Dimitris Kenourgios

National and Kapodistrian University of Athens - Department of Economics

1, Sofokleous Str

Office 521

Athens, 10559

Greece

  • National and Kapodistrian University of Athens - Department of Economics

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SCHOLARLY PAPERS

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Scholarly Papers (66)

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1.

Hedge Ratio Estimation and Hedging Effectiveness: The Case of the S&P 500 Stock Index Futures Contract

International Journal of Risk Assessment and Management, Vol. 9, Nos. 1/2, pp. 121-134, 2008
Number of pages: 25 Posted: 13 Jan 2006 Last Revised: 12 Jun 2008
Dimitris Kenourgios, Aristeidis Samitas and Panagiotis Drosos
National and Kapodistrian University of Athens - Department of Economics, University of the Aegean and University of Sheffield - Department of Economics
Downloads 1,655 (21,300)
Citation 1

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Hedging effectiveness, minimum variance hedge ratio, hedging models, Standard & Poor's 500 stock index futures

2.

Testing Efficiency of the Copper Futures Market: New Evidence from London Metal Exchange

Global Business and Economics Review, pp. 261-271, Anthology 2004
Number of pages: 18 Posted: 15 Dec 2005
Dimitris Kenourgios and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics and University of the Aegean
Downloads 748 (66,129)

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Copper Futures Market, Market Efficiency, Unbiasedness Hypothesis, London Metal Exchange

3.

Impact of Mergers and Acquisitions on Stock Returns of Tramp Shipping Firms

International Journal of Financial Services Management, Vol. 2, No. 4, pp. 327-343, 2007
Number of pages: 21 Posted: 05 Sep 2007 Last Revised: 09 Dec 2007
Aristeidis Samitas and Dimitris Kenourgios
University of the Aegean and National and Kapodistrian University of Athens - Department of Economics
Downloads 738 (67,297)
Citation 1

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Corporate restructuring, mergers and acquisitions, tramp shipping firms, stock returns, event study, bootstrap

4.

Financial Crises and Contagion: Evidence for BRIC Stock Markets

EFMA Vienna Meetings 2007
Number of pages: 36 Posted: 15 May 2008
Dimitris Kenourgios, Aristeidis Samitas and Nikos Paltalidis
National and Kapodistrian University of Athens - Department of Economics, University of the Aegean and Durham University Business School
Downloads 714 (70,224)
Citation 2

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Financial crises, stock market contagion, BRICs, multivariate regime-switching copula, AG-DCC model

5.

Individual Analysts' Earnings Forecasts: Evidence for Overreaction in the UK Stock Market

International Business and Economics Research Journal, Vol. 3, No. 9, pp. 95-106, September 2004
Number of pages: 20 Posted: 14 Dec 2005
Dimitris Kenourgios and Nikolaos Pavlidis
National and Kapodistrian University of Athens - Department of Economics and Brunel University - Department of Economics and Finance
Downloads 694 (72,881)

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Overreaction, Underreaction, Analysts forecasts, forecast horizons, size effect, price/earnings ratio

6.

The Persistence of Mutual Funds Performance: Evidence from the U.K. Stock Market

EKONOMIA, Cyprus Economic Society and University of Cyprus, Vol. 7, No. 2, pp. 121-138
Number of pages: 21 Posted: 15 Dec 2005
Dimitris Kenourgios and Ioannis Petropoulos
National and Kapodistrian University of Athens - Department of Economics and Brunel University London - Economics and Finance
Downloads 522 (104,136)

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Mutual funds, Persistence, Market efficiency, Jensen's measure of performance, U.K.

7.

Testing Efficiency and the Unbiasedness Hypothesis of the Emerging Greek Futures Market

European Review of Economics and Finance, Vol. 4, No. 1, pp. 3-20, April 2005
Number of pages: 23 Posted: 27 Dec 2005
Dimitris Kenourgios
National and Kapodistrian University of Athens - Department of Economics
Downloads 391 (146,407)

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Market efficiency, Unbiasedness hypothesis, Athens Derivatives Exchange, FTSE/ASE-20 futures market

8.

Price Discovery in the Athens Derivatives Exchange: Evidence for the Ftse/Ase-20 Futures Market

Economic and Business Review, Vol. 6, No. 3, pp. 229-243, October 2004
Number of pages: 26 Posted: 20 Dec 2005
Dimitris Kenourgios
National and Kapodistrian University of Athens - Department of Economics
Downloads 387 (148,113)

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Athens Derivatives Exchange, FTSE/ASE 20 futures contract, Price discovery, Cointegration analysis, Causality

9.

Asset Markets Contagion During the Global Financial Crisis

Downloads 362 (159,517)
Citation 3

Asset Markets Contagion During the Global Financial Crisis

Multinational Finance Journal, 2013, vol. 17, no. 1/2, pp. 49–76.
Number of pages: 28 Posted: 16 Oct 2013 Last Revised: 03 Mar 2017
Dimitris Kenourgios, Apostolos G. Christopoulos, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Faculty of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics
Downloads 302 (192,358)

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global financial crisis, asset markets, contagion, asymmetric dynamic conditional correlations

Asset Markets Contagion During the Global Financial Crisis

Multinational Finance Journal, Vol. 17, No. 1/2, p. 49-76, 2013
Number of pages: 28 Posted: 18 Jun 2015
Dimitris Kenourgios, Apostolos G. Christopoulos, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Faculty of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics
Downloads 60 (690,254)

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global financial crisis; asset markets; contagion; asymmetric dynamic conditional correlations

10.

The Expected Impact of IFRS 9 on the Greek Banking System’s Financial Performance: Theoretical Considerations and Insights

Number of pages: 30 Posted: 22 Mar 2021 Last Revised: 27 May 2021
Dr. Despoina I. Ntaikou Postdoc c., Georgios Vousinas and Dimitris Kenourgios
Athens University of Economics and Business (AUEB)- Department of Accounting and Finance, National Technical University of Athens and National and Kapodistrian University of Athens - Department of Economics
Downloads 356 (162,457)
Citation 1

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IFRS 9, Credit Risk, Financial Regulation, ECL, LLP, Banking System

11.

Entrepreneurship, Small and Medium Size Business Markets and European Economic Integration

Downloads 348 (166,472)

Entrepreneurship, Small and Medium Size Business Markets and European Economic Integration

Journal of Policy Modeling, Vol. 27, pp. 363-374, 2005
Number of pages: 15 Posted: 15 Dec 2005
Aristeidis Samitas and Dimitris Kenourgios
University of the Aegean and National and Kapodistrian University of Athens - Department of Economics
Downloads 348 (165,145)
Citation 1

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Small-medium business equity markets, Gap financing, Cointegration, Policy actions

Entrepreneurship, Small and Medium Size Business Markets and European Economic Integration

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 09 Nov 2009
Aristeidis Samitas and Dimitris Kenourgios
University of the Aegean and National and Kapodistrian University of Athens - Department of Economics

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Experimental/primary research, Finance gap, Financing, Stock markets, Econometrics

12.

Macroeconomic Factors' Influence on 'New' European Countries' Stock Returns: The Case of Four Transition Economies

International Journal of Financial Services Management, Vol. 2, Nos. 1/2, pp. 34-49, 2007
Number of pages: 27 Posted: 14 Jan 2006
Aristeidis Samitas and Dimitris Kenourgios
University of the Aegean and National and Kapodistrian University of Athens - Department of Economics
Downloads 305 (191,584)

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Stock returns, macroeconomic factors, present value model, Central-Eastern ("new") stock markets, "Old" European stock markets, USA

13.

The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange

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The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange

Proceedings of the 2nd Applied Financial Economics (AFE) International Conference on “Financial Economics”, Samos island, Greece, July 15-17, 2005
Number of pages: 14 Posted: 11 Sep 2014 Last Revised: 13 Nov 2014
Dimitris Kenourgios, Aristeidis Samitas and Spyros Papathanasiou
National and Kapodistrian University of Athens - Department of Economics, University of the Aegean and National and Kapodistrian University of Athens
Downloads 285 (204,446)
Citation 11

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Day of the week effect, mean stock returns, volatility, GARCH

The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange

Posted: 22 Feb 2006
Dimitris Kenourgios and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Day of the week effect, mean stock returns, volatility, GARCH

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, No. 15, pp. 78-89, 2008
Posted: 28 Jun 2007 Last Revised: 07 Jul 2008
Dimitris Kenourgios and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Day of the week effect, mean stock returns, volatility, GARCH, Athens Stock Exchange

14.

Initial Performance of Greek Ipos, Underwriter's Reputation and Oversubscription

Downloads 242 (242,204)
Citation 9

Initial Performance of Greek Ipos, Underwriter's Reputation and Oversubscription

Managerial Finance, Vol. 33, No. 5, pp. 332-343, 2007
Number of pages: 26 Posted: 23 Jan 2006
Dimitris Kenourgios, Spyros Papathanasiou and Emmanouil Rafail D. Melas
National and Kapodistrian University of Athens - Department of Economics, Hellenic Open University and London School of Economics & Political Science (LSE)
Downloads 180 (318,141)

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IPOs, underpricing, oversubscription, underwriters' prestige, Athens Stock Exchange

Initial Performance of Greek IPOs, Underwriter's Reputation and Oversubscription

Managerial Finance, 33 (5), 332-343, 2007
Number of pages: 26 Posted: 14 Nov 2014
Dimitris Kenourgios, Spyros Papathanasiou and Emmanouil Rafail D. Melas
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens and London School of Economics & Political Science (LSE)
Downloads 62 (679,013)
Citation 2

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IPOs, underpricing, oversubscription, underwriters' prestige, Athens Stock Exchange

15.

Short and Long Run Parametric Dynamics in the Balkans Stock Markets

International Journal of Business, Management and Economics, Vol. 2, No. 8, December 2006
Number of pages: 16 Posted: 22 Jun 2007
Aristeidis Samitas, Dimitris Kenourgios and Nikos Paltalidis
University of the Aegean, National and Kapodistrian University of Athens - Department of Economics and Durham University Business School
Downloads 209 (278,330)
Citation 1

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Equity Markets Integration, Portfolio diversification, Balkans region, International stock markets

16.

Bank Mergers - Takeovers and Customer Satisfaction: The Case of a Greek Commercial Bank

Journal of Finance, Economics and Trade 2018; 2(2):11-17
Number of pages: 7 Posted: 21 Jun 2018
Spyros Papathanasiou, Pavlos Mylonas and Dimitris Kenourgios
National and Kapodistrian University of Athens, Hellenic Open University - School of Social Sciences and National and Kapodistrian University of Athens - Department of Economics
Downloads 109 (475,917)

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Mergers-Takeovers; Customer Satisfaction; SERVQUAL Model; Behavioral Finance; Service Quality

17.

Terrorist Incidents and Tourism Demand: Evidence from Greece

Tourism Management Perspectives (2018), Volume 25, pp. 23-28, Forthcoming
Number of pages: 18 Posted: 14 Nov 2017
Aristeidis Samitas, Dimitrios Asteriou, Efstathios Polyzos and Dimitris Kenourgios
University of the Aegean, Hellenic Open University, Zayed University and National and Kapodistrian University of Athens - Department of Economics
Downloads 85 (561,032)
Citation 1

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Terrorism, Tourism demand, Cointegration, Error correction models

18.

Calendar Anomalies in Emerging Balkan Equity Markets

International Economics and Finance Journal, Vol. 6, No. 1, pp. 67-82, 2011
Number of pages: 16 Posted: 03 Jun 2011 Last Revised: 03 Jul 2019
Andreas G. Georgantopoulos, Dimitris Kenourgios and Anastasios Tsamis
National and Kapodistrian University of Athens, National and Kapodistrian University of Athens - Department of Economics and Panteion University of Athens
Downloads 65 (650,947)
Citation 6

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C32, G10

19.

Deconstruction of the Green Bubble during COVID-19. International Evidence

Sustainability 2022, 14, 3466. https://doi.org/10.3390/su14063466
Number of pages: 18 Posted: 22 Mar 2022
Bikramaditya Ghosh, Spyros Papathanasiou, Vandita Dar and Dimitris Kenourgios
SIBM-B, National and Kapodistrian University of Athens, Symbiosis International (Deemed University), Bengaluru and National and Kapodistrian University of Athens - Department of Economics
Downloads 41 (796,379)
Citation 2

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social bubble hypothesis; sustainable development; log periodic power law; green finance; green energy; COVID-19

20.

Diagnosis and Prediction of IIGPS’ Countries Bubble Crashes During BREXIT

Mathematics, 9, 9, 1003, https://doi.org/10.3390/math9091003
Number of pages: 16 Posted: 04 May 2021
Bikramaditya Ghosh, Spyros Papathanasiou, Nikita Ramchandani and Dimitris Kenourgios
SIBM-B, National and Kapodistrian University of Athens, Christ University and National and Kapodistrian University of Athens - Department of Economics
Downloads 24 (940,781)
Citation 1

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financial bubbles; market crashes; log-periodic power law; IIGPS’ countrie

21.

Cross-Country Linkages and Asymmetries of Sovereign Risk Pluralistic Investigation of CDS Spreads

Sustainability 2022, 14(21), 14056; https://doi.org/10.3390/su142114056.
Number of pages: 10 Posted: 06 Dec 2022
Bikramaditya Ghosh, Spyros Papathanasiou and Dimitris Kenourgios
SIBM-B, National and Kapodistrian University of Athens and National and Kapodistrian University of Athens - Department of Economics
Downloads 23 (950,694)

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credit default swap; herding; bubble; multifractal detrended fluctuation analysis

22.

Digitalization as a Driver of European Smes’ Financial Performance During Covid-19

Number of pages: 14 Posted: 15 Apr 2024
Georgios Savvakis, Dimitris Kenourgios and Panagiotis Trakadas
National and Kapodistrian University of Athens, National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of Athens
Downloads 20 (981,411)

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Digital Transformation, COVID-19, Financial Performance, SMEs

23.

The Dynamic Connectedness Between Collateralized Loan Obligations and Major Asset Classes: A TVP-VAR Approach and Portfolio Hedging Strategies for Investors

Empirical Economics https://doi.org/10.1007/s00181-024-02583-2
Posted: 23 May 2024
Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas and George Pergeris
National and Kapodistrian University of Athens, National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens and Independent

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Collateralized loan obligations;Bitcoin;Shipping;Real estate;Connectedness;Hedging ability

24.

Do ESG fund managers pump and dump the stocks in their portfolios? European evidence

Journal of Asset Management
Posted: 23 Mar 2024
Spyros Papathanasiou, Dimitris Kenourgios and Drosos Koutsokostas
National and Kapodistrian University of Athens, National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of Athens

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ESG equity mutual funds; Portfolio pumping;Turn-of-quarter effect; ESG score; COVID-19

25.

Can Treasury Inflation Protected Securities Safeguard Investors From Outward Risk Spillovers? A Portfolio Hedging Strategy Through the Prism of COVID-19

Journal of Asset Management, Forthcoming
Posted: 08 Dec 2022
Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas and George Pergeris
National and Kapodistrian University of Athens, National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens and Independent

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Alternative investments, Treasury inflation protected securities, Connectedness, Portfolio diversification, COVID-19

26.

On the Predictive Power of CAPE or Shiller’s Pe Ratio: The Case of the Greek Stock Market

Forthcoming, Operational Research (Springer)
Posted: 27 Aug 2021
Dimitris Kenourgios, Spyros Papathanasiou and Anastasia Christina Bampili
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens and Independent

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Returns forecasting, FTSE/ASE large cap index, CAPE ratio, Efficient market hypothesis

27.

The Static and Dynamic Connectedness of Environmental, Social, and Governance Investments: International Evidence

Economic Modelling, Volume 93, December 2020, Pages 112-124 Doi.org/10.1016/j.econmod.2020.08.007
Posted: 20 Aug 2020 Last Revised: 27 Aug 2020
Zaghum Umar, Dimitris Kenourgios and Spyros Papathanasiou
Zayed University - College of Business, National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of Athens

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ESG investments; connectedness; European sovereign debt crisis; COVID-19 pandemic; portfolio diversification

28.

Global Crises and Contagion: Does the Capitalization Size Matter?

Applied Economics Quarterly, Vol. 64 (2018), Iss. 1: pp. 39–57
Posted: 07 Sep 2019
Dimitris Kenourgios, Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of the Aegean

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Capitalization-specific contagion, global financial crisis, Eurozone debt crisis, dynamic conditional correlation, FIAPARCH

29.

The Capital Structure Dynamics of European Listed SMEs

Journal of Small Business & Entrepreneurship, Forthcoming
Posted: 07 Sep 2019
Dimitris Kenourgios, Georgios Savvakis and Theofanis Papageorgiou
National and Kapodistrian University of Athens - Department of Economics, Independent and National and Kapodistrian University of Athens - Department of Economics

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financial leverage, listed SMEs, firm categories, European sovereign debt crisis, dynamic panel analysis

30.

ECB’s Unconventional Monetary Policy and Cross-Financial-Market Correlation Dynamics

The North American Journal of Economics and Finance, Volume 50, November 2019
Posted: 05 Sep 2019
Dimitris Kenourgios, Emmanouela Drakonaki, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Unconventional monetary policy, Financial markets, Developed and emerging countries, Correlations, Wavelet analysis

31.

Hedging U.S. Metals & Mining Industry’s Credit Risk With Industrial and Precious Metals

Resources Policy, Vol. 63, 2019
Posted: 05 Sep 2019
Zaghum Umar, Syed Jawad Hussain Shahzad and Dimitris Kenourgios
Zayed University - College of Business, Montpellier Business School and National and Kapodistrian University of Athens - Department of Economics

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Credit risk, Metal and mining industry, Precious metals, Hedging

32.

ECB’s Unconventional Monetary Policies and the European Bank Stock Returns

International Journal of Financial Engineering and Risk Management, 2019 Vol.3 No.2, pp.180 - 199
Posted: 29 Aug 2019
Dimitris Kenourgios, Nancy Kagiana and Athanasios Katevatis
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of Athens - Faculty of Economics

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Quantitative easing, European Central Bank, ECB, stock returns, European banks.

33.

Financial Crises, Exchange Rate Linkages and Uncovered Interest-Rate Parity: Evidence from G7 Markets

Economic Modelling, Vol. 66, 112-120
Posted: 13 Sep 2017
Dimitris Kenourgios, Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Theodore Simos
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and University of Ioannina - Department of Economics

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Exchange rates, Uncovered interest-rate parity, Contagion, Financial crises, Dynamic conditional correlation

34.

On High Frequency Dynamics between Information Asymmetry and Volatility for Securities

Journal of Economic Asymmetries, 13, 2016, pp. 21-34
Posted: 27 Jan 2017
Panos Paparizos, Dimitrios I. Dimitriou, Dimitrios I. Dimitriou, Dimitris Kenourgios and Theodore Simos
University of Ioannina - Department of Economics, National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics, National and Kapodistrian University of Athens - Department of Economics and University of Ioannina - Department of Economics

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Market microstructure, VPIN, Volatility forecasting

35.

Islamic Financial Markets and Global Crises: Contagion or Decoupling?

Economic Modelling, Vol. 57, No. 36, 2016
Posted: 17 May 2016
Dimitris Kenourgios, Nader Naifar, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, University of Sfax, Tunisia and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Islamic finance, Financial contagion, Global financial crisis, Eurozone sovereign debt crisis, Dynamic conditional correlation

36.

On Emerging Stock Market Contagion: The Baltic Region

Research in International Business and Finance, Volume 36, Pages 312-321, January 2016, Forthcoming
Posted: 26 Oct 2015
Panayotis Alexakis, Dimitris Kenourgios, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
Independent, National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Emerging Baltic stock markets, Global financial crisis, Euro zone debt crisis, Asymmetric dynamic conditional correlation

37.

Intraday Exchange Rate Volatility Transmissions Across QE Announcements

Finance Research Letters, Forthcoming
Posted: 19 Jul 2015
Dimitris Kenourgios, Stephanos Papadamou, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, University of Thessaly - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Quantitative easing, Announcements, Foreign exchange, Intraday, Volatility transmission

38.

On Quantitative Easing and High Frequency Exchange Rate Dynamics

Research in International Business and Finance, Vol. 34 (2015), pp. 110-125
Posted: 08 Feb 2015
Dimitris Kenourgios, Stephanos Papadamou, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics, University of Thessaly - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Quantitative easing, Exchange rates, Intraday Volatility, Dynamic conditional correlation

39.

Contagion of the Global Financial Crisis and the Real Economy: A Regional Analysis

Economic Modelling, Forthcoming
Posted: 24 Nov 2014
Dimitris Kenourgios, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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40.

Contagion Effects of the Global Financial Crisis in US and European Real Economy Sectors

Panoeconomicus, 61(3), 2014, pp. 275-288
Posted: 25 Jul 2014
Dimitris Kenourgios, Dimitrios I. Dimitriou and Dimitrios I. Dimitriou
National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics

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Global financial crisis, Financial contagion, Real economy sectors, USA, Europe

41.

On Financial Contagion and Implied Market Volatility

International Review of Financial Analysis, Vol. 34, 2014, pp. 21-30
Posted: 25 Jul 2014
Dimitris Kenourgios
National and Kapodistrian University of Athens - Department of Economics

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Financial contagion, Volatility index, Global financial crisis, Euro crisis, Dynamic conditional correlation

42.

Testing for Asymmetric Financial Contagion: New Evidence from the Asian Crisis

The Journal of Economic Asymmetries, 10 (2013), 129–137
Posted: 06 Mar 2014
Dimitris Kenourgios, Dimitrios Asteriou and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics, Hellenic Open University and University of the Aegean

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Contagion, Stock and currency markets, Asymmetric dynamic conditional correlation, Asian financial crisis

43.

Financial Crises and Dynamic Linkages Among International Currencies

Journal of International Financial Markets, Institutions and Money, Vol. 26, October 2013, pp. 319-332
Posted: 26 Aug 2013
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Dimitris Kenourgios
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and National and Kapodistrian University of Athens - Department of Economics

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Global financial crisis, Euro crisis, Foreign exchange markets, FIAPARCH-DCC model, Volatility linkages

44.

Global Financial Crisis and Emerging Stock Market Contagion: A Multivariate FIAPARCH-DCC Approach

International Review of Financial Analysis, 30, December 2013, pp. 46-56
Posted: 15 Jun 2013 Last Revised: 26 Aug 2013
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou, Dimitris Kenourgios and Theodore Simos
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics, National and Kapodistrian University of Athens - Department of Economics and University of Ioannina - Department of Economics

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Global financial crisis, Contagion, FIAPARCH-DCC model, BRICSs’ emerging markets

45.

The PIIGS Stock Markets Before and After the 2008 Financial Crisis: A Dynamic Cointegration and Causality Analysis

International Journal of Banking, Accounting and Finance, 4(3), 2012, pp. 232-249
Posted: 23 Aug 2012 Last Revised: 15 Jun 2013
Andreas Chouliaras, Apostolos G. Christopoulos, Dimitris Kenourgios and Petros Kalantonis
affiliation not provided to SSRN, National and Kapodistrian University of Athens - Faculty of Economics, National and Kapodistrian University of Athens - Department of Economics and Technological Educational Institute (TEI) of Piraeus

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PIIGS stock markets, cointegration, Granger causality, regime switching, FM-OLS, GARCH

46.

The London 2012 Olympic Games Announcement Effect on London Stock Exchange

Journal of Economic Studies, 40(2), 2013, pp. 203-221
Posted: 14 Mar 2012 Last Revised: 15 Jun 2013
Dimitrios Asteriou, Aristeidis Samitas and Dimitris Kenourgios
Hellenic Open University, University of the Aegean and National and Kapodistrian University of Athens - Department of Economics

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The London 2012 Olympic Games, London Stock Exchange, GARCH and TARCH models, Event Study Analysis

47.

Opportunities for International Portfolio Diversification in the Balkans’ Markets

International Journal of Economics and Research, Vol. 3i1, pp. 1-12, 2012
Posted: 14 Feb 2012
Dimitrios I. Dimitriou, Dimitrios I. Dimitriou and Dimitris Kenourgios
National and Kapodistrian University of AthensUniversity of Ioannina - Department of Economics and National and Kapodistrian University of Athens - Department of Economics

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Balkan equity markets, Johansen cointegration, Granger causality

48.

Emerging Markets and Financial Crises: Regional, Global or Isolated Shocks?

Journal of Multinational Financial Management, Vol. 22, Nos. 1-2, pp. 24-38, April 2012
Posted: 09 Feb 2012 Last Revised: 14 Mar 2012
Dimitris Kenourgios and Puja Padhi
National and Kapodistrian University of Athens - Department of Economics and Indian Institute of Technology (IIT), Bombay - Department of Humanities and Social Sciences

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financial crises, contagion, emerging market economies, asymmetric dynamic conditional correlations

49.

Profitability of Technical Trading Rules in an Emerging Market

Downloads 0 (1,197,527)

Profitability of Technical Trading Rules in an Emerging Market

THE HANDBOOK OF TRADING: STRATEGIES FOR NAVIGATING AND PROFITING FROM CURRENCY, BOND, AND STOCK MARKETS, Greg N. Gregoriou, ed., McGraw-Hill, 2010
Posted: 03 Jun 2011
Dimitris Kenourgios and Spyros Papathanasiou
National and Kapodistrian University of Athens - Department of Economics and Hellenic Open University

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Technical trading rules, Efficient Market Hypothesis, Bootstrap, Athens Stock Exchange

Profitability of Technical Trading Rules in an Emerging Market

The Handbook of Trading: Strategies for Navigating and Profiting from Currency, Bond, and Stock Markets, McGraw-Hill, NYC, NY, chapter 7, Editor: Greg Gregoriou pp 98-111. 2010
Posted: 12 Sep 2014
Dimitris Kenourgios and Spyros Papathanasiou
National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of Athens

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50.

The Corporate Governance Framework & its Application to Privatizations of Public Enterprises

Computation in Modern Science and Engineering, Proceedings of the International Conference on Computational Methods in Science and Engineering 2007, Vol. 2, pp. 1082-1085, 2007
Posted: 03 Jun 2011
Dimitris Kenourgios, Aristeidis Samitas and Nick Konstantopoulos
National and Kapodistrian University of Athens - Department of Economics, University of the Aegean and University of the Aegean

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Corporate Governance, Public Enterprises, Privatization

51.

Modeling Macroeconomic Effects in Central Eastern Economies Stock Returns

Advances in Financial Forecasting, Lecture Series on Computer and Computational Sciences, Vol. 4, pp. 1345-1348, 2005
Posted: 03 Jun 2011
Aristeidis Samitas and Dimitris Kenourgios
University of the Aegean and National and Kapodistrian University of Athens - Department of Economics

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Stock returns, macroeconomic policy, present value model, Central-Eastern stock markets

52.

Evaluating Currency Crises: A Multivariate Markov Regime Switching Approach

The Manchester School, Forthcoming
Posted: 21 Oct 2010 Last Revised: 09 Feb 2011
Kostas Mouratidis, Dimitris Kenourgios, Aristeidis Samitas and Dimitrios Vougas
The Sheffield University - Department of Economics, National and Kapodistrian University of Athens - Department of Economics, University of the Aegean and Swansea University - Department of Economics

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Currency crises, Sunspots, Multivariate Markov Switching, Evaluating forecasts

53.

Maturity Effect on Stock Index Futures in an Emerging Market

Applied Economics Letters, 18:11 (2011), pp. 1029-1033.
Posted: 17 Oct 2010 Last Revised: 27 Nov 2013
Dimitris Kenourgios and Athanasios Katevatis
National and Kapodistrian University of Athens - Department of Economics and National and Kapodistrian University of Athens - Faculty of Economics

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Maturity Effect, Volatility Dynamics, Athens Derivatives Exchange, GARCH Models

54.

Financial Crises and Stock Market Contagion in a Multivariate Time-Varying Asymmetric Framework

Journal of International Financial Markets, Institutions and Money, Vol. 21, No.1, pp. 92-106, February 2011
Posted: 17 Oct 2010 Last Revised: 09 Feb 2011
Dimitris Kenourgios, Aristeidis Samitas and Nikos Paltalidis
National and Kapodistrian University of Athens - Department of Economics, University of the Aegean and Durham University Business School

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Financial Crises, Contagion, Multivariate Regime-Switching Copula, AG-DCC Model

55.

Corporate Events’ Effect on Stock Returns: Evidence from Athens Stock Exchange

International Research Journal of Applied Finance, Vol. II, No. 6, June 2011
Posted: 23 Jan 2010 Last Revised: 04 Jun 2011
Aristeidis Samitas, Dimitris Kenourgios and Ioannis Tsakalos
University of the Aegean, National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Corporate governance, Cumulative abnormal returns; Athens Stock Exchange, Event study analysis, Bootstrap methodology

56.

Overreaction Hypothesis in Emerging Balkan Stock Markets

Emerging Markets: Performance, Analysis and Innovations, G. N. Gregoriou (ed.), Chapman Hall/Taylor and Francis London, UK, pp. 185-201, 2009
Posted: 01 Oct 2009
Dimitris Kenourgios and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Balkan stock markets, asymmetric mean reversion, overreaction, momentum strategy

57.

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, Vol. 6, No. 2, pp. 163-182, 2006
Posted: 17 Jan 2009
Dimitris Kenourgios, Aristeidis Samitas and Andreas Christodoulou
National and Kapodistrian University of Athens - Department of Economics, University of the Aegean and affiliation not provided to SSRN

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Market efficiency, cointegration analysis, spot and forward exchange rates

58.

Financial Development and Economic Growth in a Transition Economy: Evidence for Poland

Journal of Financial Decision Making, Vol. 3, No. 1, pp. 35-48, 2007
Posted: 16 Jan 2009
Dimitris Kenourgios and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Financial development, Economic growth, Transition economies, Cointegration, Poland

59.

Modelling Return and Volatility in Emerging Stock Markets: A Markov Switching Approach

International Journal of Economic Research, Vol. 6, No. 1, pp. 61-72, 2009
Posted: 15 Jan 2009
Dimitris Kenourgios and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Markov switching, Volatility regimes, Equity market integration, Balkan stock markets

60.

The Impact of Mergers and Acquisitions on World Energy Enterprises' Stock Returns

International Journal of Business Research, Vol. 8, No. 1, pp. 191-201, 2008
Posted: 04 Jul 2008 Last Revised: 25 Nov 2012
Aristeidis Samitas, Dimitris Kenourgios and Ioannis Tsakalos
University of the Aegean, National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Mergers and Acquisitions, World Energy Market, Event Study Analysis

61.

Equity Market Integration in Emerging Balkan Markets

Research in International Business and Finance, Vol. 25, No. 3, pp. 296-307, September 2011
Posted: 15 May 2008 Last Revised: 03 Apr 2011
Dimitris Kenourgios and Aristeidis Samitas
National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Emerging Balkan stock markets, Cointegration, Regime switching, Dynamic conditional correlations

62.

Athens' Olympic Games 2004 Impact on Sponsors' Stock Returns

Applied Financial Economics, Vol. 18, No. 19, pp.1569-1580, 2008
Posted: 13 May 2008 Last Revised: 27 Oct 2008
Aristeidis Samitas, Dimitris Kenourgios and Peter Zounis
University of the Aegean, National and Kapodistrian University of Athens - Department of Economics and Panteion University of Athens - Panteion University of Political and Social Sciences

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Athens Olympic Games 2004, sponsoring firms, event study analysis, bootstrap methodology

63.

Financial Market Dynamics in an Enlarged European Union

Journal of Economic Integration, Vol. 24, pp. 197-221, June 2009
Posted: 06 Sep 2007 Last Revised: 31 May 2009
Dimitris Kenourgios, Aristeidis Samitas and Nikos Paltalidis
National and Kapodistrian University of Athens - Department of Economics, University of the Aegean and Durham University Business School

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European financial markets, Time-varying financial dependence, Structural breaks, Dynamic conditional correlations

64.

Financing Tourist Development Through Stock Capital: Evidence from the Greek Hotel Sector

Tourism Economics, Vol. 12, No. 1, pp. 87-100, March 2006
Posted: 08 Feb 2006
Aristeidis Samitas and Dimitris Kenourgios
University of the Aegean and National and Kapodistrian University of Athens - Department of Economics

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Tourism, Financial results, Event study analysis

65.

The Small Business Capital Market Behavior in Athens Stock Exchange

Small Business Economics, Vol. 27, Nos. 4-5, pp. 409-417, December 2006
Posted: 26 Jan 2006
Aristeidis Samitas, Dimitris Kenourgios and Nick Konstantopoulos
University of the Aegean, National and Kapodistrian University of Athens - Department of Economics and University of the Aegean

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Small business capital markets, entrepreneurship, cointegration, causality

66.

Central Banking and Commercial Inflation Forecasting: Some New Evidence for the U.S.A.

Economia Internazionale, Vol. 57, No. 4, pp. 475-493, November 2004
Posted: 12 Jan 2006
Dimitris Kenourgios and Nikolaos Pavlidis
National and Kapodistrian University of Athens - Department of Economics and Brunel University - Department of Economics and Finance

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Banking supervision, Federal Reserve Bank, Monetary policy, Inflation forecasts, Information asymmetry.