Details about Angelos Kanas

Access statistics for papers by Angelos Kanas.

Last updated 2025-10-06. Update your information in the RePEc Author Service.

Short-id: pka1726

Working Papers

2019

1. Hedge fund activism, voice, and value creation
   MPRA Paper, University Library of Munich, Germany

2010

2. Regime Dependence between the Official and Parallel Foreign Currency Markets for US Dollars in Greece
   EcoMod2004, EcoMod
   See also Journal Article Regime dependence between the official and parallel foreign currency markets for US dollars in Greece, Journal of Macroeconomics, Elsevier (2007) View citations (9) (2007)

2008

3. Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US
   Working Papers, University of Crete, Department of Economics View citations (1)
   See also Journal Article Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US, Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia (2010) View citations (1) (2010)

2004

4. HOW BANKING SYSTEM IN POST-SOVIET ECONOMIES ASSIST TO THEIR DEVELOPMENT. THE CASE STUDY OF ARMENIA
   Econometrics, University Library of Munich, Germany

2001

5. A cointegration approach to the lead-lag effect among size-sorted equity portfolios
   Working Papers, University of Crete, Department of Economics View citations (1)
   See also Journal Article A cointegration approach to the lead-lag effect among size-sorted equity portfolios, International Review of Economics & Finance, Elsevier (2005) View citations (13) (2005)

Undated

6. Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests
   Working Papers, University of Crete, Department of Economics View citations (73)
   See also Journal Article Linkages between the US and European equity markets: further evidence from cointegration tests, Applied Financial Economics, Taylor & Francis Journals (1998) View citations (80) (1998)
7. Mean and Variance Causality of Black and Official Exchange Rates: Evidence from four Latin American Countries
   Working Papers, University of Crete, Department of Economics
8. Testing for Nonlinear Granger Causality from fundamentals to Exchange Rates in ERM
   Working Papers, University of Crete, Department of Economics
   See also Journal Article Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM, Journal of International Financial Markets, Institutions and Money, Elsevier (2000) View citations (17) (2000)
9. Volatility Spillovers between the Black and Official Market for foreign Currency in Greece
   Working Papers, University of Crete, Department of Economics View citations (2)

Journal Articles

2023

1. An alternative Bayesian data envelopment analysis approach for correcting bias of efficiency estimators
   Journal of the Operational Research Society, 2023, 74, (4), 1021-1041 View citations (1)
2. Systemic risk and CO2 emissions in the U.S
   Journal of Financial Stability, 2023, 64, (C) View citations (11)

2022

3. Directional distance function DEA estimators for evaluating efficiency gains from possible mergers and acquisitions
   Journal of the Operational Research Society, 2022, 73, (6), 1240-1257 View citations (1)
4. Federal home loan bank advances and systemic risk
   Review of Quantitative Finance and Accounting, 2022, 59, (4), 1525-1557

2021

5. Systemic risk, real GDP growth, and sentiment
   Review of Quantitative Finance and Accounting, 2021, 57, (2), 461-485 View citations (5)

2020

6. Do measures of systemic risk predict U.S. corporate bond default rates?
   International Review of Financial Analysis, 2020, 71, (C) View citations (3)
7. Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value
   European Journal of Operational Research, 2020, 283, (2), 748-766 View citations (5)
8. Systemic risk-shifting in U.S. commercial banking
   Review of Quantitative Finance and Accounting, 2020, 54, (2), 517-539 View citations (2)

2019

9. A multi-parametric method for bias correction of DEA efficiency estimators
   Journal of the Operational Research Society, 2019, 70, (4), 655-674 View citations (3)
10. Bank competition, stability, and intervention quality
    International Journal of Finance & Economics, 2019, 24, (1), 568-587 View citations (8)
11. Semi-parametric real exchange rates dynamics
    Review of Quantitative Finance and Accounting, 2019, 52, (2), 643-656

2018

12. Macro stress testing the U.S. banking system
    Journal of International Financial Markets, Institutions and Money, 2018, 54, (C), 204-227 View citations (7)
13. Public policy and financial stability: The impact of PCA and TARP on U.S. bank non‐performing loans
    International Journal of Finance & Economics, 2018, 23, (4), 376-392 View citations (3)

2017

14. Equity flows, stock returns and exchange rates
    International Journal of Finance & Economics, 2017, 22, (2), 159-168 View citations (4)

2015

15. Dividend policy, managerial ownership and debt financing: A non-parametric perspective
    European Journal of Operational Research, 2015, 241, (3), 783-795 View citations (13)
16. Information revelation in the Greek exchange opening call: Daily and intraday evidence
    Journal of International Financial Markets, Institutions and Money, 2015, 38, (C), 167-184 View citations (3)

2014

17. BANK DIVIDENDS, REAL GDP GROWTH AND DEFAULT RISK
    International Journal of Finance & Economics, 2014, 19, (3), 212-224 View citations (2)
18. Bond futures, inflation-indexed bonds, and inflation risk premium
    Journal of International Financial Markets, Institutions and Money, 2014, 28, (C), 82-99 View citations (3)
19. Default risk and equity prices in the U.S. banking sector: Regime switching effects of regulatory changes
    Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 244-258 View citations (2)
20. The impact of prompt corrective action on the default risk of the U.S. commercial banking sector
    Review of Quantitative Finance and Accounting, 2014, 43, (2), 393-404 View citations (1)
21. Uncovering a positive risk-return relation: the role of implied volatility index
    Review of Quantitative Finance and Accounting, 2014, 42, (1), 159-170 View citations (1)

2013

22. Bank dividends, risk, and regulatory regimes
    Journal of Banking & Finance, 2013, 37, (1), 1-10 View citations (36)
23. IMPLIED VOLATILITY AND THE RISK‐RETURN RELATION: A NOTE
    International Journal of Finance & Economics, 2013, 18, (2), 159-164
24. The risk-return relation and VIX: evidence from the S&P 500
    Empirical Economics, 2013, 44, (3), 1291-1314 View citations (17)
25. U.S. prompt corrective action and bank risk
    Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 239-257 View citations (4)

2012

26. Modelling the risk–return relation for the S&P 100: The role of VIX
    Economic Modelling, 2012, 29, (3), 795-809 View citations (14)
27. Revisiting bank profitability: A semi-parametric approach
    Journal of International Financial Markets, Institutions and Money, 2012, 22, (4), 990-1005 View citations (23)
28. Revisiting the forward—spot relation: an application of the nonparametric long-run correlation coefficient
    Journal of Economics and Finance, 2012, 36, (1), 148-161

2010

29. A note on the relation between the equity risk premium and the term structure
    Journal of Economics and Finance, 2010, 34, (1), 89-95
30. Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US
    Panoeconomicus, 2010, 57, (4), 429-445 View citations (1)
    See also Working Paper Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US, Working Papers (2008) View citations (1) (2008)
31. Causality from real stock returns to real activity: evidence of regime-dependence
    International Journal of Finance & Economics, 2010, 15, (2), 180-197 View citations (6)

2009

32. Real exchange rate, stationarity, and economic fundamentals
    Journal of Economics and Finance, 2009, 33, (4), 393-409 View citations (4)
33. Real exchange rates and developing countries
    International Journal of Finance & Economics, 2009, 14, (3), 280-299 View citations (1)
34. Regime switching in stock index and futures markets: a note on the NIKKEI evidence
    International Journal of Finance & Economics, 2009, 14, (4), 394-399
35. The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006
    Journal of Economics and Finance, 2009, 33, (2), 111-127

2008

36. A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (07), 657-671 View citations (2)
37. Modeling regime transition in stock index futures markets and forecasting implications
    Journal of Forecasting, 2008, 27, (8), 649-669 View citations (3)
38. On real interest rate dynamics and regime switching
    Journal of Banking & Finance, 2008, 32, (10), 2089-2098 View citations (11)
39. Overview of the special issue on Euro area expansion: Current state and future prospects
    Journal of International Money and Finance, 2008, 27, (2), 165-168

2007

40. Regime dependence between the official and parallel foreign currency markets for US dollars in Greece
    Journal of Macroeconomics, 2007, 29, (2), 431-449 View citations (9)
    See also Working Paper Regime Dependence between the Official and Parallel Foreign Currency Markets for US Dollars in Greece, EcoMod2004 (2010) (2010)
41. Stock Market and the Macroeconomy: A Regime Switching Approach
    Economia Internazionale / International Economics, 2007, 60, (2), 181-206

2006

42. Purchasing Power Parity and Markov Regime Switching
    Journal of Money, Credit and Banking, 2006, 38, (6), 1669-1687 View citations (31)

2005

43. A cointegration approach to the lead-lag effect among size-sorted equity portfolios
    International Review of Economics & Finance, 2005, 14, (2), 181-201 View citations (13)
    See also Working Paper A cointegration approach to the lead-lag effect among size-sorted equity portfolios, Working Papers (2001) View citations (1) (2001)
44. MODELLING THE US/UK REAL EXCHANGE RATE–REAL INTEREST RATE DIFFERENTIAL RELATION: A MULTIVARIATE REGIME SWITCHING APPROACH
    Manchester School, 2005, 73, (2), 123-140 View citations (2)
45. Nonlinearity in the stock price-dividend relation
    Journal of International Money and Finance, 2005, 24, (4), 583-606 View citations (25)
46. Pure Contagion Effects in International Banking: The Case of BCCI's Failure
    Journal of Applied Economics, 2005, 8, (1), 101-123 View citations (5)
    Also in Journal of Applied Economics, 2005, 8, 101-123 (2005) View citations (10)
    Journal of Applied Economics, 2005, 08, (01), 23 (2005) View citations (10)
47. Real interest rates linkages between the USA and the UK in the postwar period
    International Journal of Finance & Economics, 2005, 10, (3), 251-262 View citations (2)
48. Real or monetary? The US/UK real exchange rate, 1921-2002
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (1), 21-38 View citations (6)
49. Regime (non)stationarity in the US/UK real exchange rate
    Economics Letters, 2005, 87, (3), 407-413 View citations (40)
50. Regime linkages between the Mexican currency market and emerging equity markets
    Economic Modelling, 2005, 22, (1), 109-125 View citations (23)
51. Regime linkages in the US/UK real exchange rate-real interest differential relation
    Journal of International Money and Finance, 2005, 24, (2), 257-274 View citations (10)

2004

52. Contagion in banking due to BCCI's failure: evidence from national equity indices
    International Journal of Finance & Economics, 2004, 9, (3), 245-255 View citations (4)
53. Intrinsic bubbles revisited: evidence from nonlinear cointegration and forecasting
    Journal of Forecasting, 2004, 23, (4), 237-250 View citations (6)
54. Lead-lag effects in the mean and variance of returns of size-sorted UK equity portfolios
    Empirical Economics, 2004, 29, (3), 575-592 View citations (1)
55. TESTING FOR "PURE" CONTAGION EFFECTS IN INTERNATIONAL BANKING: THE CASE OF BCCI'S FAILURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (03), 289-301

2003

56. Non-linear cointegration between stock prices and dividends
    Applied Economics Letters, 2003, 10, (7), 401-405 View citations (8)
57. Non-linear forecasts of stock returns
    Journal of Forecasting, 2003, 22, (4), 299-315 View citations (14)

2002

58. Mean and Variance Causality between Official and Parallel Currency Markets: Evidence from Four Latin American Countries
    The Financial Review, 2002, 37, (2), 137-163 View citations (19)
59. Mean and variance spillovers among size-sorted UK equity portfolios
    Applied Economics Letters, 2002, 9, (5), 319-323 View citations (1)

2001

60. Black and Official Exchange Rate Volatility and Foreign Exchange Controls: Evidence from Greece
    International Journal of Finance & Economics, 2001, 6, (1), 13-25 View citations (7)
61. Comparing linear and nonlinear forecasts for stock returns
    International Review of Economics & Finance, 2001, 10, (4), 383-398 View citations (16)
62. Hedging Exchange Rate Economic Exposure: Real Options Or Currency Options?
    Economia Internazionale / International Economics, 2001, 54, (1), 1-14
63. Neural Network Linear Forecasts for Stock Returns
    International Journal of Finance & Economics, 2001, 6, (3), 245-54 View citations (16)
64. VOLATILITY SPILLOVERS BETWEEN THE BLACK MARKET AND OFFICIAL MARKET FOR FOREIGN CURRENCY IN GREECE
    Journal of Financial Research, 2001, 24, (3), 443-461 View citations (7)

2000

65. Exchange Rate Economic Exposure under Collusive Pricing and Hedging Using Asian Currency Options
    Economia Internazionale / International Economics, 2000, 53, (1), 53-67 View citations (2)
66. Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM
    Journal of International Money and Finance, 2000, 19, (1), 135-152 View citations (66)
67. Testing for nonlinear Granger causality from fundamentals to exchange rates in the ERM
    Journal of International Financial Markets, Institutions and Money, 2000, 10, (1), 69-82 View citations (17)
    See also Working Paper Testing for Nonlinear Granger Causality from fundamentals to Exchange Rates in ERM, Working Papers
68. Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence
    Journal of Business Finance & Accounting, 2000, 27, (3‐4), 447-467 View citations (123)

1999

69. A note on the long-run benefits from international equity diversification for a UK investor diversifying in the US equity market
    Applied Economics Letters, 1999, 6, (1), 49-53 View citations (14)

1998

70. Linkages between the US and European equity markets: further evidence from cointegration tests
    Applied Financial Economics, 1998, 8, (6), 607-614 View citations (80)
    See also Working Paper Linkages between the US and European Equity Markets: Further Evidence from cointegration Tests, Working Papers View citations (73)
71. Long-run benefits from international equity diversification: a note on the Canadian evidence
    Applied Economics Letters, 1998, 5, (10), 659-663 View citations (8)
72. Testing for a unit root in ERM exchange rates in the presence of structural breaks: evidence from the bootstrap
    Applied Economics Letters, 1998, 5, (7), 407-410 View citations (13)
73. Volatility spillovers across equity markets: European evidence
    Applied Financial Economics, 1998, 8, (3), 245-256 View citations (77)

1997

74. Is economic exposure asymmetric between long-run depreciations and appreciations? Testing using cointegration analysis
    Journal of Multinational Financial Management, 1997, 7, (1), 27-42 View citations (17)
75. Nonlinear dependence in British pound exchange rates
    Applied Economics Letters, 1997, 4, (10), 631-633 View citations (1)
76. The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis
    Applied Financial Economics, 1997, 7, (6), 587-598 View citations (5)

Chapters

2024

1. Can Super-Efficiencies Improve Bias Correction? A Bayesian Data Envelopment Analysis Approach
   Springer

2021

2. Monetary Policy and Systemic Risk: U.S. Evidence
   Springer

2001

3. NEURAL NETWORK VS LINEAR MODELS OF STOCK RETURNS: AN APPLICATION TO THE UK AND GERMAN STOCK MARKET INDICES
   Chapter 12 in Fuzzy Sets In Management, Economics And Marketing, 2001, pp 181-193