Research Publications
"Investors’ risk aversion and government policy responses to the COVID-19 pandemic", Applied Economics Letters, forthcoming, 2023.
"Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure", with Papadamou, S., Kenourgios, D. and Dimitriou, D., Journal of Economic Asymmetries, e00317, 2023.
"Earnings quality and firm valuation: evidence from several European countries", with Nerantzidis, M., Tsakalos, I. and Asimakopoulos, I., Corporate Governance: The International Journal of Business in Society, 23(6), pp. 1298-1313, 2023.
"Assessing the financial and informational role of supervisory stress tests: EU-wide 2018 stress test vis-à-vis EU-wide 2021 stress test", with Karakostas, D. and Tsakalos, I., Journal of Financial Regulation and Compliance, 31(4), pp. 397-419, 2023.
"Cannabis Stocks Returns: The Role of Liquidity and Investors’ Attention via Google Metrics", with Papadamou, S., Koulis, A. and Kyriakopoulos, C., International Journal of Financial Studies, 10(1), 7, 2022.
"Evaluating survey-based forecasts of interest rates and macroeconomic variables", with Papadamou, S., and Kenourgios, D., Journal of Economic Studies, 49(1), pp. 140-158, 2022.
"Price discovery in US money market benchmarks: LIBOR vs. SOFR", Economics Letters, 109882, 2021.
"Price Discovery in a New Futures Market: Micro E-Mini Index Futures", The Journal of Derivatives, 29(1), pp. 70-94, Fall 2021.
"Corporate liquidity, supply chain and cost issues awareness within the Covid-19 context: evidence from us management reports' textual analysis", with Bellos, S. and Kladakis, G., Corporate Governance, 21(6), pp. 1155-1171, 2021.
"Flight-to-quality between global stock and bond markets in the covid era", with Papadamou, S., Kenourgios, D. and Dimitriou, D., Finance Research Letters, 101852, 2021.
"Implied volatility indices–A review", with Siriopoulos C., The Quarterly Review of Economics and Finance, 79, pp. 303-329, 2021.
"The Spillover Effect of Euribor on Southeastern European Economies: A Global VAR Approach", with Golitsis, P., Bellos, S.K, and Demiralay, S., Journal of East-West Business, 27(1), pp. 57-91, 2021.
"Does earnings quality matter? Evidence from the Athens Exchange", with Asimakopoulos I. and Malliaropulos D., Bank of Greece Economic Bulletin, (52), pp. 93-112, 2020.
"Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic". Heliyon, 6(12), e05715, 2020.
"US unconventional monetary policy and risk tolerance in major currency markets", with Kenourgios, D. and Papadamou, S., The European Journal of Finance, 27(10), pp. 994-1008, 2020.
"Price discovery in bitcoin futures", with Papadamou, S. and Koulis, A., Research in International Business and Finance, 52, 101116, 2020.
"Dynamic co-movements and directional spillovers among energy futures", with Demiralay, S. and Hourvouliades, N., Studies in Economics and Finance, 37(4), pp. 673-696, 2020.
“VIX Futures as a Market Timing Indicator”, with Hourvouliades N., Journal of Risk and Financial Management, 12(3), 113, 2019. (underlying data)
“Investors’ Risk Aversion Integration and Quantitative Easing”, with Papadamou, S. and Philippas, D., Review of Behavioral Finance, 12(2), pp. 170-183, 2019.
“Credit Risk Determinants: Evidence from the Bulgarian Banking System”, with Golitsis, P. and Lyutakova, A., Bulletin of Applied Economics, 6(1), pp. 41-64, 2019.
“Intraday Price Discovery and Volatility Spillovers in an Emerging Market”, with Siriopoulos, C., International Review of Economics & Finance, 59, pp. 333–346, 2019. (underlying data)
“Variance Risk Premium and Equity Returns”, with Papadamou, S., Research in International Business and Finance, 46, pp. 462-470, 2018. (underlying data)
“Unconventional monetary policy announcements and risk aversion: evidence from the US and European equity markets”, with Papadamou, S., The European Journal of Finance, 24(18), pp. 1885-1901, 2018.
“A reverse index futures split effect on liquidity and market dynamics”, with Hourvouliades, N., International Journal of Bonds and Derivatives, 3(3), pp. 235-252, 2017.
“Tracking the VIX”, Journal of Index Investing, 8(1), pp. 76–91, 2017.
“Sectoral Differences in the Choice of the Time Horizon during Estimation of the Unconditional Stock Beta”, with Dadakas, D., Karpetis, Ch. and Varelas, E., International Journal of Financial Studies, 4(4), 25, 2016.
“Exposure-based volatility: an application in corporate risk management”, with Lyaskov, V.R., Investment Management and Financial Innovations, 13(2), pp. 235-245, 2016.
“An Analysis of the Covered Warrants listed on the Athens Exchange”, with Siriopoulos, C. , Journal of Risk & Control, 1(1), pp. 13-30, 2014.
“Tracking ability of ETFs: physical vs. synthetic replication”, Journal of Index Investing, 5(2), pp. 9-20, 2014.
“Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility”, with Siriopoulos, C., Review of Derivatives Research, 16(3), pp. 233-266, 2013.
“An Investor Sentiment Barometer - Greek Implied Volatility Index (GRIV)”, with Siriopoulos, C., Global Finance Journal, 23(2), pp. 77-93, 2012. (underlying data)
“The relationship between VIX futures term structure and S&P500 returns”, Review of Futures Markets, 20(3), pp. 299-313, 2012.
“Exchange-Traded Products investing and Precious Metal prices”, Journal of Derivatives and Hedge Funds, 18(2), pp. 127-140, 2012.
“The efficiency of VIX futures market – A panel data approach”, with Siriopoulos, C., Journal of Alternative Investments, 14(3), pp. 55-65, 2012.
“Mispricing in stock index futures markets – The case of Greece”, Investment Management and Financial Innovations, 8(2), pp. 101-107, 2011. (underlying data)