Dimitris Kenourgios

Dimitris Kenourgios
National and Kapodistrian University of Athens | uoa · Faculty of Economics

BSc, MSc, PhD

About

109
Publications
30,779
Reads
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2,354
Citations
Additional affiliations
July 2016 - April 2021
National and Kapodistrian University of Athens
Position
  • Professor (Associate)
March 2006 - July 2016
National and Kapodistrian University of Athens
Position
  • Research Assistant

Publications

Publications (109)
Article
Full-text available
Bubbles are usually chaotic but can be predictable, provided their formation matches the log periodic power law (LPPL) with unique stylized facts. We investigated Green Bubble behaviour in the stock prices of a selection of stocks during the COVID-19 pandemic, namely, those with the highest market capitalization from a basket of North American and...
Conference Paper
The purpose of this paper is to examine the degree of understanding of the principles of business ethics and corporate social responsibility (CSR), and their adoption in the behavior of the employees and in the business plans of Greek systemic banks. The research methodology implemented is a qualitative survey applying a self-structured, properly d...
Chapter
Full-text available
Η σημασία της περιβαλλοντικής διάστασης στη διαμόρφωση του Κρατικού Προϋπολογισμού (Green Budgeting)
Preprint
The purpose of this paper is to examine the degree of understanding of the principles of business ethics and corporate social responsibility (CSR), and their adoption in the behavior of the employees and in the business plans of Greek systemic banks. The research methodology implemented is a qualitative survey applying a self-structured, properly d...
Article
This paper goes beyond the extant comparisons of Islamic and conventional investments by econometrically assessing their convergence dynamics, in a dataset spanning over 1996-2020, covering ten business sectors and five episodes of crisis. We use a dynamic multivariate framework to estimate time-varying correlations, which we submit to beta and sig...
Article
Full-text available
This paper examines the capability of the Cyclically Adjusted Price to Earnings (CAPE) or Shiller’s P/E ratio, along with other relative valuation ratios such as the P/E and the P/BV, to predict future returns of the FTSE/ASE Large Cap Index, starting from the development of the index (1997) to December 2018. We have herein used several regression...
Article
Full-text available
We herein employ an alternative approach to model the financial bubbles prior to crashes and fit a log-periodic power law (LPPL) to IIGPS countries (Italy, Ireland, Greece, Portugal, and Spain) during Brexit. These countries represent the five financially troubled economies of the Eurozone that have suffered the most during the Brexit referendum. I...
Article
This paper investigates the existence of a calendar anomaly in stock market returns, namely the Halloween Effect, corroborated by Bouman & Jacobsen (2002). According to this, returns during May to October are extremely affected by this phenomenon, and hence are lower in comparison with the respective of November to April. Using a sample of 118 Euro...
Article
Purpose This study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological research design. Design/methodology/approach This work employs two methodologies, namely a panel specification, with the cross-section being the forecast horizon (from 1-...
Article
The purpose of this study is twofold: to provide a general overview of the newly established accounting standard - IFRS 9 and highlight its expected impact on the financial condition of the European banking system, placing the focus on the Greek banking sector. The research methodology implemented is a critical overview of IFRS 9, based on official...
Chapter
Full-text available
Η αναγκαιότητα επιτάχυνσης της µετάβασης της ελληνικής οικονοµίας στην εποχή των ηθικά, περιβαλλοντικά και κοινωνικά υπεύθυνων (ESG) επενδύσεων
Article
We investigate the impact of the recent COVID-19 pandemic on the time-varying correlation between stock and bond returns. Using daily data on bond and stock returns for ten countries, covering Europe, Asia, US and Australia regions, we identify flight-to-quality episodes during the COVID-19 global pandemic crisis employing both a panel data specifi...
Article
This paper employs econometric techniques in order to examine the role of political risk on the capital structure decisions of European listed SMEs, during a period which fully captures the Euro zone debt crisis and aspects of political risk due to the recession and its over-indebtedness. We find that political risk decreases significantly SMEs...
Article
We investigate the connectedness of the most significant global equity indices that comprise companies with the highest environmental, social, and governance (ESG) performance. Motivated by the rapid growth of socially responsible investing during the last two decades, we examine whether these investments are prone to similar exogenous economic and...
Article
Full-text available
A growing body of research work on Log Periodic Power Law (LPPL) tries to predict market bubbles and crashes. Mostly, the fitment parameters remain confined within certain specific ranges. This paper examines these claims and the robustness of the reformulated LPPL model of Filimonov & Sornette (2013) for capturing large falls in the S&P BSE Sensex,...
Article
This paper empirically investigates the existence of possible safe haven properties across “exotic” and alternative asset classes during the Global Financial Crisis (GFC) and Eurozone Sovereign Debt Crisis (ESDC). We extend the existent safe haven literature by focusing on a new dataset into a dynamic framework, which takes into account the fractio...
Article
This article investigates the influence of the macroeconomic environment on corporate leverage. Using panel data of European listed SMEs, we examine the relationship between capital structure and country-level total factor productivity (TFP), GDP growth, interest rates and stock market development across firm categories (micro, small, and medium) a...
Article
This paper studies the effects of U.S. unconventional monetary policy announcements on the implied volatility of three major currency pairs, Dollar/Euro, Dollar/British Pound and Dollar/Yen by using panel data analysis along with several model specifications and robustness tests. Monetary policy announcements not only have an effect on the realized...
Article
Purpose This study analyzes the inflation hedging of Islamic and conventional equities by employing 26 indices for the period ranging from January 1996 till August 2018. The authors investigate the decoupling hypothesis for Islamic versus conventional equities across various investment horizons. Design/methodology/approach The authors employ a vec...
Article
This paper examines the effect of credit rating announcements on ten-year sovereign bond yields of a selected sample of “traditional” and “new” global emerging countries as well as of developed countries which were hit mostly by the global financial crisis. By performing a panel regression analysis and several robustness tests, we highlight heterog...
Article
This paper studies on “Early Warning Systems” (EWS) by investigating possible contagion risks, based on structured financial networks. Early warning indicators improve standard crisis prediction models performance. Using network analysis and machine learning algorithms we find evidence of contagion risk on the dates where we observe significant inc...
Article
Purpose The purpose of this paper is to assess the reaction of European stock markets after the UK's EU membership referendum (“Brexit”) on June 23, 2016. Design/methodology/approach The analysis focuses on asector level by using non-aggregate stock indices across EU-28, the UK and several country subsamples. An event study is performed in order t...
Article
This study quantifies the effects of the Fed’s quantitative easing (QE) and tapering programs’ announcements on professionals’ consensus forecasts of U.S. macroeconomic and financial variables at different forecast horizons. The results of a vector autoregression (VAR) analysis show that the first QE (QE1) program is more effective in terms of sign...
Chapter
This chapter investigates the impact of the Global Financial Crisis and the European Sovereign Debt Crisis in ETFs across regions and segments. In particular, two tests are taking place, with the first one to examine if there is evidence of contagion effect and the second one to test the affection of risks in each pair of ETFs. The evidence across...
Chapter
Full-text available
Η σημασία του Χρηματοπιστωτικού τομέα στην διαμόρφωση του Προϋπολογισμού
Article
This paper examines the impact of the European Central Bank’s unconventional monetary policy (UMP) on bank lending supply and performance in the euro area, through comparing the evolution of bank-specific variables before and after the UMP implementation. By using a dynamic panel data analysis on banks across discrete country groups (euro zone, cor...
Article
This study examines the conditional correlation and the resulting optimal hedge ratios between the Credit Default Swap (CDS) spreads of the U.S. metal and mining industries, and the prices of copper, platinum, silver and gold using the daily date from December 14, 2007 to August 18, 2018. It compares volatility and conditional correlation of the CD...
Article
This paper examines the effects of the unconventional monetary policy (UMP) launched by the European Central Bank on the cross-market correlations between bond, stock and currency forward markets. Using a dynamic conditional correlation analysis and several robustness tests, we investigate possible differences on the correlation dynamics across fou...
Article
This paper examines the impact of the four unconventional monetary policy announcements followed by the European Central Bank on the stock price of European banks, as well as on the STOXX Europe 600 Banks index, from January 2010 to December 2016. The results show that there is a positive relation between the announced programs and the stock return...
Preprint
In this paper the role of institutionality is tested. We research if institutions effect tends to promote or to diminish the share of debt in the capital structure of firms. We conduct empirical investigation by exploring both firm level data and country level data in order to find supportive evidence. A broad range of indices are used.
Preprint
This paper contributes to the existing literature in several ways. Firstly, it fills the gap in the SME’s capital structure literature by shedding light on the relationship between the macro factors of each country and financial leverage of SMEs. We expect to find significant convergences and/or divergences between these factors and financial lever...
Article
Full-text available
This article investigates the capital structure dynamics of European SMEs by assessing the impact of firm-specific, institutional, and macroeconomic factors over the period 2005–2015, including the European Sovereign Debt Crisis (ESDC). In this setup, we perform a dynamic panel data analysis, along with several model specifications and robustness t...
Preprint
This paper provides evidence whether the International Financial Reporting Standards (IFRS) adoption is positively associated with specific changes in the European banking industry functionality. By using a dynamic panel data analysis, followed by the Generalized Method of Moments (GMM) robustness tests for the European banks, which operate under t...
Conference Paper
Full-text available
The recent global financial crisis of 2008 brought into surface the significant negative effect that the untimely recognition of credit losses has on the financial position of banks. The response of the International Accounting Standards Board (IASB) was the introduction of the International Financial Reporting Standard 9-IFRS 9, effective after 1...
Preprint
Full-text available
The recent global financial crisis of 2008 brought into surface the significant negative effect that the untimely recognition of credit losses has on the financial position of banks. The response of the International Accounting Standards Board (IASB) was the introduction of the International Financial Reporting Standard 9-IFRS 9, effective after 1...
Poster
Full-text available
The dynamic True and Fair Value (TFV) principle as established by the European Union (EU) regulation and the International Accounting Standards Board (IASB), through the International Accounting Standard 39 (IAS 39), was expected to shed light -inter alia- on the true and fair value of banks’ assets, labilities and profit or loss. Under this assump...
Conference Paper
Full-text available
Aim This paper aims to analyze the impact of the adoption of IAS 39 on the banking system's lending channel and profitability, placing the focus on major European Banks. Methodology The research methodology implemented is a panel data regression analysis on a sample of 490 major European banks for the time period 1999-2017. Data were derived using...
Article
Full-text available
The aim of this study is to examine the correlation of the service quality dimensions to the overall customer satisfaction in the Greek banking sector, following its restructuring due to the mergers and the takeovers during the current financial crisis period (2009 - 2015), and to analyze in particular the case of Piraeus Bank, the biggest Greek co...
Article
Full-text available
The purpose of this paper is to examine the impact of terrorism on tourism demand in Greece using monthly data from 1977 to 2012. We investigate whether this relationship is bidirectional and whether it exhibits long run persistence. Thus, we employ a large dataset of terrorist incidents and perform cointegration and long-run causality tests, corre...
Article
This paper investigates the spread of the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC) to different market capitalization segments across countries and regions. Specifically, it tests for capitalization-specific contagion across both crises and their phases by examining large, medium and small capitalization indices o...
Conference Paper
This paper focuses on the capital structure determinants for the EU-28 and solely on small and medium-sized listed companies.
Conference Paper
Assessing the Capital Structure & its Determinants of the European Small & Medium-Sized Listed Firms
Conference Paper
This paper examines the impact of the European Central Bank’s Unconventional Monetary Policy (UMP) on the European bank lending supply and performance, through comparing the evolution of bank specific variables, before and after its implementation. Our analysis is carried out on discrete groups of banks, such as the euro area’ banks, the core econo...
Article
This paper examines the dynamic linkages among major exchange rates during the Global Financial Crisis and Eurozone Sovereign Debt Crisis. We extend the previous literature on volatility spillover linkages among the currencies by taking into account the uncovered interest-rate parity hypothesis for 2004–2015. The results indicate that the Canadian...
Article
This paper investigates the relationship between the volatility of Volume Synchronized Probability of Informed Trading (VPIN) and future short-term volatility of stock returns. We construct a transaction-signed version of VPIN (TR-VPIN) based on tick by tick data on securities traded in the Athens Stock Exchange (ASE) during the Greek sovereign deb...
Article
This study provides new evidence on emerging stock market contagion during the Global Financial crisis (GFC) and the Euro zone Sovereign Debt Crisis (ESDC). Focusing on the three emerging Baltic markets and developed European markets, proxied by the EUROSTOXX50 stock index, we explore asymmetric dynamic conditional correlation dynamics across stabl...
Article
This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank (ECB), the Bank of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The empirical results indicate: (i) an increased volatility transmission from EUR to JPY and GBP around the ECB announcem...
Article
This paper investigates the contagion effects of the Global Financial Crisis (2007–2009) by examining ten sectors in six developed and emerging regions during different phases of the crisis. The analysis tests different channels of financial contagion across regions and real economy sectors by utilizing dynamic conditional correlation from the mult...
Article
This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank, the Bank of Japan and the Bank of England on exchange rate dynamics. Using intraday data of three major exchange rates (EUR/USD, GBP/USD, JPY/USD), we apply a univariate APARCH(1,1) model and include QE dummies to empirically investigate how exch...
Article
Full-text available
This paper empirically investigates the contagion effects of the Global Financial Crisis (2007-2009) from the financial sector to the real economy by examining nine sectors of US and developed European region. We provide a regional analysis by testing stock market contagion on the aggregate level and the sector level, on the global level and the do...
Article
This paper investigates volatility contagion across U.S. and European stock markets during the Global Financial Crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC). Using a sample of international implied volatility indices on daily changes, I explore asymmetric conditional correlation dynamics across stable and crisis periods and across the...
Chapter
This chapter investigates stock market contagion during two financial crises (Asian and Latin American) of the late 1990s until early 2000s. The literature on financial contagion has exploded during the last two decades as a consequence of the appearance of several financial episodes, and a range of conventional and more advanced techniques have be...
Article
Full-text available
This study investigates the contagion effects of the 2007-2009 global financial crisis across multiple asset markets and different regions. It uses daily return data of six asset classes: stocks, bonds, commodities, shipping, foreign exchange and real estate. A robust analysis of financial contagion is provided by estimating and comparing asymmetri...
Article
This paper investigates financial contagion as an asymmetric propagation mechanism across both equity and foreign exchange markets. In order to provide a robust analysis of the contagion dynamics, we apply an asymmetric generalized dynamic conditional correlation (AG-DCC) model. This specification allows examining the presence of asymmetric respons...
Article
This paper investigates the interdependence of US dollar exchange rates expressed in other major currencies. Focusing on different phases of the Global financial crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC), we adopt a dynamic conditional correlation model into a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) fr...
Article
This paper empirically investigates the contagion effects of the global financial crisis in a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) dynamic conditional correlation (DCC) framework during the period 1997–2012. We focus on five most important emerging equity markets, namely Brazil, Russia, India, China and South Africa...
Article
Purpose ‐ The purpose of this paper is to investigate the reaction of the London Stock Exchange to the announcement of the city hosting 2012 Summer Olympic Games. The expectations of the Olympic Games are the anticipation of massive economic boosts to the host cities. These expectations are presumed to be translated into positive stock price return...
Article
This paper investigates the reaction of the London Stock Exchange to the announcement of the city hosting 2012 Summer Olympic Games. The expectations of the Olympic Games, are the anticipation of massive economic boosts to the host cities. These expectations are presumed to be translated into positive stock price returns. This research examines the...
Article
This paper provides an empirical framework to analyse the nature of currency crises by extending earlier work of Jeanne and Masson (2000; Journal of International Economics, Vol. 50, pp. 327–350). Jeanne and Masson suggest a Markov regime switching models to analyse models of currency crises with multiple equilibria. This paper further contributes...
Article
This paper investigates whether cointegration and causality relationships exist among the stock markets of the PIIGS countries (Portugal, Italy, Ireland, Greece and Spain) during the period 2005-2011. To accomplish our objective, we divide the sample period into two sub-periods (1 February 2005-30 June 2008 and 1 July 2008-30 June 2011). Considerin...
Article
Full-text available
This paper examines long and short-run relationships among three emerging Balkan stock markets (Romania, Bulgaria and Croatia), two developed European stock markets (Germany and Greece) and United States (U.S.), during the period 2000 - 2005. We apply Johansen's (1988) co-integration methodology to test the long-run relationships between these mark...
Article
This paper investigates financial contagion of three emerging market crises of the late 1990s, as well as the subprime crisis of 2007, focusing on financial markets of emerging economies, USA and 2 global indices. Conventional cointegration and vector error correction analysis show long and short run dynamics only among emerging stock markets durin...
Article
This chapter investigates stock market contagion during two financial crises (Asian and Latin American) of the late 1990s until early 2000s. The literature on financial contagion has exploded during the last two decades as a consequence of the appearance of several financial episodes, and a range of conventional and more advanced techniques have be...
Article
This article examines the maturity effect or Samuelson hypothesis on stock index futures in the emerging Greek market, using a range of methodologies such as linear models and conditional variance specifications. The results obtained show that the Greek index futures exhibit the phenomenon of maturity effect. Furthermore, we document a positive rel...
Article
Full-text available
This paper investigates calendar anomalies for four emerging stock markets (Romania, Bulgaria, Croatia and Turkey) and their mature counterpart in the Balkan region (Greece), during the period 2000-2008. Five well known calendar effects on both return and volatility are examined: The day of the week effect, the January effect, the half month effect...
Article
This study examines firms' stock returns’ behaviour, when they announce corporate events such as management change, collaborations and stock repurchases. It examines how those events are portrayed in firms’ stock returns. The methodologies used are event study analysis and bootstrap. Companies selected belong to eight different sectors of Athens St...
Article
This paper examines long-run relationships among five Balkan emerging stock markets (Turkey, Romania, Bulgaria, Croatia, Serbia), the United States and three developed European markets (UK, Germany, Greece), during the period 2000-2009. Conventional, regime-switching cointegration tests and Monte Carlo simulation provide evidence in favour of a lon...
Article
This paper investigates financial contagion in a multivariate time-varying asymmetric framework, focusing on four emerging equity markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financial crises. Specifically, both a multivariate regime-switching Gaussian copula model and the asymmet...
Article
Full-text available
This paper investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE/ASE-20 index over the period 1995-2008. We focus on a less developed and efficient stock market, given the existing paucity of research in such markets. The technical rules that are going to be explored are simple moving avera...
Article
This paper provides an empirical framework to analyse the nature of currency crises by extending earlier work of Jeanne and Masson (2000) who suggest that a currency crisis model with multiple equilibria can be estimated using Markov regime switching (MRS) models. However, Jeanne and Masson (2000) assume that the transition probabilities across equ...
Article
Full-text available
This paper examines the long-run relationship between finance and economic growth for a transition economy, such as Poland using quarterly data from 1994:Q1 until 2004:Q4. It presents the interaction between the financial market and economic growth, and an aggregate production function is then estimated using cointegration analysis. Given that the...
Article
Full-text available
This paper provides evidence of integration in European equity and bond markets over the period January 2, 1997 to October 1, 2006. Our focus is to examine time-varying correlation dynamics in Euro-area, Central European (CE) and Balkan financial markets, modifying the asymmetric generalized dynamic conditional correlation (AG-DCC) model developed...
Article
This paper studies stock market time varying performance in a Markov environment between four emerging Balkan stock markets, namely, Turkey, Romania Croatia and Bulgaria, and two developed markets, the U.S. and Greece. We employ: a) an exogenous Markov regime-switching methodology where the time variation of returns is modeled to capture short term...
Article
This paper examines overreaction hypothesis in four emerging Balkan stock markets (Bulgaria, Romania, Croatia, Turkey), using average returns of four developed markets (US, UK, Germany and Greece), during the period 2000-2007. The hypothesis tested is that developed market movements create overreaction to Balkan ones. We apply the Dimson’s (1979) a...
Article
This study examines energy firms' stock returns' behaviour, when they announce mergers and acquisitions. The methodology used is event study analysis. The particular companies that were selected are companies from all over the world and are divided into four regions. Companies' selected taking into consideration the market where they are listed, if...
Article
The sponsorship of major sporting events involves an ongoing commitment by business partners (sponsors) who need to evaluate the returns of their investments. This article addresses this evaluation by employing event study analysis and bootstrapping in order to assess the market value of business sponsorship of the Olympic Games 2004. The events te...
Article
This paper proposes a new multivariate copula regime-switching model to capture non-linear relationships in four emerging stock markets, namely Brazil, Russia, India, China (BRIC) and two developed markets (U.S. and U.K.), during five recent financial crises (the Asian crisis, the Russian crisis, the tech bust and the two episodes in Brazil). We al...
Article
Full-text available
This paper proposes a multivariate time-varying copula with Markov switching parameters to capture non-linear relationships in four emerging markets, namely Brazil, Russia, India, China (BRICs) and two developed markets, U.S. and U.K. Our results provide evidence that there is an increase in dependence among stock markets during crises periods. Als...
Article
Full-text available
This paper investigates whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in four 'new' European countries (Poland, Czech Republic, Slovakia and Hungary). 'Old' western European countries (UK, France, Italy and Germany) are included in the empirical analysis, whilst USA is con...
Article
Full-text available
This paper examines a new issue in the tramp shipping industry -- mergers and acquisitions -- which has drawn firms into a competition on size, market share and total tonnage. The purpose of this paper is to investigate the behaviour of tramp shipping firms' stock returns, when they announce mergers and acquisitions, and how this is portrayed on th...
Article
This paper is an attempt to evaluate the application of Corporate Governance framework issue within Public domain. It is an attempt to quantify the compliance of Greek companies with international best practices.
Article
Financing small and medium enterprises (SMEs), especially business investments and growth, is a composite and particular complicated affair in the Greek entrepreneurial reality. This paper examines the significance of secondary capital markets, as an alternative source of financing small-medium enterprises’ new entrepreneurial plans. Cointegration...