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Working papers

The Working Papers in the series circulate mainly for early presentation and discussion, as well as for the information of the Academic Community and all interested in our current research activity. The authors assume full responsibility for the accuracy of their papers as well as for the opinions expressed therein. Please do not quote without the author(s)’ permission.


The Greek sovereign debt crisis and the effects on global banking system

Authors: Anastassios A. Drakos, Georgios P. Kouretas, Prodromos Vlamis

Foreign bank ownership and business regulations

Authors: Manthos D. Delis, Georgios P. Kouretas, Chris Tsoumas

Creditor moral hazard during EMU debt crisis

Authors: Theodoros Bratis, Georgios P. Kouretas, Nikiforos T. Laopodis

The Monetary Policy in the Eurozone, the United Kingdom and the US: Evidence from the 2007-2009 financial crisis period

Authors: Georgios P. Kouretas, Nikiforos T. Laopodis, Evangelos Salachas


Is Personal Branding pushing the epistemological boundaries of marketing?


Personal branding, a fast-growing body of popular literature, is so far ignored or scorned by academics. Utilising discourse analysis, this paper reviews definitions of personal branding, identifies the epistemological issues they raise and highlights the inconsistencies that point towards its interpretation as a frantic attempt by marketers to expand the market for their services. It re-defines the concept and positions it within the service-dominant logic of marketing and the corporate branding literature thus relieving the tensions caused by the product-based orientation of the extant literature.

The value of the work lies in the positioning of personal branding as an analytical tool for understanding people as the common ground between theory and practice. It suggested that the time is ripe for marketing scholars to re-examine both themselves and the role of marketing as a tool for satisfying the emotional needs of people living in a world of flux.

Authors: Anna K. Zarkada




Intellectual Capital, Strategy and Financial Crisis


Purpose - This study investigates the relationship of Intellectual Capital (IC) with the strategy of Small-Medium Enterprises (SMEs) and their executive decisions regarding the strategy of their IC portfolio during a financial crisis. 
Design/methodology/approach – The analysis is informed by the responses of 162 Greek SMEs on a structured questionnaire. Greek SMEs constitute an appropriate research setting since they operate within an environment of economic recession, financial turbulence and operational uncertainty.
Findings - Initial analysis indicates that SMEs’ strategic position seems to have effects on the composition of their IC portfolio, especially when a SME is strategically classified as Analytic according to Miles and Snow’s (1978) typology. Greek SMEs do not seem to follow the suggested by literature executive decisions for the strategic management of their IC portfolio. They apply on their IC components strategies that could be classified as “Act” or “Analyse” under Wissenzbilanz’s typology (Bornemann and Alwert, 2007) regardless the prospects for improvement expected for these IC components. Therefore, while SMEs seem to care about their IC they do not manage it in a coherent and strategically beneficial way.
Research limitations/implications – Findings are based on SMEs’ views on the relation of their IC with their strategy and the executive decisions they make regarding the strategic management of their IC portfolio during the financial crisis. A possible limitation but also an area for future research is to examine the implications of these relations between SMEs’ strategy and IC portfolio on SMEs’ financial performance.
Originality - The contribution of this study is that explores the relations of SMEs’ executive decisions in relation to the strategic management of IC components and the influence that the strategic position of SMEs exerts on the composition of their IC portfolio during a financial crisis.

Authors: Sandra Cohen, Vassilios-Christos Naoum, Orestes Vlismas

Predicting Conditional Autoregressive Value at Risk for major stock markets during tranquil and turbulent periods


This paper employs the Conditional Autoregressive Value at Risk (CAViaR) methodology developed by Engle and Manganelli (2004) in order to examine market risk in several major equity markets. By interpreting the VaR as the quantile of future portfolio values conditional on current information, Engle and Manganelli (2004) propose this approach to quantile estimation that does not require any of the extreme assumptions of the existing methodologies, mainly normality and i.i.d. returns. The CAViaR model shifts the focus of attention from the distribution of returns directly to the behaviour of the quantile. We provide a comparative evaluation of the predictive performance of four alternative CAViaR specifications, namely Adaptive, Symmetric Absolute Value, Asymmetric Slope and Indirect GARCH(1,1) models. The main findings of the present analysis is that we are able to confirm some stylized facts of financial data such as volatility clustering, while the Dynamic Quantile criterion
selects different models for different confidence intervals for the case of the five general indices.

 Anastasios. A. Drakos, Georgios P. Kouretas, Leonidas Zarangas

You might be reputable but are you ‘Liked’? Orchestrating Corporate Reputation Co-Creation on Facebook


Purpose: This chapter expands traditional approaches to Corporate Reputation Management by employing postmodernist approaches to value co-creation in order to identify how Facebook Features can be used to facilitate company-consumer Corporate Reputation co-creation.
Methodology/approach: Using content analysis of Facebook Fan Pages the chapter explores how 29 of the world’s most reputable corporations use Facebook Features.
Findings: To a surprising degree, the corporations in the sample, despite having virtually limitless access to marketing communications resources, fail to make full use of the opportunities Facebook offers them. It appears that they have not yet fully adapted to this novel medium.
Research implications: Facebook together with the locus has also shifted the focus of corporate communications from one-way company controlled transmission of information to multi-party user controlled conversations. Thus, Corporate Reputations can no longer be managed. Instead, by offering consumers experiences and emotional triggers, corporations can engage them into willingly marketing the corporation and its products to each other
Originality/value of paper: This is the first systematic analysis of the practices the world’s most prominent corporations utilise (or fail to employ) on Facebook. It illustrates that companies that adapt to the Social Media ecology can successfully orchestrate customer experiences that foster the co-creation of the desired Corporate Reputation.

Dr Anna K. Zarkada, Ms Christina Polydorou

Measuring systemic risk in emerging markets using CoVaR


The recent financial crisis has shown that the regulation framework that has been implemented over the last twenty years as formulated in the Basle I and II agreements relied excessively on the monitoring of individual financial institutions. It then failed to capture the contribution of systemic risk, which is considered to be the risk that results from the collective behaviour of financial institutions that have significant effects on the real economy. In this paper we investigate the extent to which distress within different sub-segments of the financial system, namely, the banking, insurance and other financial services industries contribute to systemic risk. We conduct our analysis using the measure of systemic risk recently developed by Adrian and Brunnermeier (2011). We employ weekly data for the period December 1995 to February 2013 for selected countries from three regions of emerging economies, namely, Latin America, Southeast Asia and Central and Eastern Europe. Our main results provide evidence that in most of the emerging markets under investigation the banking industry contributes relatively more to systemic risk in periods of distress than does the insurance industry or the other financial services industry. Furthermore, when we examine the estimated ΔCoVaR measures we observe that for all industries the contribution to systemic risks has increased since 2008.

Anastasios. A. Drakos, Georgios P. Kouretas

Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR


The recent financial crisis has shown that the regulatory framework that has been formulated and implemented over the last twenty years under the Basel I and II agreements has relied excessively on the monitoring of individual financial institutions. It failed to capture the contribution of systemic risk, which is considered to be the risk that is the outcome of collective behaviour of financial institutions that have significant effects on the real economy. This paper investigates whether the increased presence of foreign banks which are listed on a national stock market has contributed to the increase in the systemic risk, in particular, after the financial crisis of 2007-2009. We examine the extent to which the distress of foreign banks contributes to systemic risk for the US. In addition using relevant data for the UK we investigate the extent to which distress within different sub-segments of the financial system, namely, the banking, insurance and other financial services industries contribute to systemic risk. We conduct our analysis with the CoVaR measure of systemic risk recently developed by Adrian and Brunnermeier (2011) using daily data for the period 2 January 2000 to 31 December 2012. Furthermore, we complement our analysis with the application of two tests, the significance and dominance tests, to provide a formal comparison of the relative contribution of either the domestic or foreign banks and/or each individual financial sector. Our main results provide evidence that in the US, the non-US banks contribute to the systemic risk although most of the contribution comes from the US banks. In the case of the UK we show that the banking industry contributes relatively more to systemic risk in periods of distress than the insurance industry or the other financial services industry. Furthermore, when we examine the estimated ΔCoVaR measures, we observe that for all sectors the contribution to systemic risk has increased since 2008.


Exchange Rates, fundamentals and nonlinearities: A review and some further evidence from a century of data



In this paper we provide an extensive review of the monetary model of exchange rate determination which is the main theoretical framework on analyzing exchange rate behaviour over the last forty years. Furthermore, we test the flexible price monetarist variant and the sticky price Keynesian variant of the monetary model. We conduct our analysis employing a sample of fourteen advanced economies using annual data spanning the period 1880-2012. We provide strong evidence of the existence of a nonlinear relationship between exchange rates and fundamentals. Therefore, we model the time-varying nature of this relationship by allowing for Markov regime switches for the exchange rate regimes. Modelling exchange rates within this context can be motivated by the fact that the change in regime should be considered as a random event and not predictable. These results show that linearity is rejected in favour of a MS-VECM specification which forms statistically an adequate representation of the data. Two regimes are implied by the model; the one of the estimated regimes describes the monetary model whereas the other matches in most cases the constant coefficient model with wrong signs. Furthermore it is shown that depending on the nominal exchange rate regime in operation, the adjustment to the long run implied by the monetary model of the exchange rate determination came either from the exchange rate or from the monetary fundamentals. Moreover, based on a Regime Classification Measure, we showed that our chosen Markov-switching specification performed well in distinguishing between the two regimes for all cases. Finally, it is shown that fundamentals are not only significant within each regime but are also significant for the switches between the two regimes.

 F. Diamandis, Anastasios. A. Drakos, Georgios P. Kouretas

ECB Monetary Policy in the Presence of Nonlinearities



The recent financial crisis of 2007-2009 raises several issues related to the conduct of monetary policy during the last two decades. Inflation targeting monetary strategy has been pointed as a potential source of the crisis, as its main objective of inflation stabilization might have diverted central banks from financial stability. We consider the case of ECB inflation targeting monetary policy since its inception in order to provide evidence of possible changes in its implementation after the collapse of Lehman Brothers in September 15, 2008. To this end we take into consideration the existence of nonlinearities that may exist in the estimated Taylor rule specification. We employ three alternative econometric approaches: (a) The Qu and Peron (2007) structural break model; (b) a TVP model with stochastic model and (c) a Markov-Switching VAR model using quarterly data for the ECB for the period 2001:Q1 to 2012:Q4. The main findings of our analysis show that the recent financial turmoil and
the debt crisis had not led the ECB to a stronger response to inflation in its reaction function and debt crisis. From a theoretical and policy perspective our findings imply that the ECB could stabilize inflation without adopting a more aggressive set of monetary rules to combat increased inflation changes.

 Anastasios. A. Drakos, Georgios P. Kouretas 



Shareholding in EU: Is “indirect holding” approach appropriate in achieving financial integration?

31 May 2012


The purpose of this paper is to focus on the specific “shareholder’s” concept of transparency. It considers that indirect securities holding systems limited the degree of “post-trading” transparency. The main concern is that, in the effort to satisfy the need for globalizing the markets, implementation of said system had the adverse effect the actual shareholders not to be registered as such in the official registries and registrations to be effected in the name of intermediaries, acting on their behalf. It considers that new EU legislative action should be taken to address the legal effects of securities holding, as this field is of utmost importance in completing securities markets integration. To this end, the paper proposes a new architecture of securities holdings’ markets which takes into account, on the one hand, the need to facilitate cross border functioning of EU internal markets and, on the other, the need to satisfy an appropriate degree of transparency in the “post trading” field.

Georgios P. Kouretas, Christina Tarnanidou

Is the Feldstein-Horioka puzzle still with us? National saving-investment dynamics and international capital mobility: A panel data analysis across EU member countries


 Georgios P. Kouretas, L. Zarangas, S. Stavroyiannis, I. Stournaras

Bank risk-taking in Central and Eastern European countries

December 2012 

This study examines whether the lowering interest-rate environment in CEE countries since the early 2000's increased bank risk-taking behaviour. We employ 6,979 annual observations from the Bankscope database over the period 1997-2011 and find a positive relationship between bank risk-taking, measured by risk assets, and interest rates. On the contrary, there is a negative relationship between non-performing loans and interest rates. These results are robust across a number of different specifications that account, inter alia, for the potential endogeneity of interest rates and/or the dynamics of bank risk. Moreover, we provide evidence that these findings are mainly driven by the banking sector of the Russian Federation rather than that of the rest CEE countries.

 Georgios P. Kouretas, Chris Tsoumas


Financial integration and international capital mobility in the EU member countries: Evidence from panel cointegration tests



 Georgios P. Kouretas, L, Zaragas, Ch. Gogos, S. Stavroyiannis


The Feldstein-Horioka puzzle in EU member countries: A panel cointegration analysis



 Georgios P. Kouretas, L, Zaragas, Ch. Gogos, S. Stavroyiannis



Anxious periods and bank lending

26 Jul 2011


Using a number of theoretical considerations, we define distinct periods of anxiety for keyeconomic agents that are involved in lending decisions; namely, consumers, CEOs, andbanks. The main characteristic of anxious periods is that the perceptions and expectationsabout economic conditions worsen for these agents even though the economy is not in arecession. Subsequently, we study the lending behavior of US banks during the three distinctpools of anxious quarters from 1985-2010, using bank-level data. We find that banks’ lendingfalls when consumers and banks are anxious, and this effect is more pronounced when bankshold a high level of credit risk. Yet, in those anxious periods that were followed byrecessions, the negative impact of anxiety on loan growth is significantly weaker for bankswith high-credit risk that points to the existence of a moral-hazard mechanism. We also findsignificant differentiation in banks’ lending within anxious periods across different loancategories. We contend that these findings point to the identification of an ‘expectationschannel’ in banks’ lending that exists throughout the business cycle.

Manthos D. Delis, Georgios P. Kouretas, Chris Tsoumas


Does China’s International Competitiveness Fluctuates in Consistency with PPP Equilibrium?


29 Nov 2011

China’s exchange rate policy is at the centre of academic and policy making interest.A widely accepted view, especially from west countries, argues that Chinamanipulates its currency - keeping its value artificially low - so that to boost itsexports. Thus, a key question is whether China’s international competitivenessfluctuates in consistency with equilibrium. Following the PPP equilibrium conditionand by employing linear and nonlinear unit root tests, we find mixed evidence for theexchange rates under consideration. The new evidence is that, although Chineseauthorities have intervened in foreign exchange markets, China’s pricecompetitiveness was not constantly following a disequilibrium process. Our tworegimethreshold model shows that small improvement (i.e. smaller than the estimatedthreshold) in China’s international competitiveness is consistent with equilibrium,while higher improvement cannot be considered as an equilibrium phenomenon.

Nikolaos Giannellis, Georgios P. Kouretas 



Interest rates and bank risk-taking

12 Mar 2010




In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This paper uses approximately 18,000 annual observations on euro area banks over the period 2001-2008 and presents strong empirical evidence that low interest rates indeed increase bank risk-taking substantially. This result is robust across a number of different specifications that account, inter alia, for the potential endogeneity of interest rates and/or the dynamics of bank risk. Notably, among the banks of the large euro area countries this effect is less pronounced for French institutions, which held on average a relatively low level of risk assets. Finally, the distributional effects of interest rates on bank risk-taking due to inpidual bank characteristics reveal that the impact of interest rates on risk assets is diminished for banks with higher equity capital and is amplified for banks with higher off-balance sheet items.

Manthos D. Delis, Georgios P. Kouretas




Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis

12 Mar 2010




This paper provides an analysis of asset allocation using univariate portfolio GARCH models applied on daily data for the period January 1999 to December 2009 on stocks traded in the Athens Stock Exchange, a recently monitored emerging market. Our analysis adopts the variance sensitivity analysis methodology due to Manganelli (2004) and we are able to recover from the univariate approach the multivariate dimension of the portfolio allocation problem. The main results of the analysis are: First, we demonstrate that using a two asset portfolio consisting of blue chips traded in the Greek capital market the estimated variance is a parabolic and convex function of the estimated weights providing evidence that persification produces significant gains in terms of risk reduction. Second, based on the shape of the first and second derivatives the model misspecification due to the fitting univariate GARCH models is insignificant. Third, we compare the performance of variance sensitivity analysis against that of three popular multivariate GARCH models and it is shown that the adopted methodology provides more efficient results than the competing models. The gains in efficiency get larger as the size of the portfolio increases. Finally, with the application of the Kupiec’s test for out-of-sample forecasting performance we demonstrate that the variance sensitivity analysis outperforms all three alternative models at both the 95% and 99% confidence interval independently of the trading position.

P. Diamandis, A. Drakos, G. Kouretas and L. Zarangas


Contrasting mergers and acquisitions in boom and bust periods

19 Apr 2010

Research on Mergers and Acquisitions has attracted significant interest over the past three decades. An impressive body of knowledge has been accumulated. Following recommendations by Haleblian, McNamara, Carpenter and Davison, this paper examines whether the new regulatory environment (e.g. SOX) and the stock market recession of the period 2000-2003 had any impact on the performance, the motives and the processes of M&As. To do so it draws on two samples, one referring to the period 1997-1999 (M&A boom period) and the second to the period 2000-2003 (M&A bust period). The results indicate that the motives for M&As differ between boom and bust periods. However, no statistically significant difference exists in the performance (both financial and non-financial) of M&As. Results consistently indicate that approximately 60% of M&As fail, irrespective of boom or bust period. This is a striking result that can be attributed to the fact that acquiring companies did not change the processes that they followed, both before and after the deal closure. Implications for theory and practice are discussed.

Vassilis M. Papadakis, Ioannis C. Thanos

Influence tactic ambidexterity for achieving performance

21 May 2010

By tapping into different influence tactic meta-categories, we investigated the variations in subordinates' task performance that stemmed from the downward use of hard and soft influence tactics. We suggest that the combined use of these antipodal behaviors to a high degree, defined as influence tactic ambidexterity, can have a positive and more stable impact on subordinates' task performance than the use of either hard or soft tactics. This study also builds upon previous research by demonstrating that political skill leverages the relationship between influence tactic ambidexterity and subordinates' task performance.

Ilias Kapoutsis  

Value-at-Risk for long and short trading positions: Evidence from developed and emerging equity markets

02 Jun 2010 




The financial crisis of 2007-2009 has questioned the provisions of Basel II agreement on capital adequacy requirements and the appropriateness of VaR measurement. This paper reconsiders the use of Value-at-Risk as a measure for potential risk of economic losses in financial markets by estimating VaR for daily stock returns with the application of various parametric univariate models that belong to the class of ARCH models which are based on the skewed Student distribution. We used daily data for three groups of stock market indices, namely Developed, Southeast Asia and Latin America. The data covered the period 1987-2009. We conducted our analysis with the adoption of the methodology suggested by Giot and Laurent (2003). Therefore, we estimated an APARCH model based on the skewed Student distribution to fully take into account the fat left and right tails of the returns distribution. The main finding of our analysis is that the skewed Student APARCH improves considerably the forecasts of one-day-ahead VaR for long and short trading positions. Additionally, we evaluate the performance of each model with the calculation of Kupiec's (1995) Likelihood Ratio test on the empirical failure test. Moreover, for the case of the skewed Student APARCH model we computed the expected shortfall and the average multiple of tail event to risk measure. These two measures helped us to further assess the information we obtained from the estimation of the empirical failure rates.

Panayiotis F. Diamandis, Anastassios A. Drakos,Georgios P. Kouretas and Leonidas Zarangas

State-dependent expectations and the Treasury bond’s futures rates.

05 Oct 2010

The formation of expectations is central to both economic policy decisions and asset pricing. In the paper at hand we examine whether information contained in the futures contracts for the 10 year Treasury bond yields, during the period 2000-2008, falls in the context of the rational expectations hypothesis. Departing from the standard linear formulation, we test whether expectations, as reflected in the pricing process of the T-
Note futures contracts, are subject to structural changes. Thus, we employ an empirical framework that allows for non-linear long-run relations between futures and spot Treasury bond yields to be revealed. In particular, we test for existence of structural changes, in a non-linear cointegration framework and we find that during the period 2002-2003, the premium paid by investors of futures contracts in Treasury notes experienced was re-priced with the effects being positive and permanent.

George Karathanassis, Petros M. Migiakis, Vassilios I. Sogiakas 



Forecasting financial volatility of the Athens Stock Exchange daily returns: An application of the asymmetric normal mixture GARCH model

18 Feb 2009


In this paper we model the return volatility of stocks traded in the Athens Stock Exchange using alternative GARCH models. We employ daily data for the period January 1998 to November 2008 allowing us to capture possible positive and negative effects that may be due to either contagion or idiosyncratic sources. The econometric analysis is based on the estimation of a class of five GARCH models under alternative assumptions with respect to the error distribution. The main findings of our analysis are: First, based on a battery of diagnostic tests it is shown that the normal mixture asymmetric GARCH (NM-AGARCH) models perform better in modeling the volatility of stock returns. Second, it is shown that with the use of the Kupie?s tests for in-sample and out-of-sample forecasting performance the evidence is mixed since the choice of the appropriate volatility model depends on the trading position under consideration. Third, at the 99% confidence interval the NM-AGARCH model with skewed student-t distribution outperforms all other competing models both for in-sample and out-of-sample forecasting performance. This increase in predictive performance for higher confidence intervals of the NM-AGARCH model with skewed student- t distribution makes this specification consistent with the requirements of the Basel II Agreement.

 Anastassios A. Drakos, Georgios P. Kouretas, Leonidas P. Zarangas



The Dynamics of Inflation:A Study of a Large Number of Countries

24 Mar 2009


Over the last twenty years the statistical properties of inflation persistence has been the subject of intense investigation and debate without reaching a unanimous conclusion yet. In this paper we attempt to shed further light to this debate using a battery of econometric techniques in order to provide robust evidence on the degree of inflation persistence and whether this has changed during the period in which several countries have followed inflation-targeting regimes or new monetary regimes. We consider the inflation rates of thirty developed and emerging economies using quarterly data for the period 1958-2007 which includes alternative monetary policy regimes. The coefficient of the inflation parameter was estimated by OLS, ARMA and ARFIMA models. Furthermore, the grid-bootstrap median unbiased estimator approach developed by Hansen (1999) was used to estimate the finite sample OLS estimates coupled with the 95% percent symmetric confidence interval. We also examine parameter stability of persistence coefficients by estimating a model with time-varying parameters and we provide evidence that the AR coefficient has remained in most cases and for several periods high although there is a tendency for lower inflation persistence in the last decade. This finding is more evident for the case of the EMU countries since the adoption of the euro. These results are further complemented by using rolling and recursive regressions and we argue that for a number of countries there is a tendency for a decrease in persistence in the late 1990s and during the 2000s and this downturn may be the result of a shift in monetary policy.

 Georgios P. Kouretas and Mark E. Wohar  


The Role of Broader Context in Shaping the Rationality of Strategic Decision Making

15 Apr 2009


This paper investigates both the overall and the inpidual impact of four alternativeperspectives, namely Decision, Environmental, Firm and Top ManagementCharacteristics on the Rationality of Strategic Decision Making. The results from amulti-method field study of 143 Strategic Decisions indicate that rationality is shapedby three of the four perspectives, with decision-specific characteristics playing adominant role. With respect to the inpidual impact of contextual variables,Decision’s Magnitude of Impact, Past firm Performance, Firm Size and TopManagement Team’s Level of Education are related to rationality while DecisionUncertainty, Environmental Dynamism, Environmental Hostility, CEO’s tenure inposition and CEO’s need for achievement are not. In the light of these findings, wediscuss their implications and suggest ideas for future research.

 Ioannis Thanos and Vassilis Papadakis  


Endogeneity and the relationship between Board Structure and Firm performance: A simultaneous equation analysis for the Athens Stock Exchange.

Focusing on the Greek market, we attempt to control whether the independence of the board, the leadership structure and the board size, are exogenous determinants to the firm?s performance, using a simultaneous equations framework. We compose a database of firms quoted in the ASE, starting from 146 observations in 2000 and ending with 232 firms in 2006. Contrary to theoretical arguments but aligned with similar empirical works, the independence of the BOD and the leadership structure do not really have an impact in firm?s value, whilst a larger BOD in size proves to be less efficient. We believe that our effort is valued to the extent that such an empirical work is the first time conducted for the Greek market. Having gained experience of econometric analysis, no prior study has incorporated in a system of equations, these three board characteristics when examining their possible relationship with firm performance. More than that another point of distinction from all recent papers treating the endogeneity of variables, is that our a larger sample, extended to more than one or two periods, allows to test dynamic responses and provides robustness in our conclusions. We consider our work as an extension of the long discussed issue of BOD structure and firm performance in an institutional environment that differs systematically from those of other developed countries. In testing well documented interlinks between qualitative variables and firm performance in a relatively understudied market in the governance literature, our main contribution is how these institutional differences affect corporate governance. We found that the law of corporate governance enforced in the middle of the period under examination, has led to a convergence of the BOD attitude and attributes with those reported as western style culture. Investors and portfolio managers should consider these qualitative characteristics in their valuation models/strategies.

 A.A. Drakos and F.V. Bekiris     Effective multinational groupwork: The role of culture, identityand HRM competence

Incorporating cultural context into HRM research and practice concerninggroup effectiveness in multinational organisations is an ongoing challenge. The articleargues that the literature on multinational group effectiveness has been trapped inpositivist conceptualisations of culture. An alternative approach is to perceive culture as agroup rather than a national or organisational consideration. Based on such aconceptualisation, this article develops a theoretical framework that argues for managingthe multinational scenario as a distinctly ‘group’ and ‘inter-group’ phenomenon,highlighting the pivotal role of categorisation and identity processes, both of which canhave a profound effect on perception, attitudes, emotions and behaviours. It is via theseprocesses that the role of culture can be understood to impact on attitude and behaviour,and by actively managing these processes intergroup blocks to effective multinationalalliance can be eliminated or contained.

 Olivia Kyriakidou  


Spurious Spillover Effects between Spot and Derivatives Markets

Research on the relationship between spot and derivatives markets has attracted the interest by many analysts. According to many analysts there still exists a puzzle regarding the lead-lag effect and the causality of possible spillover effects between these markets. Although in most cases derivatives markets produce the means for price discovery and play a leading role in the transmission mechanism of information, many research papers derive opposite conclusions. Consequently, the empirical findings of the extant literature are either model or sample specific, while lack of the appropriate financial theory is responsible for spurious spillover effects.The paper contributes to the literature by examining three European Financial Markets under a markov switching econometric framework on the second order moments of the time series after controlling for the long run equilibrium relationships among the time series examined.According to the empirical findings of the paper there exist spillover effects, the financial interpretation of which plays a key role in the functioning of the derivatives markets.

Vassilios I. Sogiakas and George Karathanassis


The EMU Integration structure and the Spillover dynamics towards the IAS Harmonization


This paper investigates the relationship between the European Monetary Union (EMU) financial markets both in the long or in the short run term, with respect to the harmonization procedure of the International Accounting Standards (IAS). According to many analysts, the IAS could possible contribute to the transparency of the transmitted information, the direct accessibility to the fundamentals of listed firms and the uniform manipulation of accounting data not only within exchanges but also between them. Based on the above, it is expected that the financial markets should react to the IAS harmonization with tighter relationships either in the expectations of their long run structure or in the transmission of new information which is expressed by the second moment dynamics. This paper examines empirically the IAS harmonization procedure in the EMU area and its impact on the relationship of the financial markets involved. By application of regime shift methodologies, the empirical findings of the paper offer evidence consistent with the hypothesis that the IAS harmonization process contributed to the informational efficiency and the transparency of long and short run expectations into financial markets, with higher degrees of interdependencies.

 G.A. Karathanassis, V.I. Sogiakas & S.Ν. Spilioti


Dynamic correlation analysis of financial contagion:Evidence from the Central and Eastern European markets

Oct 2009

This paper applies the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002), in order to examine the time-varying conditional correlations, to the index returns of seven emerging stock markets of Central and Eastern Europe. We use weekly data for the period 1997-2009 in order to capture potential contagion effects among the US, German and Russian stock markets and the CEE stock markets. The main finding of the present analysis is that there is a statistically significant increase in conditional correlations between the US and the German stock returns and the CEE stock returns particularly during the 2007-2009 financial crisis, implying that these emerging markets are exposed to external shocks with a substantial regime shift in conditional correlation. Finally, we demonstrated that domestic and foreign monetary variables, as well as exchange rate movements have a significant impact on the corresponding conditional correlations.

 Manolis N. Syllignakis and Georgios P. Kouretas


From the Cyprus Pound to the Euro: How close is theCentral Parity Rate to the Equilibrium Rate?

24 Dec 2009

This paper attempts to shed light on the observed slowdown of the Cypriot economyjust after its admission into the euro zone. The high GDP growth rates and the lowunemployment and inflation rates during the pre-EMU period were followed by alower GDP growth rate, higher inflation rate and higher current account deficit. In thecontext of equilibrium exchange rates, we focus on answering the question of whetherEMU membership has affected the macroeconomic performance of Cyprus. Namely,we investigate whether the central parity rate (€1=0.585274) is the appropriate one inthe sense that it is consistent with the macroeconomic fundamentals of the Cyprioteconomy. The results imply that Cyprus’ inflation rate and its overall macroeconomicperformance have not been influenced by the central parity rate. The interruption ofthe growing process of the Cypriot economy was mainly due to (a) domestic factors,such as the credit expansion; (b) external factors, such as the increase in global oil andfood prices and (c) the current international financial crisis.

 Nikolaos Giannellis and Georgios P. Kouretas




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