Aristeidis Samitas

University of the Aegean

8 Michalon str.

Chios

Greece

SCHOLARLY PAPERS

43

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6

CROSSREF CITATIONS

22

Scholarly Papers (43)

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 1,458 (12,264)

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

2.

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 665 (38,509)

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

3.

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 639 (40,655)

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

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 Business School
Downloads 626 (41,914)

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

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 305 (99,153)

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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

6.

Liquidity, Volume and Dividend Yields in Stock Return Data: Evidence from London Stock Exchange

International Journal of Financial Economics and Econometrics, Vol. 1, No. 2, pp. 79-88
Number of pages: 18 Posted: 06 Mar 2011 Last Revised: 07 Mar 2011
Chrysovalantis Vasilakis and Aristeidis Samitas
Bangor Business School and University of the Aegean
Downloads 269 (114,028)

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GJR-GARCH Models, Liquidity, Volume, Dividend Yields, Earnings, Excess Returns

7.

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 250 (123,063)

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

8.

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 Business School
Downloads 176 (171,723)

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

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 160 (186,683)
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

10.

Freeing Greece from Capital Controls: Were the Restrictions Enforced in Time?

Research in International Business and Finance, Volume 37 (pp. 196-213)
Number of pages: 32 Posted: 25 Nov 2015 Last Revised: 20 Feb 2016
Aristeidis Samitas and Stathis Polyzos
University of the Aegean and Zayed University
Downloads 102 (263,376)

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Capital controls, Greece, VBanking, banking regulation

11.

To Basel or Not to Basel? Banking Crises and Contagion

Published in Journal of Financial Regulation and Compliance, Volume 23, Issue 3, pp. 298 – 318, 2015
Number of pages: 25 Posted: 11 Dec 2014 Last Revised: 30 Jun 2015
Aristeidis Samitas and Stathis Polyzos
University of the Aegean and Zayed University
Downloads 61 (356,193)

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Basel III, contagion, banking crises, VBanking

12.

Profits from Technical Trading Rules: The Case of Cyprus Stock Exchange

Journal of Money, Investment and Banking, Issue 13, pp 35-43 (2010)
Number of pages: 15 Posted: 11 Sep 2014
Spyros Papathanasiou and Aristeidis Samitas
National and Kapodistrian University of Athens and University of the Aegean
Downloads 55 (374,677)

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EGARCH, moving averages, bootstrap, Eurozone

13.

Information Asymmetry and Relationship Roadshows

Number of pages: 29 Posted: 22 Sep 2013
Nick Demos, Claire Marston and Aristeidis Samitas
University of Athens, Heriot-Watt University and University of the Aegean
Downloads 52 (384,300)
Citation 1

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Information Symmetry, Discretionary disclosure, Relationship roadshows, Visibility

14.

Brexit and Financial Stability: An Agent-Based Simulation

Economic Modelling, Vol. 69, 2018
Number of pages: 35 Posted: 13 Feb 2018
Aristeidis Samitas, Stathis Polyzos and Costas Siriopoulos
University of the Aegean, Zayed University and Zayed University, College of Business
Downloads 42 (419,600)
Citation 2

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Brexit, Banking crises, Agent-based finance, Financial stability

15.

Banking Crises & Contagion: Why Worry About Taxation, Output and the Cost of Capital?

Published in Investment Management and Financial Innovations, Volume 12, Issue 2, 2015
Number of pages: 33 Posted: 11 Dec 2014 Last Revised: 25 Jun 2015
Stathis Polyzos and Aristeidis Samitas
Zayed University and University of the Aegean
Downloads 29 (475,562)
Citation 1

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Contagion, banking crises, VBanking, economic simulations

16.

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
University of the Aegean, Hellenic Open University, Zayed University and National and Kapodistrian University of Athens - Department of Economics
Downloads 19 (531,655)

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Terrorism, Tourism demand, Cointegration, Error correction models

Evaluating Currency Crises: A Multivariate Markov Regime Switching Approach

The Manchester School, Forthcoming
Posted: 21 Oct 2010 Last Revised: 09 Feb 2011
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

18.

Global Crises and Contagion: Does the Capitalization Size Matter?

Applied Economics Quarterly, Vol. 64 (2018), Iss. 1: pp. 39–57
Posted: 07 Sep 2019
National and Kapodistrian University of Athens - Department of Economics, National and Kapodistrian University of Athens and University of the Aegean

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

19.

Empirical Investigation of Co-Authorship in the Field of Finance: A Network Perspective

International Review of Financial Analysis, Forthcoming
Posted: 26 Feb 2018
Aristeidis Samitas and Elias Kampouris
University of the Aegean and University of the Aegean

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Mathematical finance, Network analysis, Authors' collaboration, Structure of academic networks

20.

Empirical Analysis of Market Reactions to the UK's Referendum Results – How Strong Will Brexit Be?

Journal of International Financial Markets, Institutions and Money, Forthcoming
Posted: 26 Feb 2018
Aristeidis Samitas and Elias Kampouris
University of the Aegean and University of the Aegean

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Brexit, Contagion, Dependence dynamics, Copula, Regime-switching

21.

Corporate Social Responsibility Reporting in Financial Institutions: Evidence from Euronext

Research in International Business and Finance, Vol. 32, 2014
Posted: 14 Nov 2016
Andreas Andrikopoulos, Aristeidis Samitas and Michalis Bekiaris
University of the Aegean - Department of Business Administration, University of the Aegean and University of the Aegean

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Corporate social responsibility, Web reporting, Disclosure, Euronext, Financial institutions

22.

Four Decades of the Journal of Econometrics. Coauthorship Patterns and Networks

Journal of Econometrics, Vol. 195, No. 1, 2016
Posted: 14 Nov 2016
University of the Aegean - Department of Business Administration, University of the Aegean and University of the Aegean - Department of Business Administration

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Journal of Econometrics, Coauthorship, Social networks

23.

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

24.

The Cross Section of Online Accounting Disclosure: The Case of Cyprus

International Journal of Electronic Finance, Vol. 3, No. 3, pp. 297-310, 2009
Posted: 07 Feb 2014 Last Revised: 17 Apr 2014
Andreas Andrikopoulos, Nikolaos Diakidis and Aristeidis Samitas
University of the Aegean - Department of Business Administration, affiliation not provided to SSRN and University of the Aegean

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accounting disclosure, Cyprus

25.

Does the Financial Crisis Influence the Month and the Trading Month Effects? Evidence from the Athens Stock Exchange

Studies in Economics and Finance, Vol. 32 Iss: 2, pp.181-203 (2015)
Posted: 27 Oct 2013 Last Revised: 13 Aug 2015
Evangelos Vasileiou and Aristeidis Samitas
University of the Aegean - Business Administration and University of the Aegean

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Month of the year effect; Trading month effect; Logit/Probit; Garch family models; Athens Stock Exchange

26.

How Can a Small Country Affect the European Economy? The Greek Contagion Phenomenon

Journal of International Financial Markets, Institutions and Money, Vol. 25, pp. 18-32, 2013.
Posted: 13 Oct 2012 Last Revised: 28 Mar 2013
Aristeidis Samitas and Ioannis Tsakalos
University of the Aegean and University of the Aegean

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Greek Crisis, Eurozone, Financial Contagion, Copula, A-DCC Model

27.

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

28.

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

29.

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

30.

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 Business School

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

31.

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

32.

Hedging Effectiveness in Shipping Industry During Financial Crises

International Journal of Financial Markets and Derivatives, Vol. 1, No.2, pp. 196-212, 2010
Posted: 22 Jan 2010 Last Revised: 28 Mar 2013
Aristeidis Samitas and Ioannis Tsakalos
University of the Aegean and University of the Aegean

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Hedging effectiveness, Financial Crisis, Risk Management, Bunker Derivatives, Freight Forward Agreements, Vessel Value Derivatives, Shipping

33.

Hedging Effectiveness in Energy Market during Economic Crisis: Better Way to Integration

Journal of Economic Integration, Vol. 26(3), pp.463-476, 2011
Posted: 21 Jan 2010 Last Revised: 07 Nov 2014
Aristeidis Samitas, Ioannis Tsakalos and Nikolaos Eriotis
University of the Aegean, University of the Aegean and National and Kapodistrian University of Athens

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Energy, Tobin’s Q, Hedging Effectiveness, Financial Crisis

34.

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

35.

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

36.

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

37.

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

38.

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

39.

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

40.

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

41.

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 Business School

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

42.

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

43.

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