Measuring the Impact of Stock Exchange Rules on Volatility and Error Transmission – The Case of European Cross-Listed Equities

This paper investigates the relationship between spillover effects and stock market regulations for a sample of cross-listed European firms. Using LaPorta et al.’s (1998) stock exchange regulatory classification we identify firms that have cross-listed on foreign exchanges with either tougher, weaker or similar accounting disclosure, bankruptcy and shareholder protection rules. We then use the GARCH approach suggested by Karolyi (1995) and Engle and Kroner (1995) to estimate volatility and error transmission for our sample of cross-listed equities, taking into account regulatory differences between exchanges. Our results show how differences in stock exchange rules can influence spillovers between foreign cross-listed equities and the respective market indices. Accounting disclosure rules also seem to have less of an effect on cross-listed share volatility transmission than do differences in shareholder and bankruptcy protection rules

Has the accession of Greece in the EU influenced the dynamics of the country’s “twin deficits”? An empirical investigation

This paper investigates the existence of possible causal linkages between the internal and external imbalances of the Greek economy, over the period 1960-2007, as well as the directions of the detected causal effects. Actually, it tests empirically the validity and rationale of the “twin deficits” hypothesis, taking into consideration the impact of the accession of Greece in the European Economic Community in 1981, which constitutes a great institutional change. By means of the ARDL cointegration methodology, errorcorrection modeling and Granger causality, we find evidence in favor of the “twin deficits hypothesis” for the Greek case over the pre-accession period (1960-1980), with causality running from the budget deficit to the trade deficit. However, over the post-accession period (1981-2007) the causal relationship is reversed, indicating changes in the linking mechanism of the two deficits and providing useful inferences for the national economic policy.peer-reviewe

An eclectic causality model for income growth : evidence from Greece

We present time series evidence theoretically consistent with the New Keynesian view for income growth, using Greek annual data over the period 1970- 2004. The empirical analysis employs a hybrid model for income growth using the ARDL approach to co integration. Evidently, growth financing, under changing fiscal and monetary regimes and interest rates’ management are inextricably linked. These links still remain challenging and further research needs.peer-reviewe

On the dynamic linkages between CO2 emissions, energy consumption and growth in Greece

This paper attempts to analyze the short-and long-run causal dynamic interactions between energy consumption, CO2 emissions and economic growth in Greece, using time-series techniques. To this end, annual data covering the period 1980-2012 are employed and tests for unit roots, the ARDL-bounds approach of cointegration, and Granger-causality based on error-correction models are applied. The results reveal strong feedback in the long-run between all the examined variables. For the shortrun, there is evidence of two-way causality in all examined pairs with only exception the direction CO2 towards GDP.peer-reviewe

Wagner’s law versus Keynesian hypothesis: Evidence from pre-WWII Greece

With data of over a century, 1833-1938, this paper attempts, for the first time, to analyze the causal relationship between income and government spending in the Greek economy for such a long period; that is, to gain some insight into Wagner and Keynesian Hypotheses. The time period of the analysis represents a period of growth, industrialization and modernization of the economy, conditions which are conducive to Wagner’s Law but also to the Keynesian Hypothesis. The empirical analysis resorts to Autoregressive Distributed Lag (ARDL) Cointegration method and tests for the presence of possible structural breaks. The results reveal a positive and statistically significant long run causal effect running from economic performance towards the public size giving support to Wagner’s Law in Greece, whereas for the Keynesian hypothesis some doubts arise for specific time sub-periods

The effects of the increasing oil price returns and its volatility on four emerged stock markets

The current paper attempts to explore the effects of oil price returns and oil price volatility on the Greek, the US, the UK and the German stock markets. More specifically, the research focuses on the interactions among oil prices, its volatility, and the stock market returns as well as on the futures indices of each index. The volatility of the employed indices has been quantified by applying EGARCH models and the relationship between the variables has been examined by means of structural equation models (SEM).peer-reviewe

On the dynamics of the Greek twin deficits: Empirical evidence over the period 1960 - 2007

One of the most important open macroeconomic issues, during the current global economic recession, concerns the sustainability of persistent budget and trade deficits as well as possible interactions between them. These deficits are most crucial due to severe debt servicing costs, faced by today's economies despite their development level. This paper presents time series evidence over the period 1960 up to 2007, using data of the Greek Economy. Our results confirm weak sustainability of both deficits and evidence in favor of the Keynesian rationale regarding the twin deficits hypothesis

Do tourism, economic complexity and globalization affect economic growth? New empirical evidence in the context of TALC theory and accounting for cross sectional dependence

This paper investigates the Tourism Led Growth (TLG) relationship, incorporating the law of economic returns and the Tourism Area Life Cycle (TALC) theory, along with economic complexity and globalization. To measure tourism accurately, principal components analysis is employed, integrating five tourism-specific variables for 127 countries spanning the period from 1995 to 2020. The empirical analysis utilizes advanced panel dynamic models that account for cross-sectional dependence, yielding robust evidence of a nonlinear TLG relationship. Our findings reveal an inverted U-shaped curve characterizing the TLG relationship in both the short and long run, highlighting distinct impacts of tourism specialization in each time frame. Specifically, higher levels of tourism specialization in the short run can lead to diminishing returns to scale in the long run. Furthermore, our analysis demonstrates that cultural globalization positively facilitates the TLG relationship, while economic complexity exerts a negative influence on the impact of tourism on economic growth