Christos Floros

• PhD MSc MA BSc
• Professor at Hellenic Mediterranean University

In contemporary times, energy sustainability and security have become essential economic concerns globally. Nonetheless, in addition to these concerns, inadequate governance inside a corporation within the energy industry may result in corruption and energy instability within the sector. The primary purpose of this study was to examine the influenc...

Most of indexes regarding Credit Rating of the national debt bonds are associated to Gross National Product, which involves the well-known Keynesian Multiplicator of the IS-LM Equilibrium. Specifically, a common way of Sovereign Debt evaluation is its percentage of the Gross National Product in terms of a spot value. Another index is the spot value...

This paper aims to address the following research questions: How do European banking stocks react to the ECB΄s expansionary policies? Additionally, which types of expansionary measures (conventional vs. unconventional) exert the most significant influence on bank stock performance?

The COVID-19 pandemic necessitated the production of mathematical models that could explain and thoroughly study various aspects and features of the pandemic. In this work, we utilize mathematical modeling to model COVID-19 spread, also reflecting changes in growth rates over time. Empirically, we use data from January 2020 to May 2022, and accordi...

We introduce a simple, explicit formula for pricing the arithmetic Asian options. The pricing formula is as simple as the classical Black-Scholes formula.

This paper assesses the association of ESG scores with stock returns and highlights the moderating role of the COVID-19 pandemic and the country’s governance. The study uses panel data regression models to assess the relationship between ESG factors and stock returns, focusing on the moderating role of country governance and the COVID-19 pandemic....

This research investigates the influence of boardroom tenure and financial expertise on US bank performance in a nonlinear dynamic framework. To this aim, we utilize a sample of 305 banks during the 2010–2021 period, and we implement three empirical methodologies: GMM analysis, threshold technique, and quantile approach. Our findings reveal that th...

In this paper, we establish a stochastic integral, relying on the order-complete vector lattices' properties. This stochastic integral is alike to the Riemann integral on bounded real-valued functions. This integral's properties provide stochastic integration of stochastic processes beyond integral, with respect to some Brownian Motion. The Arrheni...

The severity of the financial crisis marked a turning point in monetary policy, as traditional measures approached the effective lower bound, the ECB was forced to resort only to non-regular measures to support bank lending and revive economic activity. This study provides evidence of the effectiveness of the ECB's non-traditional measures in boost...

The COVID-19 pandemic necessitated the production of mathematical models that were able to explain and thoroughly study various aspects and features of the pandemic. In this work, we provide a well-stated mathematical model to explain and simulate the evolution of the COVID-19 pandemic. To test our model’s performance and validity, we utilize actua...

The aim of this paper is to show how the existence of equilibrium in CAPM may be obtained when individuals/investors are risk friendly. This assumption is closer to the real world, since risk aversion is rare and the portfolios implying a greater payoff are the ones which increase the variance of the payoff itself. Specifically, we assume that the...

This paper examines the time-varying nature of various decisive factors on cash holding decisions. First, we revisit the issue of cash holding determinants of U.S. corporations and argue that firm cash holding predictability is time-varying. To this end, this research proposes a novel empirical framework that builds on the impact of business cycles...

This paper assesses the association of ESG scores with stock returns and highlights the moderating role of the COVID-19 pandemic and the country's governance. The study uses panel data regressions to analyze how ESG performance influences plain, absolute, and risk-adjusted returns in a sample of European and selected non-European countries. Thes...

This paper examines the market reaction to the European bank stress test announcement and results release events. Using event study methodology (calculating abnormal returns on a three-day period around the event dates), we find that the market reacts differently between the announcement event and the results release event. We also show that the ma...

We examine the international impact of recent financial crises on contagion dynamics within international equity portfolios. First, we highlight the importance of macroeconomics for portfolio weighting for each region, and then we examine contagion via a structural regime-switching model and a contagion test. We also examine sources of contagion us...

This research conducted a thorough investigation of Bitcoin volatility patterns using three interrelated methodologies: R/S investigation, simple moving average (SMA), and the relative strength index (RSI). The paper jointly employes the above techniques on volatility range-based estimators to effectively capture the unpredictable volatility patter...

This paper provides a computationally efficient and novel four-step methodological approach for predicting volatility estimators derived from bitcoin prices. In the first step, open, high, low, and close bitcoin prices are transformed into volatility estimators using Brownian motion assumptions and logarithmic transformations. The second step deter...

We here analyze the factor loadings given by the CAPM, the Fama–French three (FF3), and the five-factor model (FF5), and test the performance and the validity of adding two more factors (volatility and dispersion of returns) to the FF5 factor model of European index-based ESG leaders’ portfolios. Our ESG leaders’ portfolios generated significant ne...

The aim of this paper is to show how the existence of Equilibrium in CAPM may be obtained when individuals/investors are risk friendly. This assumption is closer to the real world, since risk aversion is rare and the portfolios implying a greater payoff are the ones which increase the variance of the pay-off itself. Specifically, we assume that the...

This paper provides new insights into the efficiency of European firms using accounting and financial ratios. In particular, we discuss how the data envelopment analysis (DEA) method can be used with accounting and financial data to highlight the importance of firm profitability as a counterbalance to crisis-induced weakness in demand. We consider...

The COVID-19 pandemic necessitated the production of mathematical models that were able to explain and thoroughly study various aspects and features of the pandemic. In this work, we provide a well-stated mathematical model to explain and simulate the evolution of the COVID-19 pandemic. To test our models performance and validity , we utilize actua...

In the present paper, we do provide more specific results on stochastic integration and stochastic differential equations on \(L^{p}\) -spaces. We also may obtain the existence and uniqueness of strong solutions to these stochastic differential equations. These results are actually extensions of equivalent results on Brownian stochastic differentia...

In this study, we analyze the volatility of volatility indices and estimate the Hurst parameter using data from five international markets. For our analysis, we consider daily data from VIX (CBOE), VXN (CBOE Nasdaq 100), VXD (DJIA), VHSI (HSI), and KSVKOSPI (KOSPI). The period of analysis is from January 2001 to December 2021 and incorporates vario...

This paper’s content is devoted to the study of the monetary utility functions and their use in optimal portfolio choice and optimal risk allocation. In most of the relative papers, the domain of a monetary utility function is a dual space. This approach implies that closed and convex sets are weak-star compact. The main contribution of the present...

This paper tests how financial performance indicators and combined ESG score for large-cap stocks impact on stock return. In particular, we examine how market capitalization, price to book value, Sharpe ratio and ESG score of large-cap firms in Europe are related to their stock performance. We consider a panel data consisting of six European countr...

Reacting to extreme uncertainty conditions caused by the global financial crisis, the European Central Bank implemented countercyclical strategy, combining conventional and non-traditional monetary policy tools to stabilize financial markets and euro area economies. We study the impact of the euro area monetary authority policy interventions on equ...

In this paper, we study the generalized Johnson distributions’ class and its applications in finance and risk theory. The recent literature on Johnson distributions displays a better gooodness of fitting for data coming from financial markets, such as portfolio returns. However, a gereral question in risk theory and finance is the following: Which...

This paper examines the effect of R&D investment on firms’ level cash holdings in the UK market after the financial market crisis, using the trade-off model and the pecking order model as a theoretical backdrop. For this purpose, we employ a sample of UK listed non-financial no-utility firms throughout 2010–2018. Our findings indicate that R&D spen...

Stationarity of hedge ratios can be viewed as a first step for portfolio hedging since it represents that the sensitivity of spot and Future returns follow a process whose main characteristics do not depend on time. However, we provide evidence that the hedge ratios of the main European stock indices are better described as a combination of two dif...

This study investigates dynamic bank-return correlation and spillovers among G7 advanced markets, employing an asymmetric multivariate GARCH approach and the forecast-error variance decomposition framework of a generalized VAR model and using a time-varying parameter autoregressive model. We utilize weekly bank stock indices over a long period (200...

Computable general equilibrium models have been a popular tool for policy analysis in recent decades, but rarely applied for fisheries policy and management. This paper presents an inter-temporal computable general equilibrium model with fisheries details. While the model in a full-scale and disaggregate way describes the structure and dynamics of...

The joint effect of the global economic and sovereign debt crisis forced the European Central Bank (ECB) to apply conventional and non-standard expansionary monetary policy interventions in order to stabilize eurozone economies. We conducted a panel regression econometric analysis to study the influence of euro area monetary authority policy interv...

Crises around the world reveal a generally unstable environment in the last decades within which banks and financial institutions operate. Risk is an inherent characteristic of financial institutions and is a multifaceted phenomenon. Everyday business practice involves decisions, which requires the use of information regarding various types of thre...

We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 and 2021. Following the work of Balcilar et al. (2021), we utilise the TVP-VAR extended joint connectedness method and compare results to the standard TVP-VAR method that predicates upon the normalisation approach by Diebold and Yılm...

Purpose The authors examine the short-term stock market reaction surrounding US layoffs during the coronavirus disease 2019 (COVID-19) period. The authors’ specific interest is on any changes that may be observed in US stock markets during the COVID-19 outbreak. This information will help us assess the extent to which policymakers adopted at time r...

The role of non-financial sector market fluctuations such as the role of oil price uncertainty either on financial stability or on policy-related economic uncertainty has not been investigated extensively. This study examines the connectedness of financial stress and economic policy uncertainty with a non-financial market of Brent oil and its price...

News about referendums and the ongoing evolution of a global contagious increase uncertainty about the development of economic fundamentals reflected by increased volatility in the financial markets. In this paper, employing volatility impulse response functions and assessing the volatility spillovers we examine intra-market volatility transmission...

Purpose This paper examines the dividend smoothing (DS) behaviour in the Gulf Cooperation Council (GCC) countries in emerging markets where the response to news and the economic environment are different from those of developed countries. Design/methodology/approach The authors examine the effect of share price informativeness on DS in the GCC mar...

The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 January 2001–30 December 2020. This period includes several market phases, such as the latest fina...

Purpose The purpose of this paper is to identify whether heuristic and herding biases influence portfolio construction and performance in Greece. The current research determines the situation among investors in Greece, a country with several economic problems for the last decade. Design/methodology/approach A survey has been conducted covering a g...

We study the simultaneity impact of the European Central Bank news on the daily realized volatility transmission mechanism (spillovers) among various US spot and futures markets. To this end, we apply a bias-corrected vector autoregressive model via Wild bootstrap simulation. We use minute-by-minute intraday data to construct daily realized volatil...

The article aims to explore the heterogeneous feature in the determination of Bitcoin volatility using a Markov regime-switching model and test its forecasting ability. The forecasting methodology of the risk measurement of Bitcoin's returns is based on the Conditional Autoregressive Value at Risk models (CAViaR) approach. Our results show that Bit...

Option pricing depends heavily on the volatility measure used. We examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of daily closing prices. We perform a valuation...

This paper considers a long dataset of both Brent and West Texas Intermediate (WTI) crude oil prices and the Commodity (fuel) energy index (CEI) to identify possible bubbles. Using the Supremum Augmented Dickey–Fuller (SADF) test, we compare results from WTI and Brent with CEI. We prove that the CEI follows Brent crude oil (they provide similar bub...

In this paper, we study the contribution of the geographical (both the regional and international) aspect of news releases, related to the Greek sovereign debt crisis. We investigate the impact of the Greek debt crisis via economic news and surprises on Euro exchange rate volatility and volatility-jumps within a Tobit regression framework. In parti...

Over the past decade, the UK has witnessed significant booms in the real estate market, and housing prices have experienced increases. Since 1997, the housing price has almost tripled, which is far beyond the long-term trend. To identify the existence of housing bubbles is a crucial issue for any country to prevent possible damage to economies and...

This article examines the development of Greek systemic banks for the period 2003–2018, using data such as the ATM network and branches at a regional level. We test the impact of the ATM network and branches on the deposits of Greek commercial banks as well as the impact of local GDP on the regional banking efficiency. The analysis is carried out i...

This paper investigates the liaison between taxation and corporate governance issues of listed multinational firms and the core characteristics of their boards’ functioning. The aim is to capture the determinant factors of board independency of listed firms as well as taxation, through a multiple regression analysis. For this reason, two models are...

We study the role of rare disaster risks in discontinuities (jumps) in the US equity market. To this end, we use data from Dow Jones Industrial Average and International Crisis Behavior database (as a proxy for rare disaster risks) over the period January 1918 – December 2013. We apply a quantile dependence approach in order to detect directional p...

Crises around the world reveal a generally instable environment in the last decades, within which banks and financial institutions operate. Risk is an inherent characteristic of financial institutions and is a multifaceted phenomenon. Everyday business practice involves decisions, which requires the use of information regarding various types of thr...

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency dat...

This paper examines banking efficiency using recent data from PIGS countries (i.e., Portugal, Italy, Greece and Spain), which suffer from debt problems. We employ a two-stage approach based on the effect of several items of balance sheets on cash flows and data envelopment analysis (DEA). More specifically, we extend previous studies by giving atte...

The aim of this paper is to present a continuous-time dynamic model of futures hedging. In particular, we extend the theoretical and empirical literature (e.g., Alghalith, 2016; Alghalith et al., 2015; Corsi et al., 2008) in several important ways. First, we present a theory-based model. A significant empirical contribution is that we do not need d...

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far simpler than the existing ones. Using intraday prices for...

We study the performance of the k nearest neighbor (kNN) forecasts in the context of European tourism demand. The forecasting performance of neural networks is examined across different parameterizations of the kNN model. The selection of the most appropriate kNN parametrization can produce more accurate forecasts. Tourism demand is forecast monthl...

Abstract: This paper examines banking efficiency using recent data from PIGS countries (i.e., Portugal, Italy, Greece and Spain), which suffer from debt problems. We employ a two-stage approach based on the effect of several items of balance sheets on cash flows and data envelopment analysis (DEA). More specifically, we extend previous studies by g...

We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014. Results are robust to different sub-periods before and after...

This study examines the globalisation-regionalisation hypothesis in the WTI/Brent crude oil futures price differential by considering a set of potential determinants at 1, 3 and 6 months to maturity contracts. To this end, we employ monthly data over the period 1993:1-2016:12 for a set of crude oil-market specific (convenience yield, consumption, p...

In this paper we provide alternative methods for pricing European and American call and put options. Our contribution lies in the simplification attempted in the models developed. Such simplification is feasible due to our observation that the value of the option can be derived as a function of the underlying stock price, strike price and time to m...

Using a sample of Chinese commercial banks over the period 2003–2013, this paper tests the interrelationships between credit risk, competition and cost efficiency in the Chinese banking industry under a three-stage least square estimator. The findings suggest that a higher level of competition leads to higher credit risk of Chinese commercial banks...

Abstract Purpose-The purpose of this paper is to investigate the stock market response to dividend announcements in high growth emerging markets of Gulf countries. Design/methodology/approach-The sample includes 1,092 dividend announcements from 299 listed firms over the period 2010-2015. Findings-In the environment where there is an absence of...

Purpose This paper investigates the stock market response to dividend announcements in high growth emerging markets of Gulf countries. Design/methodology/approach Our sample includes 1092 dividend announcements from 299 listed firms over the period 2010 - 2015. Findings In the environment where there is an absence of capital gain and income ta...

In this paper, we examine the impact of macroeconomic, as well public and private health insurance financing (PHI) factors on out of pocket (OOP) healthcare expenditures, by using fixed/random effects and dynamic panel data methodology to a dataset of 26 EU and OECD countries for a period lasting from 1995 to 2013. The existing empirical literature...

In this study, we examine the network topology of UK regional property returns over the period 1973Q4–2014Q4 using a dynamic measure of connectedness developed by Diebold and Yilmaz (2014). Overall, our findings indicate that the transmission of inter-regional property returns shocks is an important source of regional property return fluctuations....

The ongoing debt crisis has led the discussion on the role of credit rating agencies (e.g. Fitch, Moody’s and S&P) during the financial crisis and their connection with the financial markets. This paper examines the impact of rating news on the returns of the Greek General Price index of the Athens Stock Exchange (ASE). We focus on the three major...

The impact of dividend announcements on share price and trading volume: empirical evidence from the Gulf Cooperation Council (GCC) countries

This paper tests the interrelationships among risk, competition, and efficiency in the Chinese banking industry between 2003 and 2013, with an efficiency-adjusted Lerner index and stability inefficiency as the indicators of competition and insolvency risk. The results show that Chinese commercial banks with higher efficiency have higher credit risk...

This chapter examines the impact of Greek economic news on European government bond, CDS, and stock markets. The impact of three categories of news is examined via the respective number of dummy variables, number of news per month, and news surprises of 2-year, 5-year, and 10-year government bonds and CDS on return, volatility, volatility jump, cor...

The high level of out of pocket (OOP) payments constitutes a major concern for Greece and several other European and OECD countries as a result of the significant down turning of their public health finances due to the 2008 financial crisis. The basic objective of this study is to provide empirical evidence on the effect of combining social health...

We consider recent data from three major US indices (S & P500, NASDAQ 100, and DJIA) to examine the effect of joiners and leavers on stock market returns and volatility. We report (a) a positive effect of leavers on stock market returns (S & P500, DJIA), (b) a positive effect of leavers on stock market volatility (S & P500), and (c) a negative effe...

Purpose This study aims to test the impacts of risk-taking behaviour, competition and cost efficiency on bank profitability in China. Design/methodology/approach A two-step generalized method of moments system estimator is used to examine the impacts of risk, competition and cost efficiency on profitability of a sample of Chinese commercial banks...

This paper tests the interrelationships among risk, competition, and efficiency in the Chinese banking industry between 2003 and 2013, with an efficiency-adjusted Lerner index and stability inefficiency as the indicators of competition and insolvency risk. The results show that Chinese commercial banks with higher efficiency have higher credit risk...

This book sheds new light on The Greek economic challenges and helps readers understand the current debt crisis. Chapters from leading experts in the field identify and outline potential solutions to the on-going decline of the Greek economy by considering both Eurozone-adopted current policy framework explanations and potential alternative explana...

Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures markets. The authors capture the size and change in speculative behaviour in futures markets by examining the role of liquidity variables (trading volume and open interest) in the behaviour of futures prices. Design/methodology/...

Research on the quality of the narrative portion of the annual report has long been hampered by a lack of tools that permit an objective analysis of qualitative disclosure. This study is the first piece of accounting disclosure quality research which proposes a comprehensive index that uses Key Performance Indicators (KPIs) to enhance understanding...

The Greek state has reduced their funding on health as part of broader efforts to limit the large fiscal deficits and rising debt ratios to GDP. Benefits cuts and limitations of Social Health Insurance (SHI) reimbursements result in substantial Out of Pocket (OOP) payments in the Greek population. In this paper, we examine social health insurance's...

This paper provides the empirical framework to assess whether UK monetary policy shocks induce both the UK housing market and the UK stock market to remain at a high-volatility (risk) environment. The Markov regime switching modelling approach is employed in order to identify two distinct environments for each market; namely, a high-risk environmen...

In this study we examine the dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom, over the period 1997 M1-2015 M02. The findings of this study suggest the following empirical regularities. First, the transmission of various types of shocks contributes significantly to econo...

In this article, we analyse manufacturing sector efficiency in Greece over the period 1996-2011. We compute DEA efficiency scores which we combine with a Tobit analysis to see whether efficiency scores play a role in explaining profitability and leverage. The results from 27 sub-sectors show that: 1) leverage has no effect on sectors' performance i...

The debate on the impact of futures on stock market volatility is still controversial. In other words, the issue of whether the futures markets affect underlying spot markets is not widely accepted. Some past critics of index futures agree that the introduction of stock index futures increases stock market volatility. Others report no significant v...

Using a sample of Chinese commercial banks over the period 2003-2013, this paper tests the interrelationships between credit risk, competition and cost efficiency in the Chinese banking industry under a three-stage least square estimator. The findings suggest that a higher level of competition leads to higher credit risk of Chinese commercial banks...

PURPOSE The purpose of this study is to investigate human resource management factors affecting the profitability of small and medium manufacturing enterprises in Greece, and to identify key characteristics that enable those firms to increase their efficiency and profit performance. Since Greek economy is under a severe economic crisis, the study c...

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure effects. Having verified the stylized facts of realized vo...

Purpose – The purpose of this paper is to empirically test dynamic hedging, using data from the FTSE-100 and Standard & Poor’s (S&P) 500 futures indices. Design/methodology/approach – The authors introduce a dynamic continuous-time hedging model in futures markets. The authors further relax the statistical-independence assumption between the spot...

Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 2...

This paper investigates the effect of automated teller machines (ATMs), information technology (IT) investments and other determinants on the efficiency and profitability of Greek commercial banks. Following the two-step procedure: 1) efficiency is derived via the non-parametric data envelopment analysis (DEA) technique under the variable returns t...