Index futures and positive feedback trading: evidence from major stock exchanges
A Antoniou, G Koutmos, A Pericli - Journal of Empirical Finance, 2005 - Elsevier
This paper tests the hypothesis that the introduction of index futures has increased positive
feedback trading in the spot markets of six industrialized nations. The analysis is based on a …
feedback trading in the spot markets of six industrialized nations. The analysis is based on a …
Correlation in price changes and volatility of major Latin American stock markets
A Christofi, A Pericli - Journal of Multinational Financial Management, 1999 - Elsevier
This paper seeks to investigate the short-run dynamics between five major Latin American
stock markets (Argentina, Brazil, Chile, Colombia and Mexico). Unlike previous research on …
stock markets (Argentina, Brazil, Chile, Colombia and Mexico). Unlike previous research on …
Index futures and options and stock market volatility
A Pericli, G Koutmos - The Journal of Futures Markets (1986 …, 1997 - search.proquest.com
Derivative securities in general and index futures and options in particular have been blamed
for excess volatility in the spot market. The popular belief is that derivatives encourage …
for excess volatility in the spot market. The popular belief is that derivatives encourage …
Short-term dynamics in the Cyprus stock exchange
G Koutmos, A Pericli, L Trigeorgis - european Journal of Finance, 2006 - Taylor & Francis
This paper investigates the short-term dynamics of stock returns in an emerging stock market
namely, the Cyprus Stock Exchange (CYSE). Stock returns are modelled as conditionally …
namely, the Cyprus Stock Exchange (CYSE). Stock returns are modelled as conditionally …
Commercial mortgage default: a comparison of logit with radial basis function networks
A Episcopos, A Pericli, J Hu - The Journal of Real Estate Finance and …, 1998 - Springer
This article explores the use of artificial neural networks in the modeling of foreclosure of
commercial mortgages. The study employs a large set of individual loan histories previously …
commercial mortgages. The study employs a large set of individual loan histories previously …
Dynamic hedging of paper with T bill futures
G Koutmos, A Pericli - … of Futures Markets: Futures, Options, and …, 1998 - Wiley Online Library
Despite the growing importance of the commercial paper market there is no empirical work
investigating the hedging performance of dynamic hedging strategies versus traditional static …
investigating the hedging performance of dynamic hedging strategies versus traditional static …
Hedging GNMA Mortgage‐Backed Securities with T‐Note Futures: Dynamic versus Static Hedging
G Koutmos, A Pericli - Real Estate Economics, 1999 - Wiley Online Library
This article proposes a dynamic hedging model for Government National Association
Mortgage‐Backed Securities (GNMA MBSs) that is free of the drawbacks associated with the static …
Mortgage‐Backed Securities (GNMA MBSs) that is free of the drawbacks associated with the static …
Are multiple hedging instruments better than one?
G Koutmos, A Pericli - Journal of Portfolio Management, 2000 - search.proquest.com
The paper examines the effectiveness of the 10-year, the 5-year, and the 2-year Treasury
note futures contracts in hedging the price risk of fixed-rate mortgage-backed securities (MBS). …
note futures contracts in hedging the price risk of fixed-rate mortgage-backed securities (MBS). …
Dynamic cross hedging with mortgage-backed securities
G Koutmos, KF Kroner, A Pericli - The Journal of Fixed Income, 1998 - search.proquest.com
A paper proposes a dynamic hedging strategy that exploits the presence of time variation in
the 2nd moments in MBS and Treasury note futures. Using daily 30-year FNMA security …
the 2nd moments in MBS and Treasury note futures. Using daily 30-year FNMA security …
The Asymmetric Relation Between Margin Requirements and Stock Market Volatility Across Bull and Bear Markets
GA Hardouvelis, A Pericli, P Theodossiou - 1997 - ideas.repec.org
EGARCH-M models based on a daily, weekly, and monthly S&P–500 returns over the period
October 1934–September 1994 reveal that higher margins have a much stronger negative …
October 1934–September 1994 reveal that higher margins have a much stronger negative …