This paper examines hedging in Greek stock index futures market. The focus is on various techniques to estimate constant or time-varying hedge ratios. For both available stock index futures contracts of the Athens Derivatives Exchange (ADEX), a variety of econometric models are employed to...

This paper examines calendar anomalies (day-of-the-week and monthly seasonal effects) in cash and stock index futures returns. We consider daily data from FTSE100 (UK), FTSE/ASE-20 (Greece), S&P500 (US) and Nasdaq100 (US) spot and future indexes over the period 2004–2011. We employ a...

Purpose – The purpose of this paper is to evaluate the determinants of bank profitability in China. It examines the effects of inflation on bank profitability, while controlling for comprehensive bank-specific and industry-specific variables. Design/methodology/approach – The sample...

This article examines the effect of GDP growth on bank profitability in China over the period 2003--2009. The one-step system GMM estimator is used to test the persistence of profitability in the Chinese banking industry. The empirical findings suggest that cost efficiency is positively related...

The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European...

We assess the relationship between bank efficiency, risk and capital for a sample of Chinese commercial banks employing three efficiency indexes and four risk indicators under a three stage least square method in a panel data framework. The empirical evidence suggests that there is a positive...

The recent financial crisis has led to a reduction in credit granted, a decreased volume of activity in international financial markets and an increase in risk-taking behaviour. Several rounds of banking reforms in China have aimed to improve the efficiency, enhance the financial stability and...

Purpose – The purpose of this paper is to examine the relationship between the Athens Olympic Games and the Athens Stock Exchange (ASE). It aims to test: the effect of the Athens 2004 Olympics on the general index of the ASE; the impact of the Olympic Games 2004 to the sponsors' prices traded...

The paper investigates the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries. A DCC-GARCH-GJR approach is employed to test the above hypothesis based on data from six countries; Oil-exporting: Canada, Mexico, Brazil and...

Autoregressive fractionally integrated moving average (ARFIMA) and heterogeneous autoregressive (HAR) models are estimated and their ability to predict the one-trading-day-ahead CAC40 realized volatility is investigated. In particular, this paper follows three steps: (i) The optimal sampling...