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1.
Nicholas Apergis 《Applied economics》2016,48(54):5276-5291
The goal of this article is to empirically assess the relationship between competition and efficiency in the banking sector of Middle East and North African (MENA) countries spanning the period 1997–2011. To measure the level of competition, the article estimates the non-structural indicator known as the H-statistic, while the level of bank efficiency is estimated through the nonparametric methodology of the Data Envelopment Analysis (DEA) and the Bootstrap Data Envelopment Analysis (BDEA), respectively. The empirical results are robust under six econometric methodologies, providing sufficient evidence for the presence of a one-way (negative) Granger causality, running from efficiency to competition. The empirical findings lead to the rejection of the ‘Efficient Structure Hypothesis’, implying that increases in competition do not precede increases in cost efficiency. 相似文献
2.
This study extends the literature on modeling the volatility of housing returns to the case of condominium returns for five major U.S. metropolitan areas (Boston, Chicago, Los Angeles, New York, and San Francisco). Through the estimation of ARMA models for the respective condominium returns, we find volatility clustering of the residuals. The results from an ARMA‐TGARCH‐M model reveal the absence of asymmetry in the conditional variance. Dummy variables associated with the housing market collapse unique to each metropolitan area were statistically insignificant in the conditional variance equation, but negative and statistically significant in the mean equation. Condominium markets in Los Angeles and San Francisco exhibit the greatest persistence to volatility shocks. 相似文献
3.
Firm size is known to be an important factor affecting stock returns. This study proposes a panel threshold cointegration model to investigate the impact of the size effect on stock returns for the panel of G7 countries: Canada, France, Germany, Italy, Japan, the U.K., and the U.S. over the period 1991:1–2012:12. The empirical analysis is based upon the nonlinear cointegration framework using the asymmetric ARDL cointegration methodology (Shin et al., 2011). This methodological approach permits a much richer degree of flexibility in the dynamic adjustment process toward equilibrium, than in the classical linear model. Our findings indicate the presence of asymmetric adjustment around a unique long-run equilibrium. In particular, the empirical analysis provides evidence of asymmetric effects between stock returns and the size effect, while controlling for the book-to-market ratio and the price-to-earnings ratio. 相似文献
4.
Nicholas Apergis Effrosyni Alevizopoulou 《International Advances in Economic Research》2012,18(1):1-14
There exist two main channels of the monetary transmission mechanism: the interest rate and the bank lending channel. This
paper focuses on the latter, which is based on the central bank’s actions that affect loan supply and real spending. The supply
of loans depends on the monetary policy indicator, which, in most studies, is the real short-term interest rate. The question
investigated in this paper is how the operation of the bank lending channel changes when this short-term indicator is allowed
to be endogenously determined by the target rate the central bank sets through a monetary rule. We examine the effect that
a rule has on the bank lending channel in European banking institutions spanning the period 1999–2009. The expectations concerning
inflation and output affect the decision of the central bank for the target rate, which, in turn, affect private sector’s
expectations —commercial banks— by altering their loan supply. 相似文献
5.
Nicholas Apergis Emmanuel Mamatzakis Christos Staikouras 《International Advances in Economic Research》2011,17(3):258-273
This paper examines whether the efficiency market hypothesis for the Greek sovereign debt holds. As in Blanco et al. (2005) we test the theoretical equivalence of credit default swap (CDS) and spreads that dictates a CI relationship between the
two. The main innovation of the present analysis is the use of a threshold vector error-correction (TVECM) model, thus allowing
thresholds within the sample covering the period 1990 to 2010. Moreover, by employing this methodology we are able to evaluate
the degree and dynamics of transaction costs resulting from various events due to external market imperfections but also domestic
factors. The main hypothesis we test is to what extent spreads and CDS are indeed integrated that may result in an efficient
and integrated segniorage capital market. Our findings support the gradual integration hypothesis. We find that spreads and
CDS are cointegrated, though threshold effects are also revealed in terms of events that have impacted on markets. 相似文献
6.
The goal of this study is to investigate the impact of earnings from vessel sales on stock prices for international listed
shipping firms. The empirical findings show that operating income from vessel sales has a higher power in explaining stock
prices than operating earnings only as a sole piece of accounting information for future profitability, investment opportunities,
and firm valuation. The testing period is from 2000 to 2009. The methodologies are those of panel cointegration and panel
causality tests. The implications are very crucial, since managers may manipulate annual earnings by such non-operating activities. 相似文献
7.
In this paper, we explore convergence of real per capita output across the European Union (EU) countries, as well as the transitional
behavior of possible underlying factors that are responsible for any convergence or divergence pattern. The new panel convergence
methodology developed by Phillips and Sul (2007) is employed in a production function growth accounting approach and data from the Total Economy Database and the Total Economy Growth Accounting Database. The empirical findings suggest that the EU countries form two distinct convergent clubs, exhibiting considerable heterogeneity
in the underlying growth factors. These findings should help policy makers in designing appropriate growth-oriented programs
as well as in setting priorities in their implementation. 相似文献
8.
9.
This paper investigates the extent to which access to credit, public financial incentives and tax financial incentives affect export performance using the EU-EFIGE/Bruegel-Unicredit data set, covering firms within Austria, France, Germany, Italy, Spain, Hungary and the UK during the 2008 global financial crisis. The results show that firms receiving credit or benefiting from public financial incentives display higher export intensity and export a greater number of product lines compared to those that did not, especially in countries with better access to credit and/or financial incentives during the crisis. Further, firms benefiting from tax financial incentives show a better export performance compared to those that did not, regardless of the degree of access to credit and/or financial incentives in the country in which they operate. In addition, the effect of access to credit and public finance incentives on export performance is found to be size-dependent, while the effect of tax financial incentives is not. We suggest that governments should promote publicly funded financial incentives along with conventional schemes, such as R&D subsidies, to promote exports, particularly during a period of financial crisis. 相似文献
10.
Nicholas Apergis Alexandros Gabrielsen Lee A. Smales 《Financial Markets and Portfolio Management》2016,30(1):63-94
This paper investigates the explanatory power of weather variables deviations in two leading international financial trading centres (New York and London) on 58 global stock indices over the period September 2000 to December 2013. The empirical results find that unusual deviations of weather variables from their monthly averages have a statistically significant effect on stock returns across global returns. The paper also attempts to explain these effects through the sales and energy prices mechanisms. The results provide strong support to both mechanisms. 相似文献