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Vasilios I. Sogiakas

University of Glasgow

Lecturer

Glasgow

United Kingdom

http://www.gla.ac.uk/departments/economics/ourstaff/drvasiliossogiakas/

  • University of Glasgow

SCHOLARLY PAPERS

9

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Scholarly Papers (9)

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1.

Stock Index Futures Trading and Spot Market Volatility

Number of pages: 21 Posted: 24 Mar 2006
George Karathanassis and Vasilios I. Sogiakas
Athens University of Economics and Business - Department of Business Administration and University of Glasgow
Downloads 885 (19,494)

Abstract:

Index Futures Contracts, AP-GARCH-M, SWARCH-L

2.

Informational Efficiency and Spurious Spillover Effects between Spot and Derivatives Markets

Number of pages: 37 Posted: 17 Jul 2009 Last Revised: 03 Dec 2014
Vasilios I. Sogiakas and George Karathanassis
University of Glasgow and Athens University of Economics and Business - Department of Business Administration
Downloads 76 (251,490)

Abstract:

Spurious Spillover Effects, Markov Switching

3.

Can Stock Liquidity be Transferred and Upgraded in Acquisitions? Option-Adjusted Evidence from Liquidity Synergies in US Freeze-Outs

Number of pages: 45 Posted: 18 Apr 2016 Last Revised: 07 Oct 2016
Konstantinos Konstantaras and Vasilios I. Sogiakas
Heriot-Watt University - School of Management and Languages and University of Glasgow
Downloads 0 (446,833)

Abstract:

liquidity; going private; squeeze out; freeze out

4.

Volatility Co-Movements and Spillover Effects within the Eurozone Economies: A Multivariate GARCH Approach Using the Financial Stress Index

Posted: 18 Jan 2015
Andreas Tsopanakis, Ronald MacDonald and Vasilios I. Sogiakas
Cardiff University - Cardiff Business School, University of Glasgow - Adam Smith Business School and University of Glasgow

Abstract:

Financial Stress Index, Financial Crisis, Spillover Effects, Systemic Risk, GARGH-BEKK model

5.

An Investigation of Systemic Stress and Interdependencies within the Eurozone and Euro Area Countries

Economic Modelling, Vol. 48, 2015
Number of pages: 19 Posted: 04 Dec 2014 Last Revised: 14 May 2016
Ronald MacDonald, Vasilios I. Sogiakas and Andreas Tsopanakis
University of Glasgow - Adam Smith Business School, University of Glasgow and Cardiff University - Cardiff Business School
Downloads 0 (513,967)

Abstract:

Financial Crisis, Systemic Risk, Financial Stress Index, VAR

6.

Diversification Intensive of Risk Premia

Posted: 10 Mar 2014 Last Revised: 22 Jun 2015
Vasilios I. Sogiakas, Konstantinos Konstantaras and Evangelos Vagenas-Nanos
University of Glasgow, Heriot-Watt University - School of Management and Languages and University of Glasgow

Abstract:

diversification risk premium, multifactor model, risk factors

7.

Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Regime Shift Approach

Review of Quantitative Finance and Accounting, Vol. 34, No. 1, 2010
Posted: 04 Apr 2010 Last Revised: 07 Apr 2010
George Karathanassis and Vasilios I. Sogiakas
Athens University of Economics and Business - Department of Business Administration and University of Glasgow

Abstract:

Stock Index Futures Contract, Structural Break, Regime Shift, APARCH, Rolling Sample, SWARCH-L

8.

The EMU Integration Structure and the Spillover Dynamics Towards the IAS Harmonization

Journal of Economic Integration, Vol. 26, No. 03, 2011
Posted: 13 Sep 2009 Last Revised: 05 Dec 2014
George Karathanassis, Vasilios I. Sogiakas and Stella N. Spilioti
Athens University of Economics and Business - Department of Business Administration, University of Glasgow and University of Piraeus - Department of Economics

Abstract:

Cointegration, Spillover Effects, Regime Shift

9.

Derivative Listing Strategy: The Case of the Athens Exchange

Journal of Financial Regulation and Compliance, 2012, vol. 20, No. 3, pp. 307-321.
Posted: 22 Sep 2008 Last Revised: 06 Dec 2014
George Karathanassis, Kanellos Toudas and Vasilios I. Sogiakas
Athens University of Economics and Business - Department of Business Administration, National and Kapodistrian University of Athens and University of Glasgow

Abstract:

Derivatives Listing, Corporate Governance, Default Probability, EMH

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