Publications
2024
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“Machine learning in bank merger prediction: A text-based approach” (2024) European Journal of Operational Research 312(2), 783-797 (A.G Κatsafados, G.N. Leledakis, E.G. Pyrgiotakis, I. Androutsopoulos, and M. Fergadiotis) https://doi.org/10.1016/j.ejor.2023.07.039
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2023
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“Twitter Sentiment and Stock Market: A COVID-19 Analysis” (2023) Journal of Economic Studies Forthcoming (A.G. Κatsafados, S. Nikoloutsopoulos, and G.N. Leledakis) https://doi.org/10.1108/JES-09-2022-0486
“Textual Information and IPO Underpricing: A Machine Learning Approach” (2023) Journal of Financial Data Science 5(2), 100-135 (A.G. Κatsafados, G.N. Leledakis, E.G. Pyrgiotakis, I. Androutsopoulos, I. Chalkidis, and M. Fergadiotis) https://doi.org/10.3905/jfds.2023.1.121
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"EU regulation and open market share repurchases: New evidence" European Journal of Finance 29(9), 1022-1042. (A. Drousia, A. Episcopos, G.N. Leledakis, E.G. Pyrgiotakis) https://doi.org/10.1080/1351847X.2021.1910529
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"Augmenting the realized GARCH: The role of signed jumps, attenuation-biases and long-memory effects” (2023) Studies in Nonlinear Dynamics and Econometrics 27, 171-198 (I. Papantonis, L. Rompolis, E. Tzavalis, O. Agapitos) https://doi.org/10.1515/snde-2020-0131
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"Improving realized variance forecasts: The role of realized variance features” (2023) International Journal of Forecasting 39, 1221-1237 (I. Papantonis, L. Rompolis, E Tzavalis) https://doi.org/10.1016/j.ijforecast.2022.05.006
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2022
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“U.S. bank M&As in the post-Dodd-Frank Act era: Do they create value?” (2022) Journal of Banking and Finance 135, Article 105576 (G.N. Leledakis, and E.G. Pyrgiotakis) https://doi.org/10.1016/j.jbankfin.2019.06.008
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"To be or not to be in the EU: the international economic effects of Brexit uncertainty" (2022) The European Journal of Finance (Panagiota Makrychoriti & Spyros Spyrou) https://doi.org/10.1080/1351847X.2022.2104127
"What matters for consumer sentiment in the euro area? World crude oil price or retail gasoline price?" (2022) Energy Economics 105 105743 (Sofronis Clerides, Styliani-Iris Krokida, Neophytos Lambertides, Dimitris Tsouknidis) https://doi.org/10.1016/j.eneco.2021.105743
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"Multinomial logit as an early warning model for predicting banking crises" (2022) Applied Economics Letters (C. Filippopoulou) https://doi.org/10.1080/13504851.2022.2151973
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"The effect Tone in European Central Bank communication during financial crises: The case of Greece" (2022) Book Chapter in Scientific Volume in Memory of C. Tsoumas, Hellenic Open University (Stylia-Iris Krokida, Spyros Spyrou)
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"The impact of monetary policy on income inequality: evidence from Eurozone markets" (2022) Journal of Economic Studies
49, 522-540 (Konstantina Liosi and Spyros Spyrou) https://doi.org/10.1108/JES-07-2020-0328
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“Option-implied moments and the cross-section of stock returns” (2022) Journal of Futures Markets 42, 668-691 (L. Alexiou, L. Rompolis) https://doi.org/10.1002/fut.22304
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"Valuation of European firms during the Russia-Ukraine war" (2022) Economics Letters 218 (September) 110750 (A. Bougias, A. Episcopos, G.N. Leledakis) https://doi.org/10.1016/j.econlet.2022.110750
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"The role of asset payouts in the estimation of default barriers" (2022) International Review of Financial Analysis 81 102091(A. Bougias, A. Episcopos, G.N. Leledakis) https://doi.org/10.1016/j.irfa.2022.102091
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2021
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“Recovering the market risk premium from higher-order moment risks” (2021) European Financial Management 27, 147-186 (G. Chalamandaris, L. Rompolis) https://doi.org/10.1111/eufm.12287
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“Does it pay to acquire private firms? Evidence from the U.S. banking industry” (2021) The European Journal of Finance 27(10), 1029-1051 (G.N Leledakis, E.C. Mamatzakis, E.G. Pyrgiotakis, and N.G. Travlos) https://doi.org/10.1080/1351847X.2020.1799835
“Using textual analysis to identify merger participants: Evidence from the U.S. banking industry” (2021) Finance Research Letters 42, Article 101949. (A.G. Κatsafados, I. Androutsopoulos, I. Chalkidis, E. Fergadiotis, G.N. Leledakis, and E.G. Pyrgiotakis) https://doi.org/10.1016/j.frl.2021.101949
“Intraday analysis of the limit order bias on the ex-dividend day of U.S. common stocks” (2021) International Review of Economics and Finance 72, 405-421 (V.A. Efthymiou, A. Episcopos, G.N. Leledakis, and E.G. Pyrgiotakis) https://doi.org/10.1016/j.iref.2020.11.017
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2020
“Monetary Policy and Herd Behavior: International Evidence” (2020) Journal of Economic Behavior and Organization 170, 386–417 (S. Krokida, P. Makryxwriti, S. Spyrou) https://doi.org/10.1016/j.jebo.2019.12.018
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"An Early Warning System for Predicting Systemic Banking Crises in the Eurozone: A Logit Regression Approach” (2020) Journal of Economic Behavior and Organization 172, 344–363 (C. Filippopoulou, E. Galariotis, S. Spyrou) https://doi.org/10.1016/j.jebo.2019.12.023
“Valuation Ratio Style Investing and Economic Sentiment: Evidence from Major Eurozone Markets” (2020) Review of Quantitative Finance and Accounting 55, 827–856 (S. Spyrou) https://doi.org/10.1007/s11156-019-00861-0
"Momentum Return Volatility, Uncertainty, and Energy Prices: Evidence from Major International Equity Market” (2020) Review of Behavioral Finance 12, 411-433 (S. Spyrou) 10.1108/RBF-09-2019-0133
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"The effects of geopolitical risk and economic policy uncertainty on dry bulk shipping freight rates" (2020) Applied Economics 53, 2218-2229 (W. Drobetz, K. Gavriilidis, S-I Krokida, D. Tsouknidis) DOI: 10.1080/00036846.2020.1857329
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2019
"Market reaction to actual daily share repurchases in Greece" (2019) The Quarterly Review of Economics and Finance 74, 267-277 (A. Drousia, A. Episcopos, G.N. Leledakis) https://doi.org/10.1016/j.qref.2019.01.007
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"Put-call parity violations and return predictability: Evidence from the 2008 short sale ban" (2019) Journal of Banking and Finance 106, 276-297 (G. Nishiotis, L. Rompolis) https://doi.org/10.1016/j.jbankfin.2019.07.008
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“Could Market Making be Profitable in The European Carbon Market?” Energy Journal 40, 5-28 (2019) (Galariotis, E, Kalaitzoglou, I., Kosmidou, K., Papaefthimiou, S., Spyrou, S) 10.5547/01956574.40.SI1.egal
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2018 ​
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“The Impact of Conventional and Unconventional Monetary Policy on Expectations and Sentiment” (2018) Journal of Banking and Finance, 86, 1–20 (E. Galariotis, P. Makryxwriti, S. Spyrou) https://doi.org/10.1016/j.jbankfin.2017.08.014
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2017
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“Contagion, Volatility Persistence, and Volatility Spill-Overs: The Case of Energy Markets during the European Financial Crisis”, (2017) Energy Economics, 66, 217-227, (K. Andriotsopoulos, E. Galariotis, S. Spyrou) https://doi.org/10.1016/j.eneco.2017.06.023
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"Bank-sovereign contagion in the Eurozone: A panel VAR approach", (2017) Journal of International Financial Markets, Institutions and Money, 48, 146-159 (D. Georgoutsos, G. Moratis) https://doi.org/10.1016/j.intfin.2017.01.004
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“Retrieving risk neutral moments and expected quadratic variation from option prices” (2017) Review of Quantitative Finance and Accounting, 48, 955-1002 (L. Rompolis, Elias Tzavalis) https://doi.org/10.1007/s11156-016-0575-z
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“Pricing and hedging contingent claims using variance and higher-order moment swaps” (2017) Quantitative Finance, 17, 531-550 (L. Rompolis and E. Tzavalis) https://doi.org/10.1080/14697688.2016.1224373
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2016
“Herd behavior and equity market liquidity: Evidence from major markets” (2016) International Review of Financial Analysis, 48, 140-149 (S. Krokida, E. Galariotis, S. Spyrou) https://doi.org/10.1016/j.irfa.2016.09.013
“Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach” (2016) Journal of Financial Stability, 26, 62-77, (E. Galariotis, P. Makryxwriti, S. Spyrou) https://doi.org/10.1016/j.jfs.2016.08.005
“Bond market investor herding: Evidence from the European financial crisis” (2016) International Review of Financial Analysis, 367-375 (E. Galariotis, S. Krokida, S. Spyrou) https://doi.org/10.1016/j.irfa.2015.01.001
“Risk-free rates and variance futures prices” (2016) Journal of Futures Markets, 36 , 943-967 (L. Rompolis) https://doi.org/10.1002/fut.21767
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2015
“Herding on fundamental information: A comparative study” (2015) Journal of Banking and Finance 50, 589-598 (E. Galariotis, W. Rong,S. Spyrou ) https://doi.org/10.1016/j.jbankfin.2014.03.014
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"Macroeconomic effects on emerging markets sovereign credit spreads", (2015) Journal of Financial Stability, 20, 20-38, (E. Clark. K. Kassimatis) https://doi.org/10.1016/j.jfs.2015.06.002
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​2014
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"Exploiting stochastic dominance to generate abnormal stock returns", (2014) Journal of Financial Markets, 20-38 (E. Clark. K. Kassimatis) https://doi.org/10.1016/j.finmar.2014.05.002
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"The Price Impact of the Disposition Effect on the Ex-Dividend Day of NYSE and AMEX Common Stocks", Quantitative Finance 14, 711-724 (Efthymiou, V. Leledakis, G) https://doi.org/10.1080/14697688.2014.891759
2013
​"Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?", (2013) Journal of Banking and Finance, 37, 4650-4664 (D. Georgoutsos, P. Migiakis) https://doi.org/10.1016/j.jbankfin.2013.07.025
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"Herding in Financial Markets: A Review of the Literature", (2013) Review of Behavioral Finance, 5, 175-194 (S. Spyrou) 10.1108/RBF-02-2013-0009