Research Summary

My research utilizes sophisticated econometric models to examine some specific financial and monetary relationships. The focus of my analysis is the examination of the effects of macroeconomic and financial uncertainty/volatility and conditional correlation on the returns of stock markets, economic growth, inflation and the allocation of assets between domestic and foreign denominated currencies. Furthermore, my research examines how various stylized facts of stock returns (such as the illiquidity, skewness, persistence in volatility/correlation etc.) affect their performance and relation to other variables. A part of my research examines the relative efficiency among various companies and how the structure of a company affects its performance. Finally, some econometric tools of my research are used in other disciplines and areas of interests such as the effects of various policies in real economy

Published papers

Government bond market risk-return trade-off (with C. Christiansen) Quantitative Finance and Economics (forthcoming)

Risk-Return Trade-off in International Stock Returns: Skewness and Business Cycles (with H. Nyberg) Econometrics and Statistics (forthcoming)

Sales and Promotions and the Great Recession Deflation (with N. Michail, D. Koursaros and N. Papadopoulou) Empirical Economics (forthcoming)

Expedition into the Stochast ic Dynamics and Pricing of Bitcoin (with P. Theodossiou and P. Ellina) Review of Quantitative Finance and Accounting 59, 695-716 (2022)

Market Price of Risk Estimation: Does Distribution Matter? (with P. Theodossiou) Communications in Statistics: Theory and Methods 51 (21), 7413-7432 (2022)

Quantile Risk–Return Trade-Off (with C. Christiansen and N. Aslanidis) Journal of Risk and Financial Management 14, 249 (2021)

Electricity Pricing Using a Periodic GARCH-M Model with Conditional Skewness (with F. Ioannidis, K. Kosmidou and P. Theodossiou) Energy Economics 95, 105110 (2021)

Is British Output Growth Related to its Uncertainty? Evidence using Eight Centuries (with D. Bredin and S. Fountas) Scottish Journal of Political Economy 68 (3), 345-364 (2021)

The Impact of the Coronavirus Crisis on the Market Price of Risk (with P. Theodossiou and M. Delis) Journal of Financial Stability 53, 100840 (2021)

Are Central Banks to Blame? Monetary Policy and Bank Lending Behavior (with N. Michail and D. Koursaros) Bulletin of Economic Research 73 (4), 762-779 (2021)

Tell me where to stop: Thresholds in the bank lending and output growth relationship (with N. Michail and D. Koursaros) Empirical Economics 60, 1845-1873 (2021)

Freight Rates in Downside and Upside Markets: Pricing of Own and Spillover Risk from Other Shipping Segments in the Presence of Skewness (with P. Theodossiou and D. Tsouknidis) Journal of Royal Statistical Society A 183 (3), 1097-1119 (2020)

Flight to Safety from European Stock Markets (with C. Christiansen and N. Aslanidis) Finance Research Letters 35, 101294 (2020)

The Effects of Oil Price Shocks on the Prices of EU Emission Trading Scheme and European Stock Returns (with D. Tsouknidis, N. Lambertides, and S. Krokida) European Journal of Finance 26 (1), 1-13 (2020)

Tourism, Instability and Regional Interdependence: Evidence from the Eastern-Mediterranean (with A. Theocharous, A. Zopiatis, N. Lambertides, and Y. Mansfeld) Defense and Peace Economics 31 (3), 245–268 (2020)

Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation (with A. Halunga) Econometric Reviews 38(6), 660-678 (2019)

Sentiment, Order Imbalance, and Co-movement. An Examination of Shocks to Retail and Institutional Trading Activity (with P. Chelley-Steeley and N. Lambertides) European Financial Management 25, 116-159 (2019)

Idiosyncratic Volatility: Influence of Macro-Finance Factors (with N. Aslanidis, C. Christiansen and N. Lambertides) Review of Quantitative Finance and Accounting 52, 381-401 (2019)

The Risk and Return Conundrum Explained: International Evidence (with P. Theodossiou)  Journal of Financial Econometrics 16(3), 486‐521 (2018)

Effects of Fiscal Consolidation on Business Confidence in the Euro Area (with N. Michail and D. Koursaros) Economics and Business Letters 7(2), 76-83 (2018)

Size Effects of Fiscal Policy and Business Confidence in the Euro Area (with N. Michail and D. Koursaros) International Journal of Financial Studies 5 (26), 1-15 (2017)

The effects of oil price shocks on U.S. stock order flow imbalances and stock returns (with D. Tsouknidis and N. Lambertides) Journal of International Money and Finance 74, 137-146 (2017)

Replication of Grier, Henry, Olekalns, and Shields (2004) the Asymmetric Effects of Uncertainty on Inflation and Output Growth Journal of Applied Econometrics 31 (6), 1192-1196 (2016)

Short-Horizon Event Study Estimation with a STAR Model and Real Contaminated Events (with P. Andreou and C. Louca) Review of Quantitative Finance and Accounting 47 (3), 673-697 (2016)

Risk-return tradeoff in European Stock Markets (with N. Aslanidis and C. Christiansen) International Review of Financial Analysis 46, 84-103 (2016)

Skewness and the Relation between Risk and Return (with P. Theodossiou) Management Science 62 (6), 1598-1609 (2016)

Dynamic Cointegration and Diversification Benefits among the Greater China, the US, and the UK stock Markets (with F. Guidi and M. Ugur) Journal of Multinational Financial Management 35, 59-78 (2016)

The Effect of Security and Market Order Flow Shocks on Co-movement (with P. Chelley-Steeley and N. Lambertides) Journal of International Financial Markets Institution and Money 39, 136-155 (2015)

Short-horizon Excess Returns, Exchange Rates and Interest Rates Effects  (with J. Nathan and N. Lambertides) Journal of International Financial Markets Institution and Money 37, 54-76 (2015)

Family Involvement and Firm Performance: Evidence from UK Listed Firms (with P. Poutziouris and E. Hadjielias) Journal of Family Business Strategy 6, 14-32 (2015)

Institutions and Financial Dollarization:  Indirect Effects based on a Policy Experiment (with K. C. Neanidis) Economics Letters 121, 405-410 (2013) 

Illiquidity shocks and the co-movement between stocks: New evidence using smooth transition (with P. Chelley-Steeley and N. Lambertides) Journal of Empirical Finance 23, 1-15 (2013)

Macroeconomic Uncertainty, Inflation and Growth: Regime-Dependent Effects in the G7 (with K. C. Neanidis) Journal of Macroeconomics 35, 81-92 (2013)

The Relative Efficiency of Shipping Companies (with P. Panayides and N. Lambertides) Transportation Research E 47, 681-694 (2011)

Are there still portfolio diversification benefits in Eastern Europe? Aggregate versus sectoral stock market data (with N. Aslanidis) The Manchester School 79 (6), 1323-1352 (2011)

Nominal Uncertainty and Inflation: The Role of EU Membership (with K. C. Neanidis) Economics Letters 112 (1), 26-30 (2011)

Modelling Interbank Relations during the International Financial Crisis Economics Bulletin 31 (1), 916-924 (2011)

Stock market integration between new EU member states and the Euro-zone (with N. Aslanidis) Empirical Economics 39 (2), 337-351 (2010)

Business Cycle Synchronization of the Euro Area with the New and Candidate Member Countries (with K. C. Neanidis and D. R. Osborn) International Journal of Finance and Economics 15, 288-306 (2010)

Spillovers and Correlations between the US and Major European Stock Markets: The Role of the Euro Financial Dollarization: Short Run Determinants in Transition Economies(with D. R. Osborn and L. Gill) Applied Financial Economics 19, 1595-1604 (2009)

Financial Dollarization: Short Run Determinants in Transition Economies (with K. C. Neanidis) Journal of Banking and Finance 33, 1860-1873 (2009). 

International Stock Markets Interactions and Conditional Correlations Journal of International Financial Markets, Institutions and Money 19, 645-661 (2009)

Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US (with D. R. Osborn and L. Gill) Journal of Financial Econometrics 6 (3), 307-325 (2008)

Publications in other fields

The non-inclusive nature of 'all-inclusive' economics: paradoxes and possibilities (with A. Zopiatis and N. Lambertides) Tourism Management 78, 104054 (2020)

Anthropogenic greenhouse gas emissions and global temperature: Do they relate and how? (with T. Zachariadis, N. Michail and D. Koursaros) SN Applied Sciences 1, 707 (2019)

Tourism Stocks in Times of Crisis: An Econometric Investigation of Unexpected Nonmacroeconomic Factors (with A. Zopiatis, N. Lambertides and M. McAleer) Journal of Travel Research 58(3), 459-479 (2019).

Hospitality Education and Finance Courses: an ‘inconvenient’ relationship? (with A. Theocharous, A. Zopiatis and N. Lambertides) Journal of Hospitality, Leisure, Sport & Tourism Education 24, 63-69 (2019).

The Effect of Smoke-free Policies on Hospitality Industry Revenues in Cyprus: An Econometric Approach (with M. Talias, E. Soteriades, and L. Lazuras) Tobacco Control 24 (3), 199-204 (2015).

Support for Smoke-free Policies in the Cyprus Hospitality Industry (with M. Talias, E. Soteriades, and L. Lazuras) International Journal of Public Health 60, 911-917 (2015).

Work related to Cypriot Economy

Electricity Consumption and Economic Activity in Cyprus using an Asymmetric Cointegration Technique (with N. Michail) Cyprus Economic Policy Review 15 (2), 26 -41 (2021)

Public Debt Thresholds: An Analysis for Cyprus (with N. Michail) Cyprus Economic Policy Review 15 (1), 75 -85 (2021)

What Determines Bank Lending Standards in Cyprus? (with N. Michail) Cyprus Economic Policy Review 14 (1), 16 -26 (2020)

Factors Affecting Housing Prices: International Evidence. Cyprus Economic Policy Review 12 (2), 88 -97 (2018)

Modeling house price volatility states in Cyprus with switching ARCH models (with N. Michail). Cyprus Economic Policy Review 11 (1), 69 -82 (2017)

House Price Dynamics and the Reaction to Macroeconomic Changes: The Case of Cyprus. Cyprus Economic Policy Review 9 (2), 1-11 (2015)

The Effects of Fiscal Consolidation on Macroeconomic Indicators in Cyprus (with N. Pashourtidou and N. Syrichas). Cyprus Economic Policy Review 8 (1), 93-119 (2014)

Factors Affecting House Prices in Cyprus: 1988-2008 (with P. Pashardes). Cyprus Economic Policy Review 3 (1), 3-25 (2009)

The efficiency of Cypriot commercial banks: Comparison with Greece and the UK. Cyprus Economic Policy Review 1 (2), 17-35 (2007)

See Economics Research Centre for various economic policy/analysis papers

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