Samitas A, Asteriou D, Polyzos S, Kenourgios D. Terrorist incidents and tourism demand: Evidence from Greece. Tourism Management Perspectives [Internet]. 2018;25:23-28. Publisher's VersionAbstract
The purpose of this paper is to examine the impact of terrorism on tourism demand in Greece using monthly data from 1977 to 2012. We investigate whether this relationship is bidirectional and whether it exhibits long run persistence. Thus, we employ a large dataset of terrorist incidents and perform cointegration and long-run causality tests, correcting our data for cyclical seasonality and applying PCA to construct a terrorism proxy according to the severity of the incident. Our findings concur that terrorism has a significant negative impact on tourist arrivals to Greece and that causality is noted from terrorism to tourism only. The results suggest that authorities should establish firm measures against terrorism and that further actions should be taken to promote tourism, safety and security, as a response to terrorist incidents. Our study is, to the best our knowledge, the first to approach terrorism using a three-factor proxy with qualitative features.
Kenourgios D, Dimitriou D, Simos T.

Financial crises, exchange rate linkages and uncovered interest-rate parity: Evidence from G7 markets

. Economic Modelling [Internet]. 2017;66:112-120. Publisher's VersionAbstract
This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis for 2004–2015. The results indicate that the Canadian Dollar and Great British Pound were affected mainly by the US Dollar across the two crises due to strong financial and economic ties among the three economies, while the Japanese Yen shows evidence of a safe-haven currency. We also provide evidence of varying vulnerability of currencies to both crises, implying increased portfolio diversification benefits, since holding a portfolio with diverse currencies is less subject to systematic risk. These results show that the policy makers need to adopt a stricter form of monetary policy coordination among central banks, since the different vulnerability of currencies across turbulent periods reveals possible non-cooperative monetary policies.
Alexakis P, Kenourgios D, Dimitriou D. On emerging stock market contagion: the Baltic region. Research in International Business and Finance [Internet]. 2016;36:312-321. Publisher's VersionAbstract
This study provides new evidence on emerging stock market contagion during the Global Financial crisis (GFC) and the Euro zone Sovereign Debt Crisis (ESDC). Focusing on the three emerging Baltic markets and developed European markets, proxied by the EUROSTOXX50 stock index, we explore asymmetric dynamic conditional correlation dynamics across stable and crisis periods. Empirical evidence indicates a diverse contagion pattern for the Baltic region across the two crises. Latvia and Lithuania were contagious during the GFC, while they were insulated from the adverse effects of the ESDC. On the other hand, Estonia decoupled from the negative consequences during the global turmoil period, but recoupled during the ESDC. The results could be attributed to financial and macroeconomic characteristics of the Baltic countries before and after the turmoil periods and the introduction time of the Euro as a national currency.
Paparizos P, Dimitriou D, Kenourgios D, Simos T. On high frequency dynamics between information asymmetry and volatility for securities. Journal of Economic Asymmetries [Internet]. 2016;13:21-34. Publisher's VersionAbstract
This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based on tick by tick data on securities traded in the Athens Stock Exchange (ASE) during the Greek sovereign debt crisis. The results show a positive and statistically significant correlation between the volatility of TR-VPIN and future short-term volatility for securities that are exposed to asymmetric information during the period under examination. This evidence expands the existent literature which shows that the absolute order imbalance forecasts absolute returns, suggesting that TR-VPIN is a real-time informative indicator of the Probability of Informed Trading (PIN) in the high frequency domain. Further, the long-range dependence between the conditional volatilities of TR-VPIN and stock returns becomes more significant as we move towards securities which display stronger long memory. This is perfectly in line with the recent empirical evidence in microstructure literature that large past shocks of flow toxicity can lead to volatility through liquidity shortages.
Kenourgios D, Nader N, Dimitriou D. Islamic financial markets and global crises: Contagion or decoupling. Economic Modelling [Internet]. 2016;57:36-46. WebsiteAbstract
This paper investigates the contagion effects of the global financial crisis (GFC) and Eurozone sovereign debt crisis (ESDC) on Islamic equity and bond markets. Using a sample of Islamic stock indices from various developed and emerging markets and the global Islamic stock and bond (sukuk) indices, we explore asymmetric conditional correlation dynamics across stable and crisis periods and across the two crises. The results fail to provide strong contagion evidence between conventional and Islamic equity and bond indices, supporting the decoupling hypothesis of the Islamic securities. Our findings imply that Islamic equities and bonds may provide a cushion against risk and instability, particularly in periods of turmoil. The small number of contagion cases mostly relates to the ESDC and developed Islamic stock indices. The findings also show that the Islamic emerging stock indices in the BRICS provide the most effective international portfolio diversification benefits compared to the Islamic developed indices.
Kenourgios D, Papadamou S, Dimitriou D. . Finance Research Letters [Internet]. 2015;14:128-134.
This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank (ECB), the Bank of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcements, and from GBP to EUR over the BoE announcements, (ii) the ECB and BoE announcements significantly increase the volatility of EUR and JPY, and (iii) a ‘‘calming down’’ impact on the volatility of EUR and GBP from the BoJ and the ECB announcements, respectively.
Kenourgios D, Papadamou S, Dimitriou D. On quantitative easing and high frequency exchange rate dynamics. Research in International Business and Finance [Internet]. 2015;34(1):11--125. Publisher's VersionAbstract
This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank, the Bank of Japan and the Bank of England on exchange rate dynamics. Using intraday data of three major exchange rates (EUR/USD, GBP/USD, JPY/USD), we apply a univariate APARCH(1,1) model and include QE dummies to empirically investigate how exchange rates are affected in mean and volatility. The empirical results indicate: (i) a direct negative impact on GBP and JPY and no effect of their volatility around the QE announcements of the corresponding central banks, (ii) a delayed devaluation of EUR and an increase of its volatility before and after the ECB’s announcements. Furthermore, the behavior of dynamic conditional correlation among currencies is investigated across the QE announcements. We find a decline in the conditional correlation between EUR and GBP around the announcements by the BoE. These findings highlight the differences on the credibility and effectiveness of the monetary easing strategies and provide important implications from the investors’ and policy makers’ perspective.
Kenourgios, D. DD. Contagion of the Global Financial Crisis and the real economy: A regional analysis. Economic Modelling [Internet]. 2015;44:283-293. Website
Kenourgios, D. DD. Contagion effects of the Global Financial Crisis in US and European real economy sectors. Panoeconomicus [Internet]. 2014;61:275-288. Website
Kenourgios D. On financial contagion and implied market volatility. International Review of Financial Analysis [Internet]. 2014;34:21-30. Website
Mouratidis, K. KSVDAD. Evaluating currency crises: A multivariate markov regime switching approach*. Manchester School [Internet]. 2013;81:33-57. Website
Dimitriou, D. KD. Financial crises and dynamic linkages among international currencies. Journal of International Financial Markets, Institutions and Money [Internet]. 2013;26:319-332. Website
Dimitriou, D. KSDT. Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH-DCC approach. International Review of Financial Analysis [Internet]. 2013;30:46-56. Website
Asteriou, D. SKAD. The London 2012 Olympic Games announcement and its effect on the London Stock Exchange. Journal of Economic Studies [Internet]. 2013;40:203-221. Website
Kenourgios, D. ASDA. Testing for asymmetric financial contagion: New evidence from the Asian crisis. Journal of Economic Asymmetries [Internet]. 2013;10:129-137. Website
Kenourgios D, Christopoulos A, Dimitriou D. Asset markets contagion during the global financial crisis. Multinational Finance Journal [Internet]. 2013;17(1/2):49-76. Publisher's VersionAbstract
This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetric conditional correlations among asset markets during stable and turmoil periods. Results provide evidence on the existence of a correlated-information channel as a contagion mechanism among the U.S. stocks, real estate, commodities and emerging Brazilian bond index. The findings also support the decoupling of BRIC equity markets from the crisis, the diversification benefits of shipping and foreign exchange value of the U.S. dollar indices, and the existence of a flight to quality mechanism from risky U.S. assets to German bonds. This evidence has important implications for portfolio diversification strategies and the future work of policymakers.
Kenourgios, D. PP. Emerging markets and financial crises: Regional, global or isolated shocks?. Journal of Multinational Financial Management [Internet]. 2012;22:24-38. Website
Kenourgios D. Financial crises and emerging stock market contagion.; 2012 pp. 45-57. Website
Chouliaras, A.S. CKKAGD. The PIIGS stock markets before and after the 2008 financial crisis: A dynamic cointegration and causality analysis. International Journal of Banking, Accounting and Finance [Internet]. 2012;4:232-249. Website
Dimitriou D, Kenourgios D. Opportunities for international portfolio diversification in the Balkans’ markets. International Journal of Economics and Research [Internet]. 2012;3(1):1-12. Publisher's VersionAbstract
This paper examines long and short-run relationships among three emerging Balkan stock markets (Romania, Bulgaria and Croatia), two developed European stock markets (Germany and Greece) and United States (U.S.), during the period 2000 - 2005. We apply Johansen's (1988) cointegration methodology to test the long-run relationships between these markets and Granger's (1969) causality methodology in order to capture short-runcointegration. Our findings are mixed. We provide evidence on long-run relationships between the Bulgarian and Croatian stock markets and the developed markets. On the other hand, there is no any cointegration among the developed markets and the Romanian market. Moreover, there is no cointegrating relationship among the threeregional emerging markets, while short-run relationships exist only among the region. These results have crucial implications for investors regarding the benefits of international portfolio diversification.
Kenourgios, D. SA. Equity market integration in emerging Balkan markets. Research in International Business and Finance [Internet]. 2011;25:296-307. Website
Kenourgios, D. SPAN. Financial crises and stock market contagion in a multivariate time-varying asymmetric framework. Journal of International Financial Markets, Institutions and Money [Internet]. 2011;21:92-106. Website
Kenourgios, D. KA. Maturity effect on stock index futures in an emerging market. Applied Economics Letters [Internet]. 2011;18:1029-1033. Website
Georgantopoulos A, Kenourgios D, Tsamis A. Calendar anomalies in emerging Balkan equity markets. International Economics and Finance Journal [Internet]. 2011;6(1):67-82. Publisher's VersionAbstract
This paper investigates calendar anomalies for four emerging stock markets (Romania,Bulgaria, Croatia and Turkey) and their mature counterpart in the Balkan region (Greece), during the period 2000-2008. Five well known calendar effects on both return and volatility are examined; the day of the week effect, the January effect, the half month effect, the turn of the month effect and the time of the month effect. We provide evidence for the existence of three calendar effects (day of the week, turn of the month, time of the month) in both mean and volatility equations for Greece and Turkey, which is consistent to the findings of previous studies. On the other hand, the effects for the three emerging Balkan markets are limited and exist only in volatility. This contradictory evidence could be due to a different level of liquidity and maturity for these markets.
Samitas A, Kenourgios D, Tsakalos I. Corporate Events’ Effect on Stock Returns: Evidence from Athens Stock Exchange. International Research Journal of Applied Finance [Internet]. 2011;2(6):692-715. Publisher's VersionAbstract
This study examines firm’s stock returns’ behaviour, when they announce corporate events like management change, collaborations and stock repurchase. It examines how this change is portrayed in firms’ stock prices returns. The methodologies used are the methodology of event study analysis and bootstrap methodology. Companies selected belong to eight different sectors of Athens Stock Exchange with different Stock Exchange value in order to get a more general picture that does not only represent one sector which can be influenced individually from accidental factors. The sample constitutes forty firms listed in Athens Stock Exchange. Results indicate that corporate events’ impact is important and a key for enterprises to follow new challenges and create financial value. This paper provides evidence on the impact of corporate governance on stock returns in Greece. The implication is that corporate events create financial value.
Kenourgios D, Samitas A. Evaluating the persistence of forecasting models: A comparison approach. In: Volume of essays in honour of the late Professor P. Livas. Piraeus: University of Piraeus; 2011. pp. 297-305. Publisher's Version
Kenourgios D, Papathanasiou S. Profitability of Technical Trading Rules in an Emerging Market. In: The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets . edited by Greg N. Gregoriou. New York: McGraw-Hill, NYC; 2010. pp. 97-11.Abstract
This chapter investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE/ASE 20 index during the period 1995 to 2008. We focus on a less developed and efficient stock market, given the existing scarcity of research in such markets. The technical rules that will be explored are simple moving averages. We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t test and bootstrap methodology under the generalized autoregressive conditional heteroscedasticity model. The results provide strong evidence on the profitability of the technical trading rules against the “buy and hold” strategy and contradict the efficient market hypothesis.
Kenourgios, D. SA. Modelling return and volatility in emerging stock markets: A markov switching approach. International Journal of Economic Research [Internet]. 2009;6:97-108. Website
Kenourgios D, Samitas A, Paltalidis N. Financial Market Dynamics in an Enlarged European Union. Journal of Economic Integration [Internet]. 2009;24(2):197-221. Publisher's VersionAbstract
This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized dynamic conditional correlation (AG-DCC) model developed by Cappiello, Engle and Sheppard (Journal of Financial Econometrics, 2006). Using structural breaks, we identify the optimal time decay where financial markets share highest comovement. The results show an increase in the level of dependence during the period of the internet bubble collapse (2000), the Balkan countries start formally discussions to join European Union (2000), the introduction of Euro banknotes and coins (2002) and the entry of CE countries in EU (2004). The CE European and Balkan countries become gradually more integrated with the EMU countries, which is consistent with the interpretation that these countries may be expected to join the Euro in the future.
Kenourgios D, Samitas A. Overreaction Hypothesis in Emerging Balkan Stock Markets. In: Emerging Markets: Performance, Analysis and Innovations. G. N. Gregoriou (ed.). London: Chapman Hall/ Taylor and Francis; 2009. pp. 185-201. Publisher's VersionAbstract
This chapter examines overreaction hypothesis in four emerging Balkan stock markets (Bulgaria, Romania, Croatia, Turkey), using average returns of four developed markets (US, UK, Germany and Greece), during the period 2000-2007. The hypothesis tested is that developed market movements create overreaction to Balkan ones. We apply the Dimson’s (1979) aggregated coefficients method upon the conventional market model and an asymmetric non-linear smooth-transition generalized autoregressive conditional heteroskedasticity (ANST –GARCH) model. The findings provide evidence on accepting the overreaction hypothesis in Balkan markets and on excess volatility with asymmetric mean reversion patterns. The findings also support that a “momentum” portfolio strategy is the most appropriate for exceptional returns in emerging Balkan markets.
Samitas, A. KZDP. Athens' Olympic Games 2004 impact on sponsors' stock returns. Applied Financial Economics [Internet]. 2008;18:1569-1580. Website
Kenourgios, D. SDAP. Hedge ratio estimation and hedging effectiveness: The case of the S&P 500 stock index futures contract. International Journal of Risk Assessment and Management [Internet]. 2008;9:121-134. Website
Kenourgios D, Samitas A. The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange. International Research Journal of Finance and Economics [Internet]. 2008;15:78-89. Publisher's Version
Samitas A, Kenourgios D, Tsakalos I. The impact of mergers and acquisitions on world energy enterprises’ stock returns. International Journal of Business Research [Internet]. 2008;8(1):191-201. Publisher's Version
Kenourgios, D. SKAN. The corporate governance framework & its application to privatizations of public enterprises. In: AIP Conference Proceedings. Vol. 963. ; 2007. pp. 1082-1085. Website
Kenourgios D, Samitas A. Financial Development and Economic Growth in a Transition Economy: Evidence for Poland. Journal of Financial Decision Making [Internet]. 2007;3(1):35-48. Publisher's Version
Samitas A, Kenourgios D. Impact of Mergers and Acquisitions on Stock Returns of Tramp Shipping Firms. International Journal of Financial Services Management [Internet]. 2007;2(4):327-343 . Publisher's Version
Kenourgios D, Papathanasiou S, Melas ER. Initial Performance of Greek IPOs, Underwriter’s Reputation and Oversubscription. Managerial Finance Journal [Internet]. 2007;33(5):332-343 . Publisher's Version
Samitas A, Kenourgios D. Macroeconomic Factors’ Influence on “New” European Countries Stock Returns: The Case of Four Transition Economies. International Journal of Financial Services Management [Internet]. 2007;2(1/2):34-49 . Publisher's Version
Samitas, A.G. KDF. Financing tourist development through stock capital: Evidence from the Greek hotel sector. Tourism Economics [Internet]. 2006;12:87-100. Website
Samitas, A. KKDN. The small business capital market behavior in Athens stock exchange. Small Business Economics [Internet]. 2006;27:409-417. Website
Kenourgios D. Capital Structure, Risk and Financial Innovations: Evidence from the Greek Capital Market. In: Volume of essays in honour of the late Professor Ch. Naum. Vol. 1. University of Piraeus; 2006. pp. 515-533. Publisher's Version
Kenourgios D, Pavlidis N.
Bank Supervision, Commercial Inflation Forecasting and Information Asymmetry: New Evidence for the U.S.A
. In: Festschrift (Τιμητικός Τόμος) in honor of Maria Negreponti-Delivanis. Thessaloniki: University of Macedonia Press; 2006. pp. 85-108.
Kenourgios D, Samitas A, Christodoulou A. Long run and Short run Test for Market Efficiency: Evidence for the British Pound, the German Mark and the Japanese Yen. Operational Research: An International Journal [Internet]. 2006;6(2):163-182. Publisher's Version
Kenourgios D, Samitas A, Paltalidis N. Short and Long run Parametric Dynamics in the Balkans Stock Markets. International Journal of Business, Management and Economics [Internet]. 2006;2(8):5-20. Publisher's Version
Samitas, A.G. KDF. Entrepreneurship, small and medium size business markets and European economic integration. Journal of Policy Modeling [Internet]. 2005;27:363-374. Website
Samitas A, Kenourgios D. Modeling Macroeconomic Effects in Central Eastern Economies Stock Returns. In: Advances in Financial Forecasting, Lecture Series on Computer and Computational Sciences. Vol. 4. VSP/Brill Academic Publishers; 2005. pp. 1345-1348 . Publisher's Version
Kenourgios D. Testing Efficiency and the Unbiasedness Hypothesis of the Emerging Greek Futures Market. European Review of Economics and Finance [Internet]. 2005;4(2):3-20. Publisher's Version
Kenourgios D. Διαδικασία της Χρηματοοικονομικής Καινοτομίας και Χρηματοοικονομική Μηχανική: Μια Συνολική Θεωρητική Προσέγγιση και Ανάλυση. Επιθεώρηση Οικονομικών Επιστημών (Review of Economic Sciences) [Internet]. 2005;7:137-154 . Publisher's Version
Kenourgios D, Pavlidis N. Central Banking and Commercial Inflation Forecasting: Some New Evidence for the U.S.A. Economia Internazionale/ International Economics [Internet]. 2004;57(4):475-493 . Publisher's Version
Kenourgios D, Pavlidis N. Individual Analysts’ Earnings Forecasts: Evidence for Overreaction in the UK Stock Market. International Business and Economics Research Journal [Internet]. 2004;3(9):95-106. Publisher's Version
Kenourgios D, Petropoulos I. The Persistence of Mutual Funds Performance: Evidence from the U.K Stock Market. Ekonomia [Internet]. 2004;7(2): 121-138. Publisher's Version
Kenourgios D. Price Discovery in the Athens Derivatives Exchange: Evidence for the FTSE/ASE-20 Futures Market. Economic and Business Review [Internet]. 2004;6(3):229-243. Publisher's Version
Kenourgios D, Samitas A. Testing Efficiency of the Copper Futures Market: New Evidence from London Metal Exchange. Global Business and Economics Review, Anthology [Internet]. 2004:261-271. Publisher's Version