manifested among the considered bank services.

This paper investigates the spread of the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC) to different market capitalization segments across countries and regions. Specifically, it tests for capitalization-specific contagion across both crises and their phases by examining large, medium and small capitalization indices of G-20 equity markets. The analysis across stable and the two crisis periods shows the existence of a stronger largecap transmission channel for the majority of countries. On the other hand, the contagion dynamics across the phases of the two crises do not provide a clear pattern of a specific cap size-based contagion across all markets. However, there is evidence that the Pacific region and the three cap groups of some individual markets of different regions are less severely affected. Further, all three cap groups of developed markets are mostly affected during the last phase of the ESDC, while emerging and frontier markets show a more diverse pattern of contagion across the phases of both crises. Finally, the Lehman Brothers’ collapse triggers a dramatic increase of the infection rate, while the ESDC seems to be more contagious than the GFC.

The purpose of this paper is to examine the impact of terrorism on tourism demand in Greece using monthly data from 1977 to 2012. We investigate whether this relationship is bidirectional and whether it exhibits long run persistence. Thus, we employ a large dataset of terrorist incidents and perform cointegration and long-run causality tests, correcting our data for cyclical seasonality and applying PCA to construct a terrorism proxy according to the severity of the incident. Our findings concur that terrorism has a significant negative impact on tourist arrivals to Greece and that causality is noted from terrorism to tourism only. The results suggest that authorities should establish firm measures against terrorism and that further actions should be taken to promote tourism, safety and security, as a response to terrorist incidents. Our study is, to the best our knowledge, the first to approach terrorism using a three-factor proxy with qualitative features.

This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis for 2004–2015. The results indicate that the Canadian Dollar and Great British Pound were affected mainly by the US Dollar across the two crises due to strong financial and economic ties among the three economies, while the Japanese Yen shows evidence of a safe-haven currency. We also provide evidence of varying vulnerability of currencies to both crises, implying increased portfolio diversification benefits, since holding a portfolio with diverse currencies is less subject to systematic risk. These results show that the policy makers need to adopt a stricter form of monetary policy coordination among central banks, since the different vulnerability of currencies across turbulent periods reveals possible non-cooperative monetary policies.

This study provides new evidence on emerging stock market contagion during the Global Financial crisis (GFC) and the Euro zone Sovereign Debt Crisis (ESDC). Focusing on the three emerging Baltic markets and developed European markets, proxied by the EUROSTOXX50 stock index, we explore asymmetric dynamic conditional correlation dynamics across stable and crisis periods. Empirical evidence indicates a diverse contagion pattern for the Baltic region across the two crises. Latvia and Lithuania were contagious during the GFC, while they were insulated from the adverse effects of the ESDC. On the other hand, Estonia decoupled from the negative consequences during the global turmoil period, but recoupled during the ESDC. The results could be attributed to financial and macroeconomic characteristics of the Baltic countries before and after the turmoil periods and the introduction time of the Euro as a national currency.

This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based on tick by tick data on securities traded in the Athens Stock Exchange (ASE) during the Greek sovereign debt crisis. The results show a positive and statistically significant correlation between the volatility of TR-VPIN and future short-term volatility for securities that are exposed to asymmetric information during the period under examination. This evidence expands the existent literature which shows that the absolute order imbalance forecasts absolute returns, suggesting that TR-VPIN is a real-time informative indicator of the Probability of Informed Trading (PIN) in the high frequency domain. Further, the long-range dependence between the conditional volatilities of TR-VPIN and stock returns becomes more significant as we move towards securities which display stronger long memory. This is perfectly in line with the recent empirical evidence in microstructure literature that large past shocks of flow toxicity can lead to volatility through liquidity shortages.

This paper investigates the contagion effects of the global financial crisis (GFC) and Eurozone sovereign debt crisis (ESDC) on Islamic equity and bond markets. Using a sample of Islamic stock indices from various developed and emerging markets and the global Islamic stock and bond (sukuk) indices, we explore asymmetric conditional correlation dynamics across stable and crisis periods and across the two crises. The results fail to provide strong contagion evidence between conventional and Islamic equity and bond indices, supporting the decoupling hypothesis of the Islamic securities. Our findings imply that Islamic equities and bonds may provide a cushion against risk and instability, particularly in periods of turmoil. The small number of contagion cases mostly relates to the ESDC and developed Islamic stock indices. The findings also show that the Islamic emerging stock indices in the BRICS provide the most effective international portfolio diversification benefits compared to the Islamic developed indices.

This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank (ECB), the Bank of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcements, and from GBP to EUR over the BoE announcements, (ii) the ECB and BoE announcements significantly increase the volatility of EUR and JPY, and (iii) a ‘‘calming down’’ impact on the volatility of EUR and GBP from the BoJ and the ECB announcements, respectively.

This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank, the Bank of Japan and the Bank of England on exchange rate dynamics. Using intraday data of three major exchange rates (EUR/USD, GBP/USD, JPY/USD), we apply a univariate APARCH(1,1) model and include QE dummies to empirically investigate how exchange rates are affected in mean and volatility. The empirical results indicate: (i) a direct negative impact on GBP and JPY and no effect of their volatility around the QE announcements of the corresponding central banks, (ii) a delayed devaluation of EUR and an increase of its volatility before and after the ECB’s announcements. Furthermore, the behavior of dynamic conditional correlation among currencies is investigated across the QE announcements. We find a decline in the conditional correlation between EUR and GBP around the announcements by the BoE. These findings highlight the differences on the credibility and effectiveness of the monetary easing strategies and provide important implications from the investors’ and policy makers’ perspective.

This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-information channel as a contagion mechanism among the U.S. stocks, real estate, commodities and emerging Brazilian bond index. The findings also support the decoupling of BRIC equity markets from the crisis, the diversification benefits of shipping and foreign exchange value of the U.S. dollar indices, and the existence of a flight to quality mechanism from risky U.S. assets to German bonds. This evidence has important implications for portfolio diversification strategies and the future work of policymakers.

This paper examines long and short-run relationships among three emerging Balkan stock markets (Romania, Bulgaria and Croatia), two developed European stock markets (Germany and Greece) and United States (U.S.), during the period 2000 - 2005. We apply Johansen's (1988) cointegration methodology to test the long-run relationships between these markets and Granger's (1969) causality methodology in order to capture short-runcointegration. Our findings are mixed. We provide evidence on long-run relationships between the Bulgarian and Croatian stock markets and the developed markets. On the other hand, there is no any cointegration among the developed markets and the Romanian market. Moreover, there is no cointegrating relationship among the threeregional emerging markets, while short-run relationships exist only among the region. These results have crucial implications for investors regarding the benefits of international portfolio diversification.

This paper investigates calendar anomalies for four emerging stock markets (Romania,Bulgaria, Croatia and Turkey) and their mature counterpart in the Balkan region (Greece), during the period 2000-2008. Five well known calendar effects on both return and volatility are examined; the day of the week effect, the January effect, the half month effect, the turn of the month effect and the time of the month effect. We provide evidence for the existence of three calendar effects (day of the week, turn of the month, time of the month) in both mean and volatility equations for Greece and Turkey, which is consistent to the findings of previous studies. On the other hand, the effects for the three emerging Balkan markets are limited and exist only in volatility. This contradictory evidence could be due to a different level of liquidity and maturity for these markets.

This study examines firm’s stock returns’ behaviour, when they announce corporate events like management change, collaborations and stock repurchase. It examines how this change is portrayed in firms’ stock prices returns. The methodologies used are the methodology of event study analysis and bootstrap methodology. Companies selected belong to eight different sectors of Athens Stock Exchange with different Stock Exchange value in order to get a more general picture that does not only represent one sector which can be influenced individually from accidental factors. The sample constitutes forty firms listed in Athens Stock Exchange. Results indicate that corporate events’ impact is important and a key for enterprises to follow new challenges and create financial value. This paper provides evidence on the impact of corporate governance on stock returns in Greece. The implication is that corporate events create financial value.

This chapter investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE/ASE 20 index during the period 1995 to 2008. We focus on a less developed and efficient stock market, given the existing scarcity of research in such markets. The technical rules that will be explored are simple moving averages. We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t test and bootstrap methodology under the generalized autoregressive conditional heteroscedasticity model. The results provide strong evidence on the profitability of the technical trading rules against the “buy and hold” strategy and contradict the efficient market hypothesis.

This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized dynamic conditional correlation (AG-DCC) model developed by Cappiello, Engle and Sheppard (Journal of Financial Econometrics, 2006). Using structural breaks, we identify the optimal time decay where financial markets share highest comovement. The results show an increase in the level of dependence during the period of the internet bubble collapse (2000), the Balkan countries start formally discussions to join European Union (2000), the introduction of Euro banknotes and coins (2002) and the entry of CE countries in EU (2004). The CE European and Balkan countries become gradually more integrated with the EMU countries, which is consistent with the interpretation that these countries may be expected to join the Euro in the future.

This chapter examines overreaction hypothesis in four emerging Balkan stock markets (Bulgaria, Romania, Croatia, Turkey), using average returns of four developed markets (US, UK, Germany and Greece), during the period 2000-2007. The hypothesis tested is that developed market movements create overreaction to Balkan ones. We apply the Dimson’s (1979) aggregated coefficients method upon the conventional market model and an asymmetric non-linear smooth-transition generalized autoregressive conditional heteroskedasticity (ANST –GARCH) model. The findings provide evidence on accepting the overreaction hypothesis in Balkan markets and on excess volatility with asymmetric mean reversion patterns. The findings also support that a “momentum” portfolio strategy is the most appropriate for exceptional returns in emerging Balkan markets.