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This paper presents an analysis of the factors affecting foreign direct investments, focusing on governance quality and adoption of International Financial Reporting Standards on countries of the Gulf Cooperation Council, which are a special case of study due to their idiosyncratic characteristics, rich natural resources and geographical position. Panel data analysis was conducted, implementing three different models (Fixed Effect, Random Effect, and Arellano Bond Dynamic Model). The results show that the adoption of International Financial Reporting Standards is a strong determinant that promotes foreign direct investments. As regards the governance quality, the block of Gulf Cooperation Council countries has fulfilled the minimum level of governance pre-conditions relative to foreign direct investments. In addition, governance indicators associated with law, rules, and corruption are more influential determinants for foreign direct investments.
Costas Siriopoulos; Athanasios Tsagkanos; Argyro Svingou; Evangelos Daskalopoulos. Foreign Direct Investment in GCC Countries: The Essential Influence of Governance and the Adoption of IFRS. Journal of Risk and Financial Management 2021, 14, 264 .
AMA StyleCostas Siriopoulos, Athanasios Tsagkanos, Argyro Svingou, Evangelos Daskalopoulos. Foreign Direct Investment in GCC Countries: The Essential Influence of Governance and the Adoption of IFRS. Journal of Risk and Financial Management. 2021; 14 (6):264.
Chicago/Turabian StyleCostas Siriopoulos; Athanasios Tsagkanos; Argyro Svingou; Evangelos Daskalopoulos. 2021. "Foreign Direct Investment in GCC Countries: The Essential Influence of Governance and the Adoption of IFRS." Journal of Risk and Financial Management 14, no. 6: 264.
The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001–30 December 2020. This period includes several market phases, such as the latest financial crisis, the European sovereign debt crisis and enforcement of restrictions on transactions owing to capital controls on the Athens Stock Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume on stock return volatility mainly in all quantiles. The findings extrapolated are of relevance and interest to financial (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling.
Athanasios Tsagkanos; Konstantinos Gkillas; Christoforos Konstantatos; Christos Floros. Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System. International Journal of Financial Studies 2021, 9, 24 .
AMA StyleAthanasios Tsagkanos, Konstantinos Gkillas, Christoforos Konstantatos, Christos Floros. Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System. International Journal of Financial Studies. 2021; 9 (2):24.
Chicago/Turabian StyleAthanasios Tsagkanos; Konstantinos Gkillas; Christoforos Konstantatos; Christos Floros. 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System." International Journal of Financial Studies 9, no. 2: 24.
We study the simultaneity impact of the European Central Bank news on the daily realized volatility transmission mechanism (spillovers) among various US spot and futures markets. To this end, we apply a bias-corrected vector autoregressive model via Wild bootstrap simulation. We use minute-by-minute intraday data to construct daily realized volatility. We consider 429 news form the ECB as important events employing two major classifications, namely, a country classification with the highest total number of days related ECB news and a type of ECB news classification. We find that investors in futures markets react more vigorously and mainly for the ECB news that is associated with the group of EMU member states applied structural reforms. Yet, more importantly, we show that the US stock markets response heterogeneously to the ECB news, as we find key disagreements in the reactions both across the US markets and the types of ECB news studied. Such evidence is consistent with the explanation of the differential interpretation of information among market participants. From a practical point of view, we suggest that investors in the US spot market can effectively use two or more futures contracts to minimize their exposure to volatility risk associated with that news.
Konstantinos Gkillas; Christoforos Konstantatos; Christos Floros; Athanasios Tsagkanos. Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. International Review of Financial Analysis 2021, 74, 101706 .
AMA StyleKonstantinos Gkillas, Christoforos Konstantatos, Christos Floros, Athanasios Tsagkanos. Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. International Review of Financial Analysis. 2021; 74 ():101706.
Chicago/Turabian StyleKonstantinos Gkillas; Christoforos Konstantatos; Christos Floros; Athanasios Tsagkanos. 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis." International Review of Financial Analysis 74, no. : 101706.
In this article, we examine the success rate of the memorandum in two peripheral eurozone countries (Ireland and Greece) that had significant differences in organisational structures and their development models. For this reason, we measure the quantile dependence between the returns of corporate bond investors and exchange rates employing a novel econometric methodology, the cross‐quantilogram. In Ireland, our key findings exhibit a higher rate of absorbing of structural reforms which contributes to more steady reinforcement of the enterprises, whether the European economy is stronger than the US or not. In contrast, Greece where the structural reforms are more intense, show a similar picture over a period longer than that of Ireland and only when the European economy goes beyond the US economy.
Konstantina Vartholomatou; Konstantina Pendaraki; Athanasios Tsagkanos. Corporate bonds, exchange rates and memorandum: Evidence from Greece and Ireland. International Journal of Finance & Economics 2020, 1 .
AMA StyleKonstantina Vartholomatou, Konstantina Pendaraki, Athanasios Tsagkanos. Corporate bonds, exchange rates and memorandum: Evidence from Greece and Ireland. International Journal of Finance & Economics. 2020; ():1.
Chicago/Turabian StyleKonstantina Vartholomatou; Konstantina Pendaraki; Athanasios Tsagkanos. 2020. "Corporate bonds, exchange rates and memorandum: Evidence from Greece and Ireland." International Journal of Finance & Economics , no. : 1.
We study the impact of economic news releases of the United States on the tail risk of Mexican financial markets. We also control for the impact of (domestic) economic news releases of Mexico. We consider daily data for: (i) the equity market, (ii) the foreign exchange market, as well as (iii) sovereign bonds, (iv) financial institutional bonds and (v) corporate bonds. We estimate tail risk with the use of Value at Risk by employing conditional autoregressive Value at Risk specifications. The models considered are: (i) the adaptive model, (ii) the symmetric slope model, (iii) the asymmetric slope model and (iv) the indirect generalized autoregressive conditional heteroskedasticity model with an autoregressive mean. The empirical findings show that economic news releases of the US and Mexico have a statistically significant impact on the tail risk of Mexican financial markets.
Konstantinos Gkillas; Christoforos Konstantatos; Athanasios Tsagkanos; Costas Siriopoulos. Do economic news releases affect tail risk? Evidence from an emerging market. Finance Research Letters 2020, 40, 101727 .
AMA StyleKonstantinos Gkillas, Christoforos Konstantatos, Athanasios Tsagkanos, Costas Siriopoulos. Do economic news releases affect tail risk? Evidence from an emerging market. Finance Research Letters. 2020; 40 ():101727.
Chicago/Turabian StyleKonstantinos Gkillas; Christoforos Konstantatos; Athanasios Tsagkanos; Costas Siriopoulos. 2020. "Do economic news releases affect tail risk? Evidence from an emerging market." Finance Research Letters 40, no. : 101727.
We study the financial determinants of cash holdings and discuss the importance of firm size in the post-crisis period. We employ panel data regression analysis on a sample of 6629 non-financial and non-utility listed companies in the United Kingdom from 2010 to 2018. We focus on the comparative analysis of large, medium, and small size firms in terms of cash holdings. Our findings indicate that cash levels are higher for firms with riskier cash flows, more growth opportunities, and higher R&D expenditures. In contrast, the firms’ cash holdings decrease when the substitutes of cash, cash flows, and capital expenditures increase. We show that small-sized firms tend to hold more cash than their larger counterparts due to precautionary motives. Further, we confirm a significant and varying association between managerial ownership and cash holdings. The study is robust to different regression specifications, additional analyses, and endogeneity tests. Overall, we add to the prior literature by identifying the effect of firm-level attributes and governance characteristics on cash policy during the post-crisis period. To the best of the authors' knowledge, this is the first work that provides insights on the way that firm characteristics impact cash holdings, considering the differences among firm size groupings.
Efstathios Magerakis; Konstantinos Gkillas; Athanasios Tsagkanos; Costas Siriopoulos. Firm Size Does Matter: New Evidence on the Determinants of Cash Holdings. Journal of Risk and Financial Management 2020, 13, 163 .
AMA StyleEfstathios Magerakis, Konstantinos Gkillas, Athanasios Tsagkanos, Costas Siriopoulos. Firm Size Does Matter: New Evidence on the Determinants of Cash Holdings. Journal of Risk and Financial Management. 2020; 13 (8):163.
Chicago/Turabian StyleEfstathios Magerakis; Konstantinos Gkillas; Athanasios Tsagkanos; Costas Siriopoulos. 2020. "Firm Size Does Matter: New Evidence on the Determinants of Cash Holdings." Journal of Risk and Financial Management 13, no. 8: 163.
We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain volatility changes over time for both the S&P500 and FTSE100 indices. The period of analysis spanned from January 2000 to June 2017 incorporating various market phases, such as booms and crashes. Based on the estimated regressions, we found evidence that the returns of S&P500 and FTSE100 indices were well explained by a specific group of realized measure estimators, and the returns negatively affected realized volatility. These results are highly recommended to financial analysts dealing with high frequency data and volatility modelling.
Christos Floros; Konstantinos Gkillas; Christoforos Konstantatos; Athanasios Tsagkanos. Realized Measures to Explain Volatility Changes over Time. Journal of Risk and Financial Management 2020, 13, 1 .
AMA StyleChristos Floros, Konstantinos Gkillas, Christoforos Konstantatos, Athanasios Tsagkanos. Realized Measures to Explain Volatility Changes over Time. Journal of Risk and Financial Management. 2020; 13 (6):1.
Chicago/Turabian StyleChristos Floros; Konstantinos Gkillas; Christoforos Konstantatos; Athanasios Tsagkanos. 2020. "Realized Measures to Explain Volatility Changes over Time." Journal of Risk and Financial Management 13, no. 6: 1.
Traditional bankruptcy literature focuses on commercial enterprises for identifying the strongest variables and models to predict the bankruptcy outcomes. In this study, for the first time, we exploit a large dataset of European bankrupt and healthy social enterprises (SE’s) in order to identify the crucial factors that affect the survival of this growing and distinguishable legal form. Combined with the goal of achieving optimal predictive accuracy, we rely on Random Utility Models (RUM) emphasising a new methodology: the Bootstrap Mixed Logit (BMXL). In contrast to what has been found for commercial enterprises, empirical results here indicate that certain organisational features such as the board and workforce size may have a different impact on the probability of SE’s bankruptcy.
Kristjana Jace; Dimitrios Koumanakos; Athanasios Tsagkanos. Bankruptcy Prediction in Social Enterprises. Journal of Social Entrepreneurship 2020, 1 -16.
AMA StyleKristjana Jace, Dimitrios Koumanakos, Athanasios Tsagkanos. Bankruptcy Prediction in Social Enterprises. Journal of Social Entrepreneurship. 2020; ():1-16.
Chicago/Turabian StyleKristjana Jace; Dimitrios Koumanakos; Athanasios Tsagkanos. 2020. "Bankruptcy Prediction in Social Enterprises." Journal of Social Entrepreneurship , no. : 1-16.
We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014. Results are robust to different sub-periods before and after the global financial crisis of 2008. Volatility is estimated with the use of the median realized variance estimator. Jumps are also detected. The impact of the announcements is assessed building using regression techniques. Returns, volatility and jumps of both stock and foreign exchange markets are significantly explained nationally by macroeconomic fundamentals and economic news releases.
Konstantinos Gkillas; Dimitrios Vortelinos; Christos Floros; Athanasios Tsagkanos. Economic News Releases and Financial Markets in South Africa. Economies 2019, 7, 112 .
AMA StyleKonstantinos Gkillas, Dimitrios Vortelinos, Christos Floros, Athanasios Tsagkanos. Economic News Releases and Financial Markets in South Africa. Economies. 2019; 7 (4):112.
Chicago/Turabian StyleKonstantinos Gkillas; Dimitrios Vortelinos; Christos Floros; Athanasios Tsagkanos. 2019. "Economic News Releases and Financial Markets in South Africa." Economies 7, no. 4: 112.
We investigate potential mean and volatility spillovers among sovereign bond yield spreads for five peripheral countries of the euro area. We focus on Greece, Ireland, Italy, Portugal and Spain during the European sovereign debt crisis. We propose a bootstrap bias-corrected bivariate Vector Autoregressive Moving Average (VARMA), GARCH-in-Mean, asymmetric BEKK model, and find that the level and the volatility of a bond yield spread are mainly dependent on its own past volatility, and thus, its past shocks mainly affect its volatility. Based on our findings, we suggest that the number one priority of the European policymakers be the economic and financial integration of the European peripheral countries into the core.
Konstantinos Gkillas; Athanasios Tsagkanos; Argyro Svingou; Costas Siriopoulos. Uncertainty in Euro area and the bond spreads. Physica A: Statistical Mechanics and its Applications 2019, 537, 122643 .
AMA StyleKonstantinos Gkillas, Athanasios Tsagkanos, Argyro Svingou, Costas Siriopoulos. Uncertainty in Euro area and the bond spreads. Physica A: Statistical Mechanics and its Applications. 2019; 537 ():122643.
Chicago/Turabian StyleKonstantinos Gkillas; Athanasios Tsagkanos; Argyro Svingou; Costas Siriopoulos. 2019. "Uncertainty in Euro area and the bond spreads." Physica A: Statistical Mechanics and its Applications 537, no. : 122643.
Anastasios Evgenidis; Athanasios Tsagkanos. Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach. International Review of Financial Analysis 2017, 51, 69 -81.
AMA StyleAnastasios Evgenidis, Athanasios Tsagkanos. Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach. International Review of Financial Analysis. 2017; 51 ():69-81.
Chicago/Turabian StyleAnastasios Evgenidis; Athanasios Tsagkanos. 2017. "Asymmetric effects of the international transmission of US financial stress. A threshold-VAR approach." International Review of Financial Analysis 51, no. : 69-81.
Purpose The purpose of this paper, in contrast to other studies, is to examine an indirect relationship in terms of the effect of income inequality with stock market development in countries South of the Euro-zone during the period 2002-2013. Design/methodology/approach The author adopts a new econometric method, the Improved Augmented Regression Method, to obtain bias-reduced and stationary-corrected estimators. Findings The results reveal a negative relationship that puts into doubt the recovery of growth. Originality/value The new econometric methodology leads to a novel suggested policy on the need for reforms adopting a low-income tax rate system and reinforcement of export-oriented productivity. This conclusion is strengthened by the respective relationship in USA.
Athanasios Tsagkanos. Stock market development and income inequality. Journal of Economic Studies 2017, 44, 87 -98.
AMA StyleAthanasios Tsagkanos. Stock market development and income inequality. Journal of Economic Studies. 2017; 44 (1):87-98.
Chicago/Turabian StyleAthanasios Tsagkanos. 2017. "Stock market development and income inequality." Journal of Economic Studies 44, no. 1: 87-98.
In this paper, we investigate the relationship between stock prices and industrial production both for South and North of Euro-zone during the period 2004–2013. In contrast to previous studies we identify additional price interaction and dynamics investigating asymmetric adjustment behavior combined with long-run relationship using the Threshold cointegration approach. This method is proper as well because takes into consideration the type of shocks which appears in period 2004–2013. The results demonstrate symmetric adjustment process for the North and asymmetric for the South when stock prices and industrial production adjust to achieve the long-run equilibrium. The main cause of asymmetry is the difference in structural competitiveness which is weakest in South with respect to North. This finding is particularly important because provides the direction of economic policy that should adopt the governments of South of Euro-zone.
Athanasios Tsagkanos; Costas Siriopoulos. Stock markets and industrial production in north and south of Euro-zone: Asymmetric effects via threshold cointegration approach. The Journal of Economic Asymmetries 2015, 12, 162 -172.
AMA StyleAthanasios Tsagkanos, Costas Siriopoulos. Stock markets and industrial production in north and south of Euro-zone: Asymmetric effects via threshold cointegration approach. The Journal of Economic Asymmetries. 2015; 12 (2):162-172.
Chicago/Turabian StyleAthanasios Tsagkanos; Costas Siriopoulos. 2015. "Stock markets and industrial production in north and south of Euro-zone: Asymmetric effects via threshold cointegration approach." The Journal of Economic Asymmetries 12, no. 2: 162-172.
This study tests the ‘Market for Corporate Control’ hypothesis in a small open economy. The results appear to favour rejection of this hypothesis indicating that acquisitions have not been driven by managerial-disciplinary motives. Moreover, it is found that a logit model outperforms other statistical tests.
Costas Siriopoulos; Antonios Georgopoulos; Athanasios Tsagkanos. Does the ‘Market for Corporate Control’ hypothesis explain takeover targets? Applied Economics Letters 2006, 13, 557 -561.
AMA StyleCostas Siriopoulos, Antonios Georgopoulos, Athanasios Tsagkanos. Does the ‘Market for Corporate Control’ hypothesis explain takeover targets? Applied Economics Letters. 2006; 13 (9):557-561.
Chicago/Turabian StyleCostas Siriopoulos; Antonios Georgopoulos; Athanasios Tsagkanos. 2006. "Does the ‘Market for Corporate Control’ hypothesis explain takeover targets?" Applied Economics Letters 13, no. 9: 557-561.