• ARCH effects and cointegration: Is the foreign exchange market efficient?

      Apergis, Nicholas; Alexakis, Panagiotis; University of Macedonia; University of the Aegean (Elsevier, 1996-05)
      Extensive empirical work has produced mixed evidence regarding the validity of the unbiased efficient expectations hypothesis in the foreign exchange market. Empirical analysis in this paper, via cointegration techniques, produces the same inconclusive results for three currency markets, namely, the FFR/$US, the DM/$US and the Yen/$US foreign exchange market. However, when modeling conditional heteroskedasticity of exchange rates, through autoregressive conditional heteroskedasticity (ARCH) models, the results are fairly conclusive; the presence of the efficient foreign exchange market hypothesis is found in all these three currency markets.
    • The Feldstein-Horioka puzzle and exchange rate regimes: Evidence from cointegration tests

      Apergis, Nicholas; Alexakis, Panagiotis; Kyranis Securities; University of Aegean (Elsevier, 1994-10)
      Many economists specialized in international finance claim that international capital markets are highly integrated (at least during the flexible exchange rate era). The main consequence of the above claim is that there is no longer any close relationship between investment and savings decisions. In other words, the close link between savings and investment ceases to exist under perfect capital mobility. Therefore, we construct a general equilibrium optimization model that is capable of generating artificial (model) data for savings and investment. Then, using the methodology of cointegration testing on these artificial data, we test whether there exists or not any link between savings and investment. The test is implemented between two different exchange rate regimes, that is, that of the Bretton Woods and that of the floating or flexible exchange rate regime. The results from the empirical analysis provide support for integrated capital markets over the second exchange rate era in the case of the United States of America.
    • Inflation volatility and stock prices: Evidence from ARCH effects

      Apergis, Nicholas; Alexakis, Panagiotis; Xanthakis, Emmanuel; University of Macedonia; University of Aegean; University of Athens (Springer, 1996-05)
      This paper examines the impact of inflation uncertainty on stock prices in developed as well as in emerging capital markets over the period 1980:1–93:12 via an Autoregressive Conditional Heteroskedasticity (ARCH) model for inflation. The results seem to support the presence of a negative association between inflation uncertainty and stock prices.
    • Integration of international capital markets: further evidence from EMS and non-EMS membership

      Alexakis, Panagiotis; Apergis, Nicholas; Xanthakis, Emmanuel; University of Athens; University of Macedonia; University of Athens (Elsevier, 1997-10)
      The present paper examines whether real interest rates from nine financial markets—five European Monetary System (EMS) and four non-EMS markets—are financially integrated both on a world-wide basis and within each market individually. Monthly data on nominal interest rates and prices over the period 1982:1–1993:12 along with the methodology of cointegration are used to serve the purposes of the empirical analysis. The results provide support to the integrated market hypothesis as regards the financial markets considered altogether, as well as the financial markets in each `block' of markets. The presence of a systematic real interest rate relationship in the long run is accepted both on a non-EMS and an EMS basis. This relationship proves to be stronger on the EMS basis than on the non-EMS basis; this is probably due to the lower exchange rate volatility within the EMS environment.
    • Stock returns and inflation volatility: Evidence from developed and emerging capital markets

      Apergis, Nicholas; Alexakis, Panagiotis; Winder, Robert; University of Macedonia; University of Aegean; Christopher Newport University (Springer, 1996-02)