This study investigates the pricing efficiency of FTSE/ATHEX-20 index futures contracts and examines whether arbitrage profits exist in the Greek market. By comparing ex-post mispricing with round-trip total transaction costs faced by different groups of market participants, the empirical...

Volatility has emerged as an important distinct asset class over the past decade. The popularity of volatility stems from its unique properties, namely its negative correlation with equity returns and its usefulness as insurance against tail risk. Trading applications of volatility-related...

The purpose of this study is to investigate the fluctuations that occur in stock returns of US stock indices when there is an increase in the volume of Google internet searches for the phrase "quantitative easing" in the US. The exponential generalized autoregressive conditional...

In this paper, we study spillover effects on the stock markets of six African and nine Middle Eastern emerging economies before, during, and after the implementation of unconventional monetary policies by the United States Federal Reserve (US Fed). Weekly data covering the pre-quantitative...