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Costas Siriopoulos
College of Business, Zayed University, Abu Dhabi 144534, United Arab Emirates

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Journal article
Published: 10 June 2021 in Journal of Risk and Financial Management
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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.

ACS Style

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 Style

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 (6):264.

Chicago/Turabian Style

Costas 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.

Journal article
Published: 19 April 2021 in Econometrics
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We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

ACS Style

Konstantinos Gkillas; Christoforos Konstantatos; Costas Siriopoulos. Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. Econometrics 2021, 9, 17 .

AMA Style

Konstantinos Gkillas, Christoforos Konstantatos, Costas Siriopoulos. Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. Econometrics. 2021; 9 (2):17.

Chicago/Turabian Style

Konstantinos Gkillas; Christoforos Konstantatos; Costas Siriopoulos. 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation." Econometrics 9, no. 2: 17.

Journal article
Published: 22 March 2021 in Journal of Banking Regulation
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This paper is motivated by the ongoing debate about the Basel III impact on the efficient functioning of the banking sector. We empirically examine the effect that the implementation of the net stable funding ratio has on real economy. Using data from the EU banking sector, we conduct a retrospective analysis by simulating and investigating historically the NSFR index and its role in the implementation of a common monetary policy. We intervene on the traditional bank lending channel of Bernanke and Blinder (Am Econ Rev 82:901–921, 1992) by incorporating the interaction term between liquidity and interest rates. The analysis is conducted both at an aggregated loan supply level and by loan category while it incorporates, additionally to the interaction term, conventional asset pricing approaches with the adoption of self-financing trading strategies detecting nonlinearities in the relationship between liquidity provisions and bank lending channel. According to our findings, there is evidence of a heterogeneous response of financial intermediaries’ loan supply (due to changes of interest rates) across different NSFR levels. Banks with higher NSFR respond positively to an interest rate increase, by restructuring their loans’ portfolios to achieve higher risk-adjusted returns, conditional on the presence of an efficient asset allocation. On the contrary, low NSFR banks reduce loan supply as a response to higher interest rates.

ACS Style

Stephanos Papadamou; Dimitrios Sogiakas; Vasilios Sogiakas; Konstantinos Syriopoulos. The role of net stable funding ratio on the bank lending channel: evidence from European Union. Journal of Banking Regulation 2021, 1 -21.

AMA Style

Stephanos Papadamou, Dimitrios Sogiakas, Vasilios Sogiakas, Konstantinos Syriopoulos. The role of net stable funding ratio on the bank lending channel: evidence from European Union. Journal of Banking Regulation. 2021; ():1-21.

Chicago/Turabian Style

Stephanos Papadamou; Dimitrios Sogiakas; Vasilios Sogiakas; Konstantinos Syriopoulos. 2021. "The role of net stable funding ratio on the bank lending channel: evidence from European Union." Journal of Banking Regulation , no. : 1-21.

Journal article
Published: 19 March 2021 in Investment Management and Financial Innovations
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Although the coronavirus pandemic hit Europe in the early days of 2020, European stock markets had signaled fluctuations in the days before. This paper assesses the observed volatility on European stock exchanges and searches for its sources during the first four months of 2020. To investigate the issue, a panel VAR model is adopted, and the generalized impulse response function and the variance decomposition methods are used. The estimations show that about 34% of the volatility in European stock markets is due to the Chinese stock market, while 7% is due to international uncertainty, as measured by VIX. The impact of pandemic cases and deaths on European stock markets is negligible, below 1%. This means that the European stock market faced two risk elements: the first is the transmission volatility from the Chinese stock market, and the second is the international uncertainty. The findings also support the view that COVID-19 is more like a systematic risk.

ACS Style

Costas Siriopoulos; Argyro Svingou; Jagadish Dandu. Lessons for Euro markets from the first wave of COVID-19. Investment Management and Financial Innovations 2021, 18, 285 -298.

AMA Style

Costas Siriopoulos, Argyro Svingou, Jagadish Dandu. Lessons for Euro markets from the first wave of COVID-19. Investment Management and Financial Innovations. 2021; 18 (1):285-298.

Chicago/Turabian Style

Costas Siriopoulos; Argyro Svingou; Jagadish Dandu. 2021. "Lessons for Euro markets from the first wave of COVID-19." Investment Management and Financial Innovations 18, no. 1: 285-298.

Journal article
Published: 27 July 2020 in Journal of Risk and Financial Management
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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.

ACS Style

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 Style

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 (8):163.

Chicago/Turabian Style

Efstathios 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.

Review
Published: 08 July 2020 in The Quarterly Review of Economics and Finance
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This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but there are gains in studying together all 47 volatility-based indices that are now available, in order to examine if different asset classes and financial instruments could possess different return-volatility relations and forecasting ability. Our findings suggest that implied volatility includes information about future volatility beyond that contained in past volatility; this finding is consistent across all assets under review. Furthermore, we find a significant contemporaneous relationship between implied volatility changes and underlying returns, but at the same time, we show that implied volatilities in commodities, bonds, currencies and volatility react differently to underlying price changes compared to equities. Hence, our findings have important implications for asset allocation, risk management and asset pricing.

ACS Style

Athanasios P. Fassas; Costas Siriopoulos. Implied volatility indices – A review. The Quarterly Review of Economics and Finance 2020, 79, 303 -329.

AMA Style

Athanasios P. Fassas, Costas Siriopoulos. Implied volatility indices – A review. The Quarterly Review of Economics and Finance. 2020; 79 ():303-329.

Chicago/Turabian Style

Athanasios P. Fassas; Costas Siriopoulos. 2020. "Implied volatility indices – A review." The Quarterly Review of Economics and Finance 79, no. : 303-329.

Journal article
Published: 26 November 2019 in Investment Management and Financial Innovations
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International investors’ interest in the capital markets in the region of Gulf countries has dramatically increased in last two decades. Thus, it would be motivating to investigate their characteristics, where the January anomaly is a major one. This paper studies the veracity of the January effect rule in the Gulf Cooperation Council (GCC) stock markets and examines the predictive power of January returns. Seven GCC stock markets are tested – the market indices in Bahrain, Abu Dhabi, Dubai, Kuwait, Oman, Qatar, and Saudi Arabia – from January 1, 2001 until December 31, 2018, a timeframe which has rarely been analyzed. Ordinary least square (OLS)-based dummy variable regression equation was used as the conventional econometric procedure in the works of financial calendar anomalies in stock markets. Some evidence is reported for the markets of Dubai and Kuwait. The paper also provides an additional explanation for the performance of stock market of Kuwait. The findings are opposite to the well documented evidence that emerging markets are less efficient and hence it is likely that several market anomalies are further pronounced. The results suggest that the predictive power of the January anomaly can be considered as a temporary anomaly in the GCC markets, since it is concentrated in only a couple of GCC markets and does not persist in time.

ACS Style

Costas Siriopoulos; Layal Youssef. The January barometer in emerging markets: new evidence from the Gulf Cooperation Council stock exchanges. Investment Management and Financial Innovations 2019, 16, 61 -71.

AMA Style

Costas Siriopoulos, Layal Youssef. The January barometer in emerging markets: new evidence from the Gulf Cooperation Council stock exchanges. Investment Management and Financial Innovations. 2019; 16 (4):61-71.

Chicago/Turabian Style

Costas Siriopoulos; Layal Youssef. 2019. "The January barometer in emerging markets: new evidence from the Gulf Cooperation Council stock exchanges." Investment Management and Financial Innovations 16, no. 4: 61-71.

Journal article
Published: 28 September 2018 in International Review of Economics & Finance
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This paper extends the study of price discovery and volatility transmission between the cash and futures index prices in Athens Exchange by using a new high-frequency dataset. It also employs, for the first time in the Greek market, well-known techniques to examine the long-run relationships and the short-run dynamics between spot and futures prices. In sum, the error correction model estimations and the estimated information shares provide evidence in support of the leading role of the futures market in the price discovery process. Furthermore, our results suggest strong bi-directional dependence in the intraday volatility of both markets, refuting prior empirical findings. Finally, we show that the pricing efficiency of the futures contracts in Athens Exchange has improved over the last years, as we document fewer divergences from the no-arbitrage window.

ACS Style

Athanasios P. Fassas; Costas Siriopoulos. Intraday price discovery and volatility spillovers in an emerging market. International Review of Economics & Finance 2018, 59, 333 -346.

AMA Style

Athanasios P. Fassas, Costas Siriopoulos. Intraday price discovery and volatility spillovers in an emerging market. International Review of Economics & Finance. 2018; 59 ():333-346.

Chicago/Turabian Style

Athanasios P. Fassas; Costas Siriopoulos. 2018. "Intraday price discovery and volatility spillovers in an emerging market." International Review of Economics & Finance 59, no. : 333-346.

Journal article
Published: 13 September 2018 in Journal of Business Research
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Forecasting economic activity has attracted a great deal of econometric work, while mixed evidence has been found concerning the ability of the yield spread to forecast gross domestic product (GDP). This paper uses a meta-analysis framework to deal with the heterogeneity in the results seen in the literature. Our findings suggest that nonlinearities, as well as the role of monetary policy, should be considered when modeling this relationship. We also find that the forecasting ability of the yield spread has become much stronger over the last twenty years. Moreover, we argue that the yield spread is a useful tool in predicting economic activity in many major world economies, particularly those of the US, Canada, and Europe and, more importantly, especially during financial stress periods. Last, we find that improvements in the stock market reduce the usefulness of the yield spread in predicting future economic activity.

ACS Style

Anastasios Evgenidis; Stephanos Papadamou; Costas Siriopoulos. The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies? Journal of Business Research 2018, 106, 221 -232.

AMA Style

Anastasios Evgenidis, Stephanos Papadamou, Costas Siriopoulos. The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies? Journal of Business Research. 2018; 106 ():221-232.

Chicago/Turabian Style

Anastasios Evgenidis; Stephanos Papadamou; Costas Siriopoulos. 2018. "The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?" Journal of Business Research 106, no. : 221-232.

Journal article
Published: 08 December 2017 in International Journal of Managerial Finance
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Purpose The purpose of this paper is to examine the inter-relations among the US stock indices. Design/methodology/approach Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model. Non-linear inter-relations are researched via Breitung’s nonlinear cointegration, a M-G nonlinear causality model, shocks to the forecast error variance, a shock spillover index and an asymmetric VAR-GARCH (VAR-ABEKK) approach. Findings The inter-relations are significant. The results are robust across all types of inter-relations. They are highest in the Lehman Brothers sub-period. Higher stability after the EU debt crisis, enhances independence and growth for the US stock indices. Originality/value To the best of the knowledge, this is the first study to examine the inter-relations of US stock indices. Most studies on inter-relations concentrate on the portfolio analysis to reveal diversification benefits among various asset markets internationally. Hence this study contributes to this literature on the inter-relations of a specific asset market (stock), and in a specific nation (USA). The evident inter-relations support the notion of diversification benefits in the US stock markets.

ACS Style

Dimitrios Vortelinos; Konstantinos Gkillas (Gillas); Costas Syriopoulos; Argyro Svingou. Asymmetric and nonlinear inter-relations of US stock indices. International Journal of Managerial Finance 2017, 14, 78 -129.

AMA Style

Dimitrios Vortelinos, Konstantinos Gkillas (Gillas), Costas Syriopoulos, Argyro Svingou. Asymmetric and nonlinear inter-relations of US stock indices. International Journal of Managerial Finance. 2017; 14 (1):78-129.

Chicago/Turabian Style

Dimitrios Vortelinos; Konstantinos Gkillas (Gillas); Costas Syriopoulos; Argyro Svingou. 2017. "Asymmetric and nonlinear inter-relations of US stock indices." International Journal of Managerial Finance 14, no. 1: 78-129.

Journal article
Published: 10 October 2016 in Investment Management and Financial Innovations
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The main purpose of this paper is to investigate the impact of an endogenous relationship between international financial reporting standards (IFRS) and sovereign credit ratings on the factors that determine foreign direct investments, by using an instrumental variable panel data framework. The results show that the adoption of IFRS by developed economies is interpreted by credit rating agencies as a positive sign that the firms will provide more transparent financial reports. In addition, the authors find that the consideration of the endogenous relationship between IFRS and credit ratings for developed economies highlights the importance of some variables that was not evident previously such as the degree of corruption and the educational level. Finally, the authors suggest that foreign direct investments are more easily attracted when one considers a joint factor which captures people’s perceptions about the ability of the government to implement policy and regulations that promote the development of public and private sector. Keywords: credit ratings, IFRS, FDI determinants. JEL Classification: C23, C26, M41, E51

ACS Style

Evangelos Daskalopoulos; Anastasios Evgenidis; Athanasios Tsagkanos; Costas Siriopoulos. Assessing variations in foreign direct investments under international financial reporting standards (IFRS) adoption, macro-socioeconomic developments and credit ratings. Investment Management and Financial Innovations 2016, 13, 328 -340.

AMA Style

Evangelos Daskalopoulos, Anastasios Evgenidis, Athanasios Tsagkanos, Costas Siriopoulos. Assessing variations in foreign direct investments under international financial reporting standards (IFRS) adoption, macro-socioeconomic developments and credit ratings. Investment Management and Financial Innovations. 2016; 13 (3):328-340.

Chicago/Turabian Style

Evangelos Daskalopoulos; Anastasios Evgenidis; Athanasios Tsagkanos; Costas Siriopoulos. 2016. "Assessing variations in foreign direct investments under international financial reporting standards (IFRS) adoption, macro-socioeconomic developments and credit ratings." Investment Management and Financial Innovations 13, no. 3: 328-340.

Journal article
Published: 30 November 2015 in Eurasian Economic Review
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The nexus between stock markets and exchange rates is examined in the case of eight European countries. The sample consists of four economies with national currencies and four that have adopted the euro. Thus, if differences between the two groups in the relationship governing the two markets exist, they will be unveiled. To this effect, a threshold cointegration methodology is adopted that allows for more reliable inferences to be drawn for both the short and long run nexus between the two markets. Monthly data is used covering the period 01/2000–12/2014. The findings reported herein offer support in favor of the portfolio approach thesis over the recent economic crisis period, but this finding is not the case for the entire sample. Bidirectional causality is found for Norway and the UK, pointing to a currency effect on stock markets. In view of the findings reported herein, policies aiming at reducing uncertainty in the stock markets can exert beneficial effects on currency markets.

ACS Style

Christos Kollias; Stephanos Papadamou; Costas Siriopoulos. Stock markets and effective exchange rates in European countries: threshold cointegration findings. Eurasian Economic Review 2015, 6, 215 -274.

AMA Style

Christos Kollias, Stephanos Papadamou, Costas Siriopoulos. Stock markets and effective exchange rates in European countries: threshold cointegration findings. Eurasian Economic Review. 2015; 6 (2):215-274.

Chicago/Turabian Style

Christos Kollias; Stephanos Papadamou; Costas Siriopoulos. 2015. "Stock markets and effective exchange rates in European countries: threshold cointegration findings." Eurasian Economic Review 6, no. 2: 215-274.