Purpose – This paper aims to propose a general, yet simple model to estimate interest rate volatility. Design/methodology/approach – The methodology is based on an extended Exponential Generalized ARCH (EGARCH) model that incorporates both interest rate levels as well as past information...

Purpose – In recent years, stock exchanges have been increasingly integrating and merging their activities at a national and international scale. While consolidation is often driven by technological, legal and competitive changes, whether merger activities are efficient in terms of market...

Purpose – The purpose of this paper is to examine the relationship between beta and returns in the Athens stock exchange (ASE), taking into account the difference between positive and negative market excess returns' yields. Design/methodology/approach – The data were taken from DataStream...

Purpose – The aim of this empirical study is to explore the factors that affect the capital structure of manufacturing firms and to investigate whether the capital structure models derived from Western settings provide convincing explanations for capital structure decisions of the Pakistani...

Purpose – This study aims to test empirically the validity of the accounting valuation model that is based on earnings and book values for loss-reporting firms under a conservative accounting regime. Design/methodology/approach – The empirical tests are performed by employing returns models...

Purpose - The purpose of this paper is to examine the determinants of profitability for a sample of Greek non-financial firms listed in the Athens Stock Exchange for the period 1995-2003. This is a very important period for the Greek economy on the way to European monetary union (EMU)....

Purpose – This paper aims to investigate the intervalling effect bias in ETFs' systematic risk expressed by beta. The authors' findings reveal the existence of a significant intervalling effect on ETFs' beta obtained by the ordinary least squares method (OLS). Also investigated is the impact...

Purpose -The purpose of this paper is to empirically examine the market efficiency, asymmetric effect and time varying risk–return relationship for daily stock return of Amman Stock Exchange (ASE). Design/methodology/approach -The Box–Jenkins selection model is used to determine the...

Purpose -This study seeks to examine the key factors that affect the timeliness of corporate internet reporting (CIR) by the Egyptian listed corporations on the Cairo and Alexandria Stock Exchange. Design/methodology/approach - The authors use firm characteristics and corporate governance...

Purpose - The paper's objectives are: to address the issue of cointegration (efficient market hypothesis) between Greek spot and futures markets over the period of the crisis, 1999-2001; to investigate the short-run and long-run efficiency of the FTSE/ASE-20 stock index futures contract and FTSE/ASE...