TOPICS

Finance

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Applied Research

Eurozone Debt Crisis and Bond Yields Convergence: Evidence from the New EU Countries

This article examines 10-year bond yields convergence between each of the new EU countries and Germany, including a structural break that embodies the effects of the current debt crisis in the Eurozone. The analysis is based on a new definition of bond yields convergence that can be interpreted either as strong or weak monetary policy convergence, depending on whether the conditions of UIP and ex-ante PPP hold or are violated, respectively.

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Applied Research

Assessing the Overall Performance of Microfinance Institutions

The results show that the size of the MFIs has a robust non-linear, inverted U-shaped impact on overall performance. Age and the status of non-governmental institution also appear to matter. As it concerns the country-level attributes, GDP growth has a robust positive impact on overall performance. Regional differences also appear to matter

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Applied Research

Linkages between the Eurozone and the South-Eastern European Countries: A VECMX Analysis

We assess the impact of the Eurozone’s economic policies on specific South-Eastern European countries. Since these countries are connected to the EU or the Eurozone and the economic interdependence among them is evolving, we carried out our analysis using the VECMX framework.

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Applied Research

Linkages between the Eurozone and the South-Eastern European Countries: A Global VAR Analysis

In the present paper we assess the impact of the Eurozone’s economic policies on specific South-Eastern European countries, namely Bulgaria, Croatia, Cyprus, Greece, Romania, Slovenia and Turkey.

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Applied Research

Transmission Effects in the Presence of Structural Breaks: Evidence from South-Eastern European Countries

In this paper, we investigate the monetary transmission mechanism through interest rate and real effective exchange rate channels.

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Applied Research

Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate

This paper investigates whether the nominal euro exchange rate against the currencies of China, Japan, the UK and the USA converges or not to its equilibrium level.

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Applied Research

Portfolio Management: An Investigation of the Implications of Measurement Errors in Stock Prices on the Creation, Management and Evaluation of Stock Portfolios, Using Stochastic Simulations

In this paper, we investigate the implications of measurement errors in the daily published stock prices on the creation and management of efficient portfolios.

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Applied Research

Nonlinear Diachronic Relationships between Financial Newspapers Circulations and the General Index of the Athens Stocks Exchange

This paper investigates the existence of any linear or non-linear diachronic relationship between the financial newspapers circulations and the General Index of the Athens Stocks Exchange (ASE).

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Applied Research

Optimal Portfolio Analysis for the Czech Republic, Hungary and Poland During 2001-2006 Period

This paper examines the strategy of investing in selected East European stock markets: The Czech Republic, Hungary, and Poland.

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Applied Research

Asymmetric Volatility Spillovers Βetween Stock Market and Real Activity: Evidence from UK and US

The present study examines the relation between real stock returns and real industrial production (IP) growth for the UK and the US.

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Data Analytics

Nonlinear Diachronic Effects Between Stock Returns and Mutual Fund Flows: Additional Empirical Evidence from the Athens Stocks Exchange

This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa.

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Applied Research

Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds Through Optimisation Techniques: Some Empirical and Monte Carlo Results

In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach

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Applied Research

Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Based Approach.

This paper proposes an alternative way of testing FOREX efficiency for developing countries

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