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Article
Publication date: 6 June 2008

Christos Floros

The paper aims to investigate the monthly and trading month effects in the stock market returns of the ASE using daily data before and after the crisis of 1999‐2001. In…

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Abstract

Purpose

The paper aims to investigate the monthly and trading month effects in the stock market returns of the ASE using daily data before and after the crisis of 1999‐2001. In addition, the study seeks to consider data from both periods of the ASE, before and after the upgrade of the market (May 2001).

Design/methodology/approach

This paper examines the calendar effects in the Greek stock market returns using an ordinary least squares (OLS) model. Daily closing prices of the General ASE Index, FTSE/ASE‐20 and FTSE/ASE Mid 40 are used to calculate daily returns. The time period includes data from 26 November 1996 to 12 July 2002 for General ASE Index, 23 September 1997‐30 August 2001 for FTSE/ASE‐20 and 8 December 1999‐30 August 2001 for FTSE/ASE Mid 40.

Findings

The results show that there is no January effect. In other words, daily returns are not higher in January than in any other month. Moreover, the results for the trading month effect show higher (but not significant) returns over the first fortnight of the month.

Practical implications

The results have important implications for both traders and investors. The findings are strongly recommended to financial managers dealing with Greek stock indices.

Originality/value

The contribution of this paper is to provide evidence using data before and after the financial crisis of 1999‐2001 in Greece.

Details

Managerial Finance, vol. 34 no. 7
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 13 February 2017

Yong Tan, Christos Floros and John Anchor

This study aims to test the impacts of risk-taking behaviour, competition and cost efficiency on bank profitability in China.

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3654

Abstract

Purpose

This study aims to test the impacts of risk-taking behaviour, competition and cost efficiency on bank profitability in China.

Design/methodology/approach

A two-step generalized method of moments system estimator is used to examine the impacts of risk, competition and cost efficiency on profitability of a sample of Chinese commercial banks over the period 2003-2013.

Findings

The paper finds that credit risk, liquidity risk, capital risk, security risk and insolvency risk significantly influence the profitability of Chinese commercial banks. To be more specific, credit risk is significantly and negatively related to bank profitability; liquidity risk is significantly and positively related to return on assets (ROA) and net interest margin (NIM) but negatively related to return on equity (ROE); capital risk has a significant and negative impact on ROA and NIM but a positive impact on ROE; there is a significant and negative impact of security risk on bank profitability (ROA and NIM). It is found that Chinese commercial banks with higher levels of insolvency risk have higher profitability (ROA and ROE). Finally, higher competition leads to lower profitability in the Chinese banking industry, and Chinese commercial banks with higher levels of cost efficiency have lower ROA. In other words, the structure–conduct–performance paradigm rather than the efficient–structure paradigm holds in the Chinese banking industry.

Originality/value

This is the first paper to investigate the impact of different types of risk, including credit risk, liquidity risk, capital risk, security risk and insolvency risk, on bank profitability. This is the first study which uses more accurate measurements of efficiency and competition compared to previous Chinese banking profitability literature and which tests their impact on bank profitability. The findings not only provide a general picture on the risk, efficiency and competition conditions in the Chinese banking industry, but also give valuable information to the Chinese Government and to the banking regulatory authorities to make relevant policies.

Details

Review of Accounting and Finance, vol. 16 no. 1
Type: Research Article
ISSN: 1475-7702

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Article
Publication date: 6 June 2008

Christos Floros and Dimitrios V. Vougas

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…

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2352

Abstract

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 Mid 40 stock index futures contract traded on the Athens Derivatives Exchange (ADEX).

Design/methodology/approach

This paper examines efficiency of the Greek stock index futures market from 1999 to 2001. A variety of econometric models are employed to test for cointegration between prices. The paper uses daily data from the Athens Stock Exchanges (ASEs) and the ADEX. A more detailed discussion on the causal relationship between spot and futures price in ADEX is obtained by using the impulse response functions of the vector error‐correction model (to study the behaviour of series from real shocks).

Findings

The results show that the Greek futures and spot prices form a stable long‐run relationship. For both FTSE/ASE‐20 and FTSE/ASE Mid 40, futures markets play a price discovery role, implying that futures prices contain useful information about spot prices. Futures markets are informationally more efficient than underlying stock markets in Greece.

Practical implications

The results have important implications for both traders and speculators. The findings are strongly recommended to financial managers dealing with Greek stock index futures.

Originality/value

The contribution of this paper is to provide evidence using data from the early stage of the ADEX (started its official operation on 27 August 1999). It also investigates whether the hypotheses exist after the dramatic rise of ASE stock prices.

Details

Managerial Finance, vol. 34 no. 7
Type: Research Article
ISSN: 0307-4358

Keywords

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Article
Publication date: 28 July 2021

Razaz Felimban, Sina Badreddine and Christos Floros

This paper examines the dividend smoothing (DS) behaviour in the Gulf Cooperation Council (GCC) countries in emerging markets where the response to news and the economic…

Abstract

Purpose

This paper examines the dividend smoothing (DS) behaviour in the Gulf Cooperation Council (GCC) countries in emerging markets where the response to news and the economic environment are different from those of developed countries.

Design/methodology/approach

The authors examine the effect of share price informativeness on DS in the GCC markets using unbalanced panel data for a sample of 628 GCC-listed firms during 1994–2016. For the regression analysis, the hypotheses are tested using panel regressions and generalised method of moments (GMM) estimation.

Findings

First, the Lintner model shows that the DS degree in GCC firms is comparable to that of a developed market. Second, and importantly, the results reveal that the DS in GCC firms is sensitive to private information of share prices. Finally, the findings indicate that information asymmetry (IA) and agency-based models affect the tendency to smooth dividends in the GCC markets.

Originality/value

This study is the first study to measure the degree of DS using data for all GCC countries. The authors also identify other determinants of DS behaviour and test the agency and IA explanations for DS in GCC-listed firms. The findings are highly recommended to financial managers and analysts dealing with the GCC markets. This study helps financial analysts to use the share price informativeness as an indicator for the presence of the IA. The study results are beneficial to researchers in understanding the relationship between DS and share price informativeness.

Details

Journal of Economic Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 19 March 2021

Nektarios Gavrilakis and Christos Floros

The purpose of this paper is to identify whether heuristic and herding biases influence portfolio construction and performance in Greece. The current research determines…

Abstract

Purpose

The purpose of this paper is to identify whether heuristic and herding biases influence portfolio construction and performance in Greece. The current research determines the situation among investors in Greece, a country with several economic problems for the last decade.

Design/methodology/approach

A survey has been conducted covering a group of active private investors. The relationship between private investors' behavior and portfolio construction and performance was tested using a multiple regression.

Findings

The authors find that heuristic variable affects private investor's portfolio construction and performance satisfaction level positively. A robustness test on a second group, consisting of professional investors, reveals that heuristic and herding biases affect investment behavior when constructing a portfolio.

Practical implications

The authors recommend investors to select professional's investment portfolio tools in constructing investment portfolios and avoid excessive errors, which occur due to heuristic. The awareness and understanding of heuristic and herding could be helpful for professionals and decision-makers in financial institutions by improving their performance resulting in more efficient markets.

Originality/value

The main contribution of this paper lies in the fact that it is the first study on two major behavioral dimensions that affect the investor's portfolio construction and performance in Greece. The rationale of the current research is that the results are helpful for investors in order to take rational, reliable and profitable decisions.

Details

Review of Behavioral Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1940-5979

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Article
Publication date: 6 June 2008

Christos Floros

The paper's aim is to examine the influence of the Greek political elections on the course of the Athens Stock Exchange (ASE). Using daily data from the ASE General Price…

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1152

Abstract

Purpose

The paper's aim is to examine the influence of the Greek political elections on the course of the Athens Stock Exchange (ASE). Using daily data from the ASE General Price Index, it seeks to empirically examine the effect of political elections (Parliamentary and European elections) on the course of the ASE over the period 1996‐2002.

Design/methodology/approach

This paper examines the relationship between Greek political elections and ASE using ordinary least squares (OLS) models. It concentrates on the pre‐election and the post‐election periods of the last decade. Daily closing prices of the General ASE index are used for the period 1996‐2002.

Findings

The results show that two months prior to the elections index performance increases on average and the mean daily fluctuation decreases. One month before the elections, index performance decreases, the mean daily fluctuation increases and the change of daily exchange value increases on average. During the three‐month post‐election period, there is a considerable increase of index progress. Furthermore, between three and six months after the elections, a decrease in performance is found, while for a collective six months after the elections, there is remarkably positive course. Using a simple OLS model with a dummy variable, it is found that there is a negative effect of the political elections on the course of the ASE. However, this effect is always insignificant.

Practical implications

The results have important implications for traders, investors and political analysts. The findings are strongly recommended to financial managers dealing with Greek stock indices.

Originality/value

The main contribution of this paper is to provide evidence using data before and after the financial crisis of 1999‐2001 in Greece.

Details

Managerial Finance, vol. 34 no. 7
Type: Research Article
ISSN: 0307-4358

Keywords

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Article
Publication date: 14 May 2018

Razaz Felimban, Christos Floros and Ann-Ngoc Nguyen

The purpose of this paper is to investigate the stock market response to dividend announcements in high growth emerging markets of Gulf countries.

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2378

Abstract

Purpose

The purpose of this paper is to investigate the stock market response to dividend announcements in high growth emerging markets of Gulf countries.

Design/methodology/approach

The sample includes 1,092 dividend announcements from 299 listed firms over the period 2010-2015.

Findings

In the environment where there is an absence of capital gain and income tax, the authors find some evidence for the stock price reaction that partly supports the signaling hypothesis. The findings show that the Gulf Cooperation Council (GCC) market is inefficient because of the leakage information before the announcement in bad news, and the delay of share price adjustment in good news. In addition, the authors report significant trading volume (TV) reaction in all the three announcements clusters, where dividends increase, decrease, and are constant, lending support to the hypothesis that the dividend change announcements have an impact on the TV response due to different investors’ preferences.

Originality/value

This is the first empirical paper on market reaction in share price and TV around dividend announcement using data for the majority of GCC countries.

Details

Journal of Economic Studies, vol. 45 no. 2
Type: Research Article
ISSN: 0144-3585

Keywords

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Article
Publication date: 10 October 2016

Christos Floros and Enrique Salvador

The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures markets. The authors capture the size and change in…

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1242

Abstract

Purpose

The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures markets. The authors capture the size and change in speculative behaviour in futures markets by examining the role of liquidity variables (trading volume and open interest) in the behaviour of futures prices.

Design/methodology/approach

The sample includes daily data covering the period 1996-2014 from 36 international futures markets (including currencies, commodities, stock indices, interest rates and bonds). The authors employ a two-stage estimation methodology: first, the authors employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors consider a regression framework to examine the contemporaneous relationships between volatility, trading volume and open interest. To quantify the percentage of volatility that is caused by liquidity variables, the authors also regress the estimated volatilities on the measures of open interest and trading volume.

Findings

The authors find that: market depth has an effect on the volatility of futures markets but the direction of this effect depends on the type of contract, and there is evidence of a positive contemporaneous relationship between trading volume and futures volatility for all futures contracts. Impulse-response functions also show that trading volume has a more relevant role in explaining market volatility than open interest.

Practical implications

These results are recommended to financial managers and analysts dealing with futures markets.

Originality/value

To the best of the authors’ knowledge, no study has yet considered a complete database of futures markets to investigate the empirical relation between price changes (volatility), trading volume and open interest in futures markets.

Details

International Journal of Managerial Finance, vol. 12 no. 5
Type: Research Article
ISSN: 1743-9132

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Article
Publication date: 8 March 2011

Christos Floros

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…

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2936

Abstract

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.

Design/methodology/approach

Daily financial and weather data from Lisbon Stock Exchange (PSI 20 index) and Lisbon capital for the period 1995‐2007 are considered. The paper employs an AR(1)‐TGARCH(1,1) model under several distributional assumptions (Normal, Student's‐t and GED) for the errors.

Findings

Empirical results show that temperature affects negatively the PSI20 stock returns in Portugal. Moreover, temperature is dependent of both January and trading month effects. Stock returns were found to be positive in January and higher over the first fortnight of the month. Lower temperature in January leads to higher stock returns due to investors' aggressive risk taking.

Research limitations/implications

Further research should investigate the impact of other meteorological variables (humidity, amount of sunshine) and other calendar anomalies on the course and behaviour of major international stock indices using data before and after the recent crisis.

Practical implications

The findings are helpful to financial managers, investors and traders dealing with the Portuguese stock market.

Originality/value

The contribution of this paper is to provide evidence on the empirical linkages between temperature and stock market returns using GARCH models. To better understand the relationship between the temperature and stock market returns, the paper also examines whether the returns are higher in winter (January effect) and during the first or second fortnight of the month (trading month effect). To the best of the author's knowledge, this is the first empirical investigation on weather and stock market returns relationship for Portugal.

Details

Studies in Economics and Finance, vol. 28 no. 1
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 30 August 2011

Christos Floros

The aim of this paper is to examine the dynamic relationships between Middle East stock markets.

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1011

Abstract

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 GARCH(1,1) model to explain price discovery and lead‐lag relationships for the period July 1997 – August 2007.

Findings

Empirical results confirm that the Egyptian market plays a price discovery role, implying that CMA prices contain useful information about TASE‐100 prices. CMA market is more informationally efficient than TASE‐100 market. Further, CMA index reflects new information faster than TASE‐100 index.

Research limitations/implications

Future research should examine the dynamic relationships between Middle East stock markets using intraday (high frequency) data and recent dynamic (long memory) methods.

Practical implications

The findings are helpful to financial managers and traders dealing with Middle East stock markets.

Originality/value

The contribution of this paper is to provide evidence on the stock market dynamics and financial linkages between two Middle East emerging markets using recent daily data and a modern econometric model. To the best of the author's knowledge, no previous study has tested the dynamic relationships between daily prices of CMA and TASE‐100.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. 4 no. 3
Type: Research Article
ISSN: 1753-8394

Keywords

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