Purpose – This study aims to investigate the existence of herding in the Athens Stock Exchange over the 1995-2010 period and examine its effects on market volatility. Design/methodology/approach – Herding is examined over portfolios formed on beta and size of the selected stocks. The detection of herding has been done using the state space model of Hwang and Salmon (2004). Four volatility measures are employed. Findings – The findings depict the presence of herding over two different periods of time. Large differences are observed among the portfolios regarding the herding periods. The results confirm a linear effect of herding on all volatility measures considered. Stocks exhibiting higher levels of herding or adverse herding will also present higher volatility, and from this point of view, herding can be regarded as an additional risk factor. Originality/value – The fact that herding is considered to be an additional risk factor, can lead market participants and investors to a better understanding of market risk, asset pricing and asset allocation.

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Purpose Social change and modernization theories postulate that as countries grow they gradually move toward a condition of similarity in various spheres exhibiting similar economic and social traits. The purpose of this paper is to investigate whether a process of convergence in terms of criminality levels is present in the case of European countries. Design/methodology/approach The research question at hand is tackled through conventional s and ß-convergence methodologies and a battery of unit root tests in the case of 16 European countries over the period 1972-2012. Findings The findings reported, herein, are quite uniform irrespective of the empirical methodology employed to investigate the issue at hand. The result points to a process of convergence in terms of crime rates. However, this convergence process, although present and statistically traceable, is a rather gradual one as this is depicted both by the value of the β-coefficient as well as by the trend of the coefficient of variation. Originality/value Most of the studies in this strand of the literature focus on investigating the association between economic conditions such as unemployment and crime or on the effectiveness of crime thwarting policies. To the best of the knowledge, this is the first paper that addresses the issue of convergence in terms of crime rates in the case of European countries.

Purpose -The purpose of this paper is to examine the predictive ability of different well-known models for capturing time variation in betas against a novel approach where the beta coefficient is treated as a function of market return. Design/methodology/approach -Different GARCH models, the Kalman filter algorithm and the Schwert and Seguin model are used against our novel approach. The mean square error, the mean absolute error and the Diebold and Mariano test statistic constitute the measures of forecast accuracy. All models are tested over nine consecutive years and three different samples. Findings -The results show substantial differences in predictive accuracy among the samples. The new approach of modelling the systematic risk overwhelms the rest of the models in longer samples. In the smallest sample, the Kalman filter random walk model prevails. The examination of parameters between two groups of stocks with best and worst accuracy results depicts significant variations. For these stocks, the iid assumption of return is rejected and large differences exist on diagnostic tests. Originality/value -This study contributes to the literature with different ways. First, it examines the predictive accuracy of betas with different well-known models and introduces a novel approach. Second, after constructing betas from the estimated models' parameters, they are used for out-of-sample instead of in-sample forecasts over nine consecutive years and three different samples. Third, a more closely examination of the models' parameters could signal at an early stage the candidate models with the expected lowest forecasting errors. Finally, the study carries out some diagnostic tests for examining whether the existence of iid normal returns is accompanied by better performance.

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