DIMITRIS PSYCHOYIOS, GEORGE SKIADOPOULOS and PANAYOTIS ALEXAKIS
The volatility of a financial asset is an important input for financial decision‐making in the context of asset allocation, option pricing, and risk management. The authors…
Abstract
The volatility of a financial asset is an important input for financial decision‐making in the context of asset allocation, option pricing, and risk management. The authors compare and contrast four approaches to stochastic volatility to determine which is most appropriate to each of these various needs.
George Iatridis and Panayotis Alexakis
The purpose of this paper is to explore the motives for providing voluntary accounting disclosures and investigate the financial differences between voluntary and non‐voluntary…
Abstract
Purpose
The purpose of this paper is to explore the motives for providing voluntary accounting disclosures and investigate the financial differences between voluntary and non‐voluntary disclosers. The paper also examines the association between the provision of voluntary disclosures and earnings management.
Design/methodology/approach
The study utilises logistic regressions to test the hypothetical relations set up in the study. The categorisation of firms into those that report the minimum required by law and those that provide voluntary accounting information is based on the examination of firms' financial statements. Company categorisation is based on the construction of an index similar to the disclosure index formulated by the Center for International Financial Analysis and Research. Each sample firm obtains a score, with a higher score reflecting a more significant level of disclosure.
Findings
The findings show that voluntary disclosers exhibit higher profitability and growth and appear to be good news bearers. They also display a change in their management and a higher share trading volume. The results provide evidence that the provision of voluntary accounting disclosures is negatively associated with earnings management.
Research limitations/implications
The study indicates that sound financial indicators and good news and prospects are likely to motivate firms to provide voluntary disclosures in order to attract investors' attention and communicate their managerial superiority or potential. Less information asymmetry and earnings management would lead to the disclosure of informative accounting information and would subsequently assist investors in making efficient decisions.
Originality/value
The contribution of the study lies in the fact that Greece is a particular case because it is a “rules‐based” code‐law country that involves high levels of standardisation and that has adopted IFRSs that are “principles‐based” and involve flexibility in financial reporting and judgment. Also, financial reporting in Greece is less restrictive in terms of disclosure requirements. The findings of the study are useful for financial analysts and investors, as they enable them to understand the financial attributes and motives of firms that provide voluntary disclosures as well as their earnings management inclination.
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Panayotis Alexakis and Costas Siriopoulos
Examines the dynamic relationships between stock markets in Japan, Hong Kong, Singapore, Malaysia, Taiwan and Thailand before, during and after the October 1997 crisis. Discusses…
Abstract
Examines the dynamic relationships between stock markets in Japan, Hong Kong, Singapore, Malaysia, Taiwan and Thailand before, during and after the October 1997 crisis. Discusses linear and non‐linear Granger causality tests and applies both to stock market data for three time periods between Jan 1997 and Oct 1998. Presents the results, which suggest that Hong Kong, Singapore and Malaysia led the Asian crisis, Taiwan and Thailand followed but Japan played no part in spreading it. Considers consistency with other research and the implications for these stock exchanges, their regulators and future research.
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Panayotis Alexakis and Anna Vasila
The paper aims to investigate European equity market integration by analyzing volatility spillover effects between selected indices of high liquidity from the major regulated…
Abstract
Purpose
The paper aims to investigate European equity market integration by analyzing volatility spillover effects between selected indices of high liquidity from the major regulated European equity markets.
Design/methodology/approach
In undertaking the empirical analysis, data for major European stock market indices were utilised. The conditional variance of the VAR‐GARCH model for each pair of indices is examined.
Findings
The results provide evidence on strong EU equity market integration. The findings in general suggest a high degree of European equity market interconnection. This situation is depicted through strong effects from one European equity market to the other, as well as through significant feedback effects between them.
Originality/value
The high level of interconnection found among the EU stock markets exerts significant influence on the efficient operation of each market and on asset and index pricing, which has therefore to be taken into account by investors and traders as market prices are set in common.
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SERGIO M. FOCARDI and FRANK J. FABOZZI
Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in…
Abstract
Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include: