Greek market efficiency and its international integration

Dicle, Mehmet F.; Levendis, John

doi:10.1016/j.intfin.2010.10.005

Cited by 10 publications

(2 citation statements)

References 44 publications

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“…To the extent that a capital market is not fully efficient, the application of FVA may enhance the decision usefulness of financial reporting because it may help investors assess more accurately future cash flows than historical cost financial statements do (Scott, 2012). On this basis, it could be speculated that because the efficiency of ASE is questionable (Dicle & Levendis, 2011), the high value relevance of goodwill could be attributed to the extent of ASE efficiency. This is an open empirical question for future research.…”

Section: Discussionmentioning

confidence: 99%

Goodwill under IFRS: Relevance and disclosures in an unfavorable environment

Baboukardos

Rimmel

2014

Accounting Forum

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The accounting treatment of purchased goodwill under IFRS has been severely criticized due to the extensive use of fair value accounting. The purpose of this study is to enrich the ongoing debate upon this issue by drawing attention to the market valuation implications of goodwill in a country outside the Anglo-Saxon accounting paradigm, where the application of fair value accounting has been seen as more problematic. The results indicate that, in the case of purchased goodwill, fair value accounting generates relevant accounting numbers but only in companies that comply highly with IFRS disclosure requirements.

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Section: Discussionmentioning

confidence: 99%

Goodwill under IFRS: Relevance and disclosures in an unfavorable environment

Baboukardos

Rimmel

2014

Accounting Forum

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“…However, the high volatile periods of the ASE lowered the ongoing investing interest. Third, the ASE, as a regional stock market of the EU, is vulnerable to stock market shocks from other sizeable stock exchanges (Dicle and Levendis, 2011). At the same time, the ASE is the leading stock market in the South Eastern Europe (SEE) in terms of listed firms and market capitalization.…”

Section: Introductionmentioning

confidence: 99%

Feedback trading and short-term return dynamics in Athens Stock Exchange

Kyrkilis

Koulakiotis

Babalos

et al. 2018

IJMF

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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.

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Does Algorithmic Trading Induce Herding?

Fu,

Alexakis,

Pappas

et al. 2024

Int. J Fin Econ

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Algorithmic trading (AT) plays a major role in the trading activities of developed markets. This research breaks new ground by investigating how AT influences herding behaviour in stock markets. Utilising the implementation of the Markets in Financial Instruments Directive (MiFID II), we show that AT‐induced herding is quantitatively 14 times more pronounced compared to herding triggered by non‐AT elements. Algorithmic traders herd more when international volatility and market uncertainty are high, revealing a heightened sensitivity to global market signals. However, during periods of high local volatility, AT seems to disregard these fluctuations, indicating an ‘inattention effect’. AT‐induced anti‐herding is prominent in the volatile aggressive stocks, while no such behaviour is observed in the more stable defensive stocks. The findings carry critical implications for both regulators and market professionals, as we uncover dual behaviours of AT‐induced herding and anti‐herding in varying market conditions.

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Greek market efficiency and its international integration

Cited by 10 publications

References 44 publications

Goodwill under IFRS: Relevance and disclosures in an unfavorable environment

Goodwill under IFRS: Relevance and disclosures in an unfavorable environment

Feedback trading and short-term return dynamics in Athens Stock Exchange

Does Algorithmic Trading Induce Herding?

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