Details about Spyros Spyrou

Access statistics for papers by Spyros Spyrou.

Last updated 2023-04-06. Update your information in the RePEc Author Service.

Short-id: psp77

Working Papers

2019

1. Could Market Making be Profitable in The European Carbon Market?
   Post-Print, HAL View citations (2)

2018

2. The impact of conventional and unconventional monetary policy on expectations and sentiment
   Post-Print, HAL View citations (38)
   See also Journal Article The impact of conventional and unconventional monetary policy on expectations and sentiment, Journal of Banking & Finance, Elsevier (2018) View citations (42) (2018)

2017

3. Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis
   Post-Print, HAL View citations (16)
   See also Journal Article Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis, Energy Economics, Elsevier (2017) View citations (16) (2017)

2016

4. Bond market investor herding: Evidence from the European financial crisis
   Post-Print, HAL View citations (26)
   See also Journal Article Bond market investor herding: Evidence from the European financial crisis, International Review of Financial Analysis, Elsevier (2016) View citations (26) (2016)
5. Herd behavior and equity market liquidity: Evidence from major markets
   Post-Print, HAL View citations (27)
   See also Journal Article Herd behavior and equity market liquidity: Evidence from major markets, International Review of Financial Analysis, Elsevier (2016) View citations (34) (2016)
6. Sovereign CDS Spread Determinants and Spill-Over Effects
   Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences View citations (28)
7. Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach
   Post-Print, HAL View citations (47)
   See also Journal Article Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach, Journal of Financial Stability, Elsevier (2016) View citations (52) (2016)

2015

8. Herding on fundamental information: A comparative study
   Post-Print, HAL View citations (105)
   See also Journal Article Herding on fundamental information: A comparative study, Journal of Banking & Finance, Elsevier (2015) View citations (108) (2015)

2014

9. Trading in option contracts before large price changes: A comparative study of US and UK markets
   Post-Print, HAL View citations (1)

2012

10. Trading before stock price shocks: An empirical analysis using stock option trading volume
    Post-Print, HAL
    Also in Post-Print, HAL (2012)

2011

11. Informed trading before stock price shocks: An empirical analysis using stock option trading volume
    Post-Print, HAL

2008

12. Short-term patterns in government bond returns following market shocks: International evidence
    Post-Print, HAL View citations (7)
    See also Journal Article Short-term patterns in government bond returns following market shocks: International evidence, International Review of Financial Analysis, Elsevier (2008) View citations (7) (2008)

2007

13. Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange
    Post-Print, HAL View citations (10)
    See also Journal Article Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange, Applied Financial Economics, Taylor & Francis Journals (2007) View citations (17) (2007)

2006

14. Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?
    Post-Print, HAL View citations (6)
15. The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach
    Post-Print, HAL View citations (1)
    See also Journal Article The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach, Applied Financial Economics, Taylor & Francis Journals (2006) View citations (2) (2006)

2005

16. Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange
    Post-Print, HAL View citations (33)
    See also Journal Article Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange, European Financial Management, European Financial Management Association (2005) View citations (35) (2005)

2003

17. Profits From Buying Losers And Selling Winners In The London Stock Exchange
    Post-Print, HAL View citations (2)

Journal Articles

2021

1. The impact of monetary policy on income inequality: evidence from Eurozone markets
   Journal of Economic Studies, 2021, 49, (3), 522-540

2020

2. An early warning system for predicting systemic banking crises in the Eurozone: A logit regression approach
   Journal of Economic Behavior & Organization, 2020, 172, (C), 344-363 View citations (20)
3. Momentum return volatility, uncertainty, and energy prices: evidence from major international equity markets
   Review of Behavioral Finance, 2020, 12, (4), 411-433
4. Monetary policy and herd behavior: International evidence
   Journal of Economic Behavior & Organization, 2020, 170, (C), 386-417 View citations (14)

2018

5. The impact of conventional and unconventional monetary policy on expectations and sentiment
   Journal of Banking & Finance, 2018, 86, (C), 1-20 View citations (42)
   See also Working Paper The impact of conventional and unconventional monetary policy on expectations and sentiment, Post-Print (2018) View citations (38) (2018)

2017

6. Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis
   Energy Economics, 2017, 66, (C), 217-227 View citations (16)
   See also Working Paper Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis, Post-Print (2017) View citations (16) (2017)

2016

7. Bond market investor herding: Evidence from the European financial crisis
   International Review of Financial Analysis, 2016, 48, (C), 367-375 View citations (26)
   See also Working Paper Bond market investor herding: Evidence from the European financial crisis, Post-Print (2016) View citations (26) (2016)
8. Herd behavior and equity market liquidity: Evidence from major markets
   International Review of Financial Analysis, 2016, 48, (C), 140-149 View citations (34)
   See also Working Paper Herd behavior and equity market liquidity: Evidence from major markets, Post-Print (2016) View citations (27) (2016)
9. Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach
   Journal of Financial Stability, 2016, 26, (C), 62-77 View citations (52)
   See also Working Paper Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach, Post-Print (2016) View citations (47) (2016)
10. The equity premium puzzle: new evidence on the optimal holding period and optimal asset allocation
    Review of Behavioral Finance, 2016, 8, (1), 39-57 View citations (4)

2015

11. Herding on fundamental information: A comparative study
    Journal of Banking & Finance, 2015, 50, (C), 589-598 View citations (108)
    See also Working Paper Herding on fundamental information: A comparative study, Post-Print (2015) View citations (105) (2015)

2014

12. Conference calls around merger and acquisition announcements: Do they reduce information asymmetry? UK Evidence
    Research in International Business and Finance, 2014, 30, (C), 148-172 View citations (6)

2013

13. Herding in financial markets: a review of the literature
    Review of Behavioral Finance, 2013, 5, (2), 175-194 View citations (77)

2012

14. Sentiment changes, stock returns and volatility: evidence from NYSE, AMEX and NASDAQ stocks
    Applied Financial Economics, 2012, 22, (19), 1631-1646 View citations (11)

2011

15. Are broad market shocks anticipated by investors? Evidence from major equity and index options markets
    International Review of Financial Analysis, 2011, 20, (3), 127-133 View citations (2)
16. Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets
    Journal of Futures Markets, 2011, 31, (8), 703-726 View citations (8)

2010

17. Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model
    Accounting and Finance, 2010, 50, (1), 143-169 View citations (5)
18. Value at risk models for volatile emerging markets equity portfolios
    The Quarterly Review of Economics and Finance, 2010, 50, (4), 515-526 View citations (19)

2009

19. Measuring market risk for financial assets with moderate tail fatness: the case of global government bond portfolios
    International Journal of Decision Sciences, Risk and Management, 2009, 1, (3/4), 199-212
20. Time-variation in the value premium and the CAPM: evidence from European markets
    Applied Financial Economics, 2009, 19, (23), 1899-1914 View citations (1)

2008

21. Short-term patterns in government bond returns following market shocks: International evidence
    International Review of Financial Analysis, 2008, 17, (5), 903-924 View citations (7)
    See also Working Paper Short-term patterns in government bond returns following market shocks: International evidence, Post-Print (2008) View citations (7) (2008)

2007

22. Mergers and acquisitions of non-financial firms in Europe: the case of the Athens Stock Exchange
    Applied Economics Letters, 2007, 14, (7), 523-527 View citations (1)
23. Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange
    Applied Financial Economics, 2007, 17, (3), 221-235 View citations (17)
    See also Working Paper Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange, Post-Print (2007) View citations (10) (2007)

2006

24. The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach
    Applied Financial Economics, 2006, 16, (18), 1317-1329 View citations (2)
    See also Working Paper The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach, Post-Print (2006) View citations (1) (2006)

2005

25. Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange
    European Financial Management, 2005, 11, (1), 71-98 View citations (35)
    See also Working Paper Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange, Post-Print (2005) View citations (33) (2005)
26. Index Futures Trading and Spot Price Volatility
    Journal of Emerging Market Finance, 2005, 4, (2), 151-167 View citations (9)

2004

27. Are stocks a good hedge against inflation? evidence from emerging markets
    Applied Economics, 2004, 36, (1), 41-48 View citations (26)
28. Return Predictability, Contrarian & Momentum Profits:The Case of the Athens Stock Exchange
    Ekonomia, 2004, 7, (1), 56-72

2003

29. Fundamental variables and the cross-section of expected stock returns: the case of Hong Kong
    Applied Economics Letters, 2003, 10, (5), 307-310 View citations (6)

2001

30. Stock and credit market expansion and economic development in emerging markets: further evidence utilizing cointegration analysis
    Applied Economics, 2001, 33, (8), 1057-1064 View citations (11)
31. Stock returns and inflation: evidence from an emerging market
    Applied Economics Letters, 2001, 8, (7), 447-450 View citations (12)

1999

32. Common Stochastic Trends in Emerging Equity Markets
    Manchester School, 1999, 67, (6), 649-660 View citations (7)
33. Financial liberalization or financial repression? The case of the Greek equity market
    Journal of Balkan and Near Eastern Studies, 1999, 1, (1), 65-76

Chapters

2020

1. The Impact of Unconventional Monetary Policy Shocks on Energy Prices
   Chapter 29 in HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, 2020, pp 743-764 View citations (1)