This paper investigates the inter-temporal relationship between banking profitability, competition and risk of a sample of Chinese commercial banks by employing several profitability and risk indicators and using Seemingly Unrelated Regression (SUR) under a panel data framework over 2003-2009....

This paper investigates the effect of automated teller machines (ATMs), information technology (IT) investments and other determinants on the efficiency and profitability of Greek commercial banks. Following the two-step procedure: 1) efficiency is derived via the non-parametric data envelopment...

Purpose – The purpose of this paper is to focus on the performance of three alternative value-at-risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time...

This paper examines the empirical relationship between CPI, oil prices, stock market and unemployment in EU15 using a new computational approach. In particular, we propose a novel approach to train the well-known vector autoregressive (VAR) model using a particle swarm optimisation (PSO) method....

Purpose – The aim of this paper is to examine the relationship between weather (temperature) and stock market returns using daily data from Portugal; also, to examine whether the temperature is driven by calendar-related anomalies such as the January and trading month effects....

Purpose – The aim of this paper is to examine the dynamic relationships between Middle East stock markets. Design/methodology/approach – Daily data from the Egyptian (CMA) and Israeli Tel Aviv Stock Exchange (TASE-100) stock indices are considered. The paper employs a Bivariate cointegration...

This study examines the effect of the first introduction of Greek stock options (Greek Telecommunication Organisation, Intracom, National Bank of Greece and Alpha Bank) on stock prices and volatility for the period 1999 to 2002. We examine the asymmetric information hypothesis using a standard...

Most of the currently known option pricing techniques utilize the underlying asset price and strike price, its volatility and time to maturity, as well as the risk freerate. However, both the volatility and the risk-free rate are anticipated via the price move of the underlying asset. Looking at...

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...

Purpose – The purpose of this paper is to empirically test dominant theories and assumptions in behavioral finance, using data from the Standard & Poor's 500 index. Design/methodology/approach – The empirical analysis has three parts: to test the assumption of risk aversion; to examine the...