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Liquidity volatility and spillover effects : evidence from the UK-USA and East Asian countries

Lim, Sung; Giouvris, Evangelos - In: International journal of financial engineering and risk … 2 (2015) 1, pp. 48-71

Persistent link: https://www.econbiz.de/10011344290

A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index

Alsheikhmubarak, Abdulilah Ibrahim; Giouvris, Evangelos - In: Multinational finance journal 22 (2018) 3/4, pp. 119-172

Persistent link: https://www.econbiz.de/10012547707

On the pricing of commonality across various liquidity proxies in the London stock exchange and the crisis

Lim, SungKyu; Giouvris, Evangelos - In: Handbook of investors' behavior during financial crises, (pp. 447-470). 2017

Persistent link: https://www.econbiz.de/10011743118

A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index

Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when analysing market consensus and risk strategies. The purpose of this study is to evaluate the ability of symmetric and asymmetric GARCH systems to model the volatility of the FTSE 100...

Persistent link: https://www.econbiz.de/10014254483

Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

Persistent link: https://www.econbiz.de/10013545890

Fama–French–Carhart Factor-Based Premiums in the US REIT Market : A Risk Based Explanation, and the Impact of Financial Distress and Liquidity Crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - 2023

Persistent link: https://www.econbiz.de/10014254802

The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa

Korley, Maud; Giouvris, Evangelos - 2023

Frontier markets have become increasingly investible, providing diversification opportunities; however, there is very little research (with conflicting results) on the relationship between Foreign Exchange (FX) and frontier stock markets. Understanding this relationship is important for both...

Persistent link: https://www.econbiz.de/10014257939

Contrarian profits and the overreaction hypothesis : the case of the Athens stock exchange

Antoniou, Antonios; Galariotis, Emilios C.; Spyrou, … - In: European financial management : the journal of the … 11 (2005) 1, pp. 71-98

Persistent link: https://www.econbiz.de/10003061488

Contrarian and momentum profitability revisited : evidence from the London Stock Exchange 1964 - 2005

Galariotis, Emilios C.; Holmes, Philip; Ma, Xiaodong S. - In: Journal of multinational financial management 17 (2007) 5, pp. 432-447

Persistent link: https://www.econbiz.de/10003613137

Overreaction evidence form large-cap stocks

Assefa, Tibebe Abebe; Esqueda, Omar A.; Galariotis, … - In: Review of accounting & finance 13 (2014) 4, pp. 310-325

Persistent link: https://www.econbiz.de/10010463739