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 …

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 …

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 …

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 …

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 …

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 …

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 …

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). …

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 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 …