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Article
Publication date: 10 May 2018

Dimitrios Kyrkilis, Athanasios Koulakiotis, Vassilios Babalos and Maria Kyriakou

The purpose of this paper is to examine the hypothesis of feedback trading along with the short-term return dynamics of three size-based stock portfolios of Athens Stock Exchange…

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Abstract

Purpose

The purpose of this paper is to examine the hypothesis of feedback trading along with the short-term return dynamics of three size-based stock portfolios of Athens Stock Exchange during the Greek debt crisis period.

Design/methodology/approach

To this end, the authors employ for the first time in the literature two well-known models while the variance equation is modeled by means of a multivariate EGARCH specification. As a robustness test an innovative nested-EGARCH model is also employed.

Findings

The assumption that positive feedback trading is an important component of the short-term return movements across the three stock portfolios receives significant support. Moreover, the volatility interdependence, both in magnitude and sign, is almost similar across the three models. Finally, bad news originating from the portfolio of small stock appears to have a higher impact on the volatility of large and medium size stock returns than good news during the Greek debt crisis period.

Originality/value

The methodology is innovative and the authors test for the first time the feedback trading hypothesis across different size stocks. The authors believe that the results might entail significant policy implications for investors and market regulators.

Details

International Journal of Managerial Finance, vol. 14 no. 5
Type: Research Article
ISSN: 1743-9132

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Article
Publication date: 1 July 2003

Dimitrios Kyrkilis and Pantelis Pantelidis

The aim of this paper is to test the hypothesis that the outward foreign direct investment (FDI) position of countries may be considered as a function of country specific…

9228

Abstract

The aim of this paper is to test the hypothesis that the outward foreign direct investment (FDI) position of countries may be considered as a function of country specific characteristics, such as income, exchange rate, technology, human capital and openness of the economy. The model developed identifies the main determinants of outward FDI using time series data for five European Union members and four non‐European Union countries. The model indicates that real gross national product is proved the most important determinant of outward FDI. Developed European countries specialise in human capital intensive FDI, while non‐European Union countries in technology intensive. Overall, the results verify that the outward FDI position of countries is influenced by national characteristics and that the same type of endowments have different significance for different countries.

Details

International Journal of Social Economics, vol. 30 no. 7
Type: Research Article
ISSN: 0306-8293

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Article
Publication date: 1 June 2005

Pantelis Pantelidis and Dimitrios Kyrkilis

To evaluate the relevance of the source country idiosyncratic factors in determining the firm's foreign direct investment (FDI) propensity and consequently the country's outward…

3814

Abstract

Purpose

To evaluate the relevance of the source country idiosyncratic factors in determining the firm's foreign direct investment (FDI) propensity and consequently the country's outward FDI position.

Design/methodology/approach

A sample containing all countries with positive outward FDI flows for the whole period between 1976 and 1999 is selected. The sample consists of 25 countries and is divided in three groups, namely advanced countries, middle‐income countries and developing countries. An econometric model is estimated for each country group aiming to determine the variables affecting outward FDI position.

Findings

Market structure differentiation and openness are the only variables affecting outward FDI in all country groups. Marginal efficiency of capital is the significant variable in advanced and middle‐income countries. All other variables, namely technology, human capital and exchange rate affect outward FDI position of advanced countries.

Research limitations/implications

The list of FDI explanatory variables is not an exhaustive one. Changes of country income indicating changes of economic development may be explicitly introduced among others as an explanatory variable in a model, with outward FDI changes as the dependent variable in order to identify any relation between the two.

Practical implications

A very useful source of information for policy makers.

Originality/value

The validity of the model is tested over each country income group aiming at capturing variations in the statistical significance of the FDI explanatory variables between countries that have passed certain economic development thresholds.

Details

International Journal of Social Economics, vol. 32 no. 6
Type: Research Article
ISSN: 0306-8293

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Article
Publication date: 17 July 2020

Chrysanthi Balomenou, Vassilios Babalos, Dimitrios Vortelinos and Athanasios Koulakiotis

Motivated by recent evidence that securitized real estate returns exhibit higher levels of predictability than stock market returns and that feedback trading (FT) can induce…

223

Abstract

Purpose

Motivated by recent evidence that securitized real estate returns exhibit higher levels of predictability than stock market returns and that feedback trading (FT) can induce returns autocorrelation and market volatility, the purpose of this study is to examine the impact of FT strategies on long-term market volatility of eight international real estate markets (UK, Germany, France, Italy, Sweden, Australia, Japan and Hong Kong).

Design/methodology/approach

Assuming that the return autocorrelation may vary over time and the impact of positive feedback trading (PFT) or negative feedback trading (NFT) could be a function of return volatility, the authors use a combination of a FT model and a fractionally integrated Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model.

Findings

The results are mixed, revealing that both PFT and NFT strategies persist. Specifically, the authors detect PFT in the real estate markets of France, Hong Kong and Italy as opposed to the real estate markets of Australia, Germany, Japan and Sweden where NFT was present. A noteworthy exception is the UK real estate market, with important and rational FT strategies to sustain. With respect to the long-term volatility persistence, this seems to capture the mean reversion of real estate returns in the UK and Hong Kong markets. In general, the results are not consistent with those reported in previous studies because NFT dominates PFT in the majority of real estate markets under consideration.

Originality/value

The main contribution of this study is the investigation of the link between short-term PFT or NFT and long-term volatility in eight international real estate markets, symmetrically. Particular attention has been given to the link between short-term FT and long-term volatility, by means of a fractionally integrated GARCH approach, a symmetric one. Moreover, investigating the relationship between returns’ volatility and investors’ strategies based on FT entails significant implications because real estate assets offer a good alternative investment for many investors and speculators.

Details

International Journal of Housing Markets and Analysis, vol. 14 no. 2
Type: Research Article
ISSN: 1753-8270

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