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Efficient market hypothesis: the case of the London Stock Exchange
(05-2013) Vidali, Maria; Βιδάλη, Μαρία; Athens University of Economics and Business, Department of Economics; Arvanitis, Stylianos; Vrontos, Ioannis; Tzavalis, Elias
Plenty of papers have been published for the Efficient Market Hypothesis (EMH) whereas is the foundation of the financial theory. In the core of the Efficient Market Hypothesis (EMH) theory, is the idea that the future prices cannot be predicted based on the current information set i.e. past and current prices, and economic variables. Several statistical models have been developed through the years having this property for the variables. One of the most famous and most used models in the bibliography is the Random Walk Model.The purpose of this thesis is not to be one of a numerous published researches for the market efficiency but, to clarify for the reader the theory and the implications of this hypothesis by collecting the main principles from different sources, so as to comprehend deeply its sense. Besides the theoretical intention, an empirical study is presented in order to set a more solid background to the reader and prove that under appropriate conditions the Efficient Market Hypothesis is not a theoretical assumption but, in practice it may apply.For the implementation of the empirical work, the data from the London Stock Exchange, especially the FTSE 100, are used. The choice of this stock market becomes because it is the most international stock exchange, the largest in Europe and the fourth largest in whole the world. Therefore, it would be interesting if it was proved that this stock market is efficient since it affects the global economy. Applying some tests which are described analytically for easy understanding, it is proved that the London Stock Exchange is a market weak efficiency as it was expected. However, it seems that some short run anomalies such as January Effect occur.
Essays in modelling and forecasting stock market volatility
(2022) Papantonis, Ioannis; Παπαντώνης, Ιωάννης; Athens University of Economics and Business, Department of Economics; Rompolis, Leonidas; Arvanitis, Stylianos; Chalamandaris, George; Dendramis, Yiannis; Panagiotidis, Theodoros; Vrontos, Ioannis; Tzavalis, Elias
This thesis consists of essays on modelling and forecasting asset price volatility. The common motivation behind these essays is twofold: firstly, to exploit the rich informational content of volatility by integrating observable estimators of variance dynamics into parametric GARCH-type models and, secondly, to investigate the ability of these augmented GARCH representations to explain and forecast the observable variance dynamics at multiple horizons ahead. We start by considering a GARCH specification, which we augment to incorporate information from high-frequency data related to measurable characteristics of Realized Variance (RV). The choice of these exogenous features is well-motivated by the recent and ongoing stream of empirical studies on Heterogeneous Auto-Regressive (HAR) models. We find our ``augmented'' Realized-GARCH and Realized-EGARCH specifications to perform significantly better than other already-existing models in fitting the data (in-sample) and forecasting Realized Variance (out-of-sample). The enhanced performance of our models is primarily due to the inclusion of: (i) realized upside/downside semi-variances (indicating prevalent asymmetric effects in intra-day variance), (ii) heterogeneous terms of RV (exogenously approximating long-memory patterns in volatility), and (iii) realized jump or variance-of-variance indicators (capturing discontinuities in the RV process or attenuation biases in RV projections, respectively). Next, we introduce a risk-neutral variance proxy within a flexible parametric framework that is described by affine-GARCH dynamics and a variance-dependent pricing kernel.We find evidence of a sizeable priced volatility risk premium (of approximately -3%), that can be recovered in a robust and parsimonious way from the VIX dynamics through a joint estimation approach. We analyze the transmission mechanism of innovations from physical to risk-neutral dynamics, as well as the impact of volatility risk on the news impact curves and impulse response functions of risk-neutral variance. Our approach reveals that accounting for volatility risk in this GARCH-based framework is of utmost importance for establishing a consistent link between the physical and risk-neutral probability measures. Finally, we provide an extension to the EGARCH and Realized-EGARCH that allows capturing long-run and short-run dynamics of log-variance. We find that decomposing variance into long/short-run dynamics, significantly improves the ability of the model to jointly explain the observable dynamics of returns and RV. Our preliminary results indicate the presence of a long-run component that is highly persistent and not very responsive to past shocks, as well as a short-run component that is less persistent and transmits most of the impact of past shocks on variance. Interestingly, we find shocks to RV to have an equally strong impact on both long- and short-run components (more pronounced for the short-run component), which implies that shocks to returns impact mainly the short-run volatility, whereas shocks to volatility itself may have a more long-run effect. As we discuss, the model extensions that we present in this thesis have direct and important economic implications for asset-pricing, volatility forecasting and risk-management.
Essays on monetary policy rules allowing for structural breaks
Kazanas, Thanassis; Athens University of Economics and Business, Department of Economics; Tzavalis, Elias
Macroeconomic stabilization policy entails the design and implementation of monetary and/or fiscal policy rules so as the macroeconomic variables of interest to meet their targeted levels within some reasonable time period. Nowadays there has been a great come back of interest in the issue of how to conduct monetary policy. One factor of this phenomenon is the huge volume of recent working papers and conferences on the topic. Another is that over the last years specific policy rules have been proposed by many leading macroeconomists. John Taylor’s recommendation of a simple interest rate rule (Taylor (1993a)) and the widespread endorsement of inflation targeting (e.g., Ben Bernanke and Frederic Mishkin (1997)) are well known examples. This thesis aims at providing a deeper understanding of the role of monetary policy in stabilizing inflation and output in a closed as well as in a small open economy when regime switching is allowed. For this reason, non-linear monetary policy rules are examined allowing for regime shifts in a subset or the whole of their parameters. The thesis includes four case studies. Using an endogenous backward-looking threshold model and data on three large economies, the US, the UK and Japan, the first study investigates if monetary policy changes depend on business cycle conditions, i.e. recessions and expansions of the economy. Then, we evaluate the policy implications of this monetary policy rule. Using a long span of data, the study provides clear cut evidence that, while during expansions the monetary authorities of the above countries follow the Taylor rule, during recessions they tend to abandon this policy rule and follow a passive monetary policy focused on interest rate smoothing over time. As shown in a New Keynesian framework, this passive monetary policy can not dampen the volatility effects of negative demand or supply macroeconomic shocks on the economy. The purpose of the second study is to test empirically in a forward-looking environment whether the above major central banks have monetary policy reaction functions that change depending on the actual state of the economy. We consider a forward-looking threshold type nonlinear monetary policy model that allows the existence of two policy regimes according to whether the output gap is above or below a threshold value. The model allows for endogenous variables and an4exogenous or endogenous threshold variable. The threshold parameter is estimated with two stage least squares in a first step while the slope parameters are estimated with the generalized method of moments in a second. The results give evidence of nonlinearity in the policy reaction functions which is associated with large output gap or high level of unemployment rate. The study also simulates a New Keynesian model calculating its impulse response functions in order to evaluate the effects of regime-switching in conducting monetary policy. The next case study provides evidence that, since the sign of Maastricht Treaty, euro-area monetary authorities and the ECB follow a strong anti-inflationary policy. This policy can be described by a threshold monetary policy rule model which distinguish two inflation policy regimes: low and high. The study finds that the euro-area monetary policy authorities react more strongly to positive inflation and/or output deviations from their target levels rather than to the negative, often occurring during recession periods. These authorities do not seem to react to negative output deviations in the low-inflation regime. Based on a small simulation study of a New Keynesian model, the study indicates that the no reaction of the euro-area monetary authorities to negative output deviations reduces the efficiency of their policy rule to dampen the effects of negative demand shocks on the economy. Finally, the fourth study suggests an open economy forward looking threshold monetary policy rule model for Japan. This model assumes that, in addition to inflation rate and real output deviations, the short term nominal interest rate of the central bank (CB) of Japan responds to nominal (or real) exchange rate deviations from their target levels. This happens only when the economy lies in the recession regime. This result means that a depreciation in Japan's currency will tend to offset decreases in the short term interest rate of the CB due to negative deviations in inflation and real output. A small scale open economy model simulated by this study shows that the above offsetting effects of exchange rate deviations on interest rates help to reduce the volatility of real exchange rates (the terms of trade) coming from exogenous shocks in domestic real productivity, foreign output and inflation.
Essays on the forward premium bias
(01/20/2021) Elias, Nikolaos A.; Ηλίας, Νικόλαος; Athens University of Economics and Business, Department of Economics; Philippopoulos, Apostolis; Arvanitis, Stylianos; Pagratis, Spyros; Spyrou, Spyros; Georgoutsos, Dimitrios; Chalamandaris, George; Tzavalis, Elias
The objective of this thesis is to provide new insights into the explanation of the forward premium puzzle (or anomaly), and our ability in forecasting exchange rate changes. After a brief review of the covered, uncovered interest rate parity (CIRP,UIRP) and some of the most popular explanations of the forward premium puzzle, the thesis presents three essays in order to shed light on the forward rate anomaly.The thesis provides a number of useful results for academics and practitioners. First, it shows that a regression model of interest rate differentials across countries, which is adjusted for the exchange rate risk premium effect, can reasonably forecast future exchange rate changes. Second, it demonstrates that the forward premium, embodied in the interest rates differential, can consistently explain most of the bias of the interest rates and holding-period returns differentials between home and foreign bonds to predict future changes in the exchange rate. Third, it shows that the currency carry trade strategy, taking positions in higher-yielding currencies by funding them by lower-interest rates currencies, can explain consistently the forward premium bias, only if the interest rates differential is positive, and it is associated with a carry-trade position in the US dollar.

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