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Article
Publication date: 6 May 2020

Zaghum Umar, Dimitrios Kenourgios, Muhammad Naeem, Khadija Abdulrahman and Salma Al Hazaa

This study analyzes the inflation hedging of Islamic and conventional equities by employing 26 indices for the period ranging from January 1996 till August 2018. The authors…

338

Abstract

Purpose

This study analyzes the inflation hedging of Islamic and conventional equities by employing 26 indices for the period ranging from January 1996 till August 2018. The authors investigate the decoupling hypothesis for Islamic versus conventional equities across various investment horizons.

Design/methodology/approach

The authors employ a vector autoregressive framework coupled with bootstrapping procedure to compute inflation hedging measures. The hedging measures employed account for the inflation hedging capacity in terms of hedging effectiveness as well as the cost of hedging (efficiency). The authors account for various investment horizons ranging from one month to ten years.

Findings

Although, the authors do not find consistent evidence for the decoupling hypothesis of Islamic and conventional equities in terms of their inflation hedging capacity. However, the authors document that certain Islamic equity indices can be employed to effectively hedge against the risk of inflation.

Originality/value

The main contribution of this study is that the existing literature on the comparative performance of Islamic versus conventional equities against inflation risk is sparse. The purpose of this study is to analyze the inflation hedging attributes of Islamic versus conventional equities, that is, whether Islamic equities render better real returns than their conventional counterparts. It will contribute to the growing literature on the comparison between Islamic and conventional equities by documenting the real return attributes of these two, apparently different, assets. A further contribution is that in order to account for the different investment horizons for different types of investors, this study will quantify the real return attributes of Islamic and conventional equities for short-, medium- and long-term investors.

Details

Journal of Economic Studies, vol. 47 no. 6
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 20 January 2021

Athanasios Fassas, Stephanos Papadamou and Dimitrios Kenourgios

This study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological research…

256

Abstract

Purpose

This study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological research design.

Design/methodology/approach

This work employs two methodologies, namely a panel specification, with the cross-section being the forecast horizon (from 1-month to 18-months ahead forecasts) and the time period being the time that the forecast was made and a quantile regression technique, which evaluates the hidden nonmonotonic relations between the forecasts and the target variables being forecasted.

Findings

The empirical findings of this study show that survey-based forecasts of certain key macroeconomic variables are generally biased but still efficient predictors of target variables. In particular, we find that survey participants are more efficient in predicting long-term interest rates in the long-run and short-term interest rates in the short run, while the predictability of medium-term interest rates is the least accurate. Finally, our empirical analysis suggests that currency fluctuations are very hard to predict in the short run, while we show that survey-based forecasts are among the most accurate predictors of GDP deflator and growth.

Practical implications

Evaluating the accuracy of economic forecasts is critical since market participants and policymakers utilize such data (as one of several inputs) for making investment, financial and policy decisions. Therefore, the quality of a decision depends, in part, on the quality of the forecast. Our empirical results should have immediate implications for asset pricing models that use interest rates and inflation forecasts as variables.

Originality/value

The present study marks a methodological departure from existing empirical attempts as it proposes a simpler yet powerful approach in order to investigate the efficiency of professional forecasts. The employed empirical specifications enable market participants to investigate the information content of forecasts over different forecast horizons and the temporal evolution of forecast quality.

Details

Journal of Economic Studies, vol. 49 no. 1
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 10 May 2013

Dimitrios Asteriou, Aristeidis Samitas and Dimitrios Kenourgios

The purpose of this paper is to investigate the reaction of the London Stock Exchange to the announcement of the city hosting 2012 Summer Olympic Games. The expectations of the…

2972

Abstract

Purpose

The purpose of this paper is to investigate the reaction of the London Stock Exchange to the announcement of the city hosting 2012 Summer Olympic Games. The expectations of the Olympic Games are the anticipation of massive economic boosts to the host cities. These expectations are presumed to be translated into positive stock price returns. This research examines the London Stock Exchange industrial indices reactions to this announcement in July 2005.

Design/methodology/approach

In order to evaluate the returns the paper employs simple conventional OLS methodology technique, event study methodology and GARCH models with appropriate dummy variables.

Findings

The empirical results indicate a very limited number of significant indices impacted by such an announcement. A consistent finding to all the alternative estimations is that the oil and gas industry seem to be negatively affected by the Olympic Games announcement.

Practical implications

Findings are strongly recommended to practitioners, financial investors and portfolio managers dealing with British Stocks.

Originality/value

The contribution of this paper is that findings are in contrast to relevant studies, like Athens' Olympic Games, since enthusiasm is diminished.

Details

Journal of Economic Studies, vol. 40 no. 2
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 12 April 2024

Dimitrios Dimitriou, Eleftherios Goulas, Christos Kallandranis, Alexandros Tsioutsios and Thi Ngoc Bich Thi Ngoc Ta

This paper aims to examine potential diversification benefits between Eurozone (i.e. EURO STOXX 50) and key Asia markets: HSI (Hong Kong), KOSPI (South Korea), NIKKEI 225 (Japan…

51

Abstract

Purpose

This paper aims to examine potential diversification benefits between Eurozone (i.e. EURO STOXX 50) and key Asia markets: HSI (Hong Kong), KOSPI (South Korea), NIKKEI 225 (Japan) and TSEC (Taiwan). The sample covers the period from 04-01-2008 to 19-10-2023 in daily frequency.

Design/methodology/approach

The empirical investigation is based on the wavelet coherence analysis, which is a localized correlation coefficient in the time and frequency domain.

Findings

The results provide evidence that long-term diversification benefits exist between EURO STOXX and NIKKEI, EURO STOXX and KOSPI (after 2015) and there are signs for the pair and EURO STOXX-TSEC (after 2014). During the short term, there are signs of diversification benefits during the sample period. However, during the medium term, the diversification benefits seem to diminish.

Originality/value

These results have crucial implications for investors regarding the benefits of international portfolio diversification.

Details

Journal of Asia Business Studies, vol. 18 no. 3
Type: Research Article
ISSN: 1558-7894

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Article
Publication date: 29 July 2014

Dimitrios I. Dimitriou and Theodore M. Simos

– This paper aims to investigate the contagion effects of stock and FX markets for the USA and european monetary union (EMU) during the US subprime crisis of 2007-2009.

426

Abstract

Purpose

This paper aims to investigate the contagion effects of stock and FX markets for the USA and european monetary union (EMU) during the US subprime crisis of 2007-2009.

Design/methodology/approach

The data sample is daily comprising a weighted Morgan Stanley Capital Index (MSCI) for US and EMU equity markets, as well as EUR/USD exchange rate and 3-month US and EMU interest rate indices. The authors model, simultaneously, the dynamic conditional correlations (DCC) for the triplet: US, EMU equity markets and euro – USD uncovered interest rate parity (UIP) via a multivariate GARCH(1,1)-DCC model. The authors also test for a level shift increase of DCCs during the crisis period by incorporating a dummy variable in a GARCH(1,1) model.

Findings

Our results suggest the presence of contagion for the US stock market and UIP. These results indicate that possibilities for portfolio diversification exist even in periods of severe financial turmoil. This can be explained by the different monetary policies that followed during the crisis. While USA increased liquidity through stimulus packages in early 2009, EMU preferred a strict monetary policy and fiscal austerity measures. Consequently, the EUR/USD exchange rate was less volatile than the EMU equities, resulting in their weak co-movement.

Originality/value

These findings confirm a specific pattern of contagion that provide important implications for international investors and policy-makers.

Details

Studies in Economics and Finance, vol. 31 no. 3
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 8 December 2017

Dimitrios Vortelinos, Konstantinos Gkillas (Gillas), Costas Syriopoulos and Argyro Svingou

The purpose of this paper is to examine the inter-relations among the US stock indices.

442

Abstract

Purpose

The purpose of this paper is to examine the inter-relations among the US stock indices.

Design/methodology/approach

Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model. Non-linear inter-relations are researched via Breitung’s nonlinear cointegration, a M-G nonlinear causality model, shocks to the forecast error variance, a shock spillover index and an asymmetric VAR-GARCH (VAR-ABEKK) approach.

Findings

The inter-relations are significant. The results are robust across all types of inter-relations. They are highest in the Lehman Brothers sub-period. Higher stability after the EU debt crisis, enhances independence and growth for the US stock indices.

Originality/value

To the best of the knowledge, this is the first study to examine the inter-relations of US stock indices. Most studies on inter-relations concentrate on the portfolio analysis to reveal diversification benefits among various asset markets internationally. Hence this study contributes to this literature on the inter-relations of a specific asset market (stock), and in a specific nation (USA). The evident inter-relations support the notion of diversification benefits in the US stock markets.

Details

International Journal of Managerial Finance, vol. 14 no. 1
Type: Research Article
ISSN: 1743-9132

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Article
Publication date: 5 April 2013

Dimitrios Dimitriou and Theodore Simos

The purpose of this paper is to investigate empirically contagion channels of the 2007 US subprime financial crisis by employing a multivariate GARCH model for four major…

745

Abstract

Purpose

The purpose of this paper is to investigate empirically contagion channels of the 2007 US subprime financial crisis by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.

Design/methodology/approach

In this study, contagion channels of the 2007 US subprime financial crisis are investigated empirically by employing a multivariate GARCH model for four major, international equity markets, namely the USA, EMU, China and Japan.

Findings

There is empirical evidence of contagion in all markets with the US market through various channels, which have not been discussed in other related studies. Specifically, the empirical results suggest that Japanese and EMU markets have been directly affected from the crisis. However, while China's equity market has been mainly unaffected by the US subprime crisis, has been affected indirectly through Japan. Moreover, the Japanese equity market exhibits positive and significant spillovers effects with China and EMU, revealing an indirect volatility transmission channel of US subprime crisis.

Research limitations/implications

Further research could consider the asymmetric effects on conditional covariance through, for example, asymmetric generalized dynamic conditional correlation models. All under examination markets show evidence of contagion through different channels.

Practical implications

Despite the financial advices for diversification, since the increasing globalization and stock market interdependence throughout the last 15 years, through the US subprime crisis equity investors had fewer opportunities for diversification. From policy makers' perspective, they should carefully examine and uncover possible decoupling strategies to insulate these economies from contagion in future crises.

Social implications

This study provides useful information to international organizations, such as World Bank and World Trade Organization (WTO) in order to protect markets from contagion during future crises.

Originality/value

A novel finding of this paper is the indirect channel of contagion (i.e. Japanese market) for Chinese market. This indirect channel may help explain why China's equity market performed badly in 2008 after the subprime crisis in the USA emerged.

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Article
Publication date: 10 February 2023

Roslina Mohamad Shafi and Yan-Ling Tan

This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.

675

Abstract

Purpose

This study aims to explore the evolution of the Islamic capital market (ICM) from the perspective of research publications.

Design/methodology/approach

A bibliometric analysis was applied based on selected publications from the Web of Science Core Collection (WoSCC) database from 2000 to 2021. The study adopted VOSviewer software which was developed by Leiden University.

Findings

This study has some implications that need urgent action. Firstly, there are some areas that have received little attention among researchers, although they are relevant to the industry, for instance, in fintech and blockchain in ICM. Secondly, the inconsistent frequency of publications in some niche areas may suggest that there are unprecedented events that hinder further research; probably, the researcher may anticipate more information and progress in the industry. Thirdly, the need to strengthen the collaboration between industry and academia to advance research.

Research limitations/implications

This study considered only the WoSCC database. The provider of WoSCC is Clarivate (formerly known as Thomson Reuters), where access to publications is limited to institutional subscribers. The implications of this study are to identify and propose future research trends in the field of ICM.

Originality/value

To the best of the authors’ knowledge, the present study is among the pioneer studies in analysing bibliometric focusing on ICM. Previous research has focused on Islamic finance and banking, and not specifically on ICM. Accordingly, this study sheds light on research gaps in ICM.

Details

Journal of Islamic Accounting and Business Research, vol. 14 no. 8
Type: Research Article
ISSN: 1759-0817

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Article
Publication date: 9 May 2016

Dimitrios Kourtidis, Željko Šević and Prodromos Chatzoglou

– The purpose of this paper is to examine the effect of investors’ emotional state (mood) on their trading behaviour and performance.

906

Abstract

Purpose

The purpose of this paper is to examine the effect of investors’ emotional state (mood) on their trading behaviour and performance.

Design/methodology/approach

A sample from a representative survey of 328 Greek individual investors has been used to empirically test the validity of the proposed associations. An iterative data collection process was followed, where individual investors had to complete a questionnaire every time they were trading in the Athens Stock Exchange, for a period of ten months. Exploratory factor analysis was first used to analyse the data set, followed by cluster analysis (to identify investor profiles based on differences in their mood).

Findings

Two clusters have been identified. The first cluster profile includes investors with high score of positive mood (thus, high energetic arousal and hedonic tone, low tense arousal and anger frustration), while the second profile consists of investors with negative mood (low energetic arousal and hedonic tone, high tense arousal and anger frustration). The comparison between the two profiles has shown that investors with positive mood achieve higher stock returns than investors with negative mood.

Originality/value

To the best of the authors’ knowledge there is no other similar study.

Details

Journal of Economic Studies, vol. 43 no. 2
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 15 March 2019

Yao Cheng

The purpose of this paper is to examine the effects of the post-merger integration duration on acquiring firms’ leverage behavior before and after a merger, using a dynamic model…

618

Abstract

Purpose

The purpose of this paper is to examine the effects of the post-merger integration duration on acquiring firms’ leverage behavior before and after a merger, using a dynamic model in which full merger benefits cannot be consumed at the instant of a merger, but rather after a pre-specified post-merger integration period.

Design/methodology/approach

This paper presents a dynamic model and empirical tests that describe the impact of the post-merger integration period on the capital structure dynamics of the acquiring and target firms before a merger and during the post-merger integration period. By incorporating costs associated with the post-merger integration period, the model can provide new implications for the leverage behavior around the merger.

Findings

The model generates new implications related to acquiring firms’ leverage dynamics along with method of payment choice. Specifically, the model indicates that the post-merger integration duration is negatively associated with the market leverage of newly-merged firms at the time of merger completion and during the integration period. Further, acquirer managers are more likely to use equity to finance a merger when the integration duration is likely to be lengthy.

Originality/value

This is the first model in the literature that assumes that both the acquiring and the target firms can change their capital structure overtime, which allows us to analyze both the financing structure and the merger timing. Previous empirical studies also ignore the integration period in the analysis of the method of payment choice and leverage behavior around mergers. In the tests reported in this paper, the authors control for the factors mentioned above and demonstrate that the expected integration duration is not subsumed by those variables implying that it has its own power in explaining the choice of leverage and merger financing method.

Details

Pacific Accounting Review, vol. 31 no. 2
Type: Research Article
ISSN: 0114-0582

Keywords

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