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The purpose of this article is to investigate the possibility of short and long term statistical relationships among the stock markets of Greece, Turkey and the U.K. ‘Causality’ tests provide a statistical framework of testing the extent of possible links among the above equity markets. Our results indicated the existence of long term dynamics which run from the bigger to the smaller markets i.e. Athens Stock Exchange is led by the markets of London and Turkey. The long run dynamics are observed only when the London Stock Exchange is included in the long run solution of the system, giving evidence that the factor which contributes to the integration of the international stock exchanges is international investors.

Despite the substantial growth in the Islamic finance sector in the recent years, there has been limited empirical research on Islamic equity indices. In our paper we explore the interconnectedness between Islamic and conventional equity indices during the period spanning from 2006 to 2010. The Dow Jones Islamic Market is representative of the Islamic equity market, while the Dow Jones Global and Dow Jones Industrial Average are well perceived equity benchmark indices. We adopt hidden co-integration and granger causality analysis, while we examine the impact of market conditions. We find that the negative index components are significant between the Islamic equity index and the conventional benchmarks, yet the two conventional indices do not support this contention. Moreover, there is evidence that an increasing in magnitude driving force emanates from the Islamic to the conventional index in the crisis and post-crisis periods. A portfolio optimisation case study reveals that there are diversification benefits to be reaped by the inclusion of an Islamic equity index. The finding is tied to the Islamic index’s performance and diversification benefits, particularly during the financial crisis. It may be further linked to investors’ embracing of Islamic finance principles on lower leverage and speculation practices.

The purpose of this study is to investigate whether there are certain price patterns during the trading session in the Athens Stock Exchange (ASE). We investigate statistically the series of stock returns, the volatility of stock returns and trading volume. In our analysis we use data from two different time periods; a period of rising prices (“bull” market) and a period of declining stock prices (“bear” market). We also use different categories of shares i.e. blue chips, medium capitalization stocks and small capitalization stocks. Our results indicate that there exist specific intraday patterns. The explanation of the revealed patterns can be based on investor sentiment and stock market microstructure characteristics., peer-reviewed

The purpose of this article is to investigate the possibility of a long term predictive relationship among the major European stock markets, contrary to the prediction of the Efficient Market Hypothesis. Analytically, we examined the possibility of predictive relationships between the stock markets of Amsterdam, Athens, Brussels, Frankfurt, London, Madrid, Milan, Paris and Zurich for the 1992-1996 period. The theory of cointegration and Error Correction Models (ECM), provide a method of testing the extent of possible links among the European equity markets. The statistical results indicated that the stock exchange of London «leads» and the Athens Stock Exchange «follows» some of the other European markets., peer-reviewed