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Theoharry Grammatikos

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Forecasting Distress in European SME Portfolios," MPRA Paper 53572, University Library of Munich, Germany.

    Cited by:

    1. Kayikci, Yasanur & Kazancoglu, Yigit & Gozacan-Chase, Nazlican & Lafci, Cisem & Batista, Luciano, 2022. "Assessing smart circular supply chain readiness and maturity level of small and medium-sized enterprises," Journal of Business Research, Elsevier, vol. 149(C), pages 375-392.
    2. Calabrese, Raffaella, 2023. "Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data," European Journal of Operational Research, Elsevier, vol. 305(2), pages 989-997.
    3. Francesco Ciampi & Alessandro Giannozzi & Giacomo Marzi & Edward I. Altman, 2021. "Rethinking SME default prediction: a systematic literature review and future perspectives," Scientometrics, Springer;Akadémiai Kiadó, vol. 126(3), pages 2141-2188, March.
    4. Mascia, Danilo V. & Rossi, Stefania P.S., 2017. "Is there a gender effect on the cost of bank financing?," Journal of Financial Stability, Elsevier, vol. 31(C), pages 136-153.
    5. Cathcart, Lara & Dufour, Alfonso & Rossi, Ludovico & Varotto, Simone, 2020. "The differential impact of leverage on the default risk of small and large firms," Journal of Corporate Finance, Elsevier, vol. 60(C).
    6. Sander Lammers & Massimo Giuliodori & Robert Schmitz & Adam Elbourne, 2023. "Bank Funding, SME lending and Risk Taking," CPB Discussion Paper 447, CPB Netherlands Bureau for Economic Policy Analysis.
    7. Andreeva, Galina & Calabrese, Raffaella & Osmetti, Silvia Angela, 2016. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 506-516.
    8. Ramzi Benkraiem & Mondher Bouattour & Emilios Galariotis & Anthony Miloudi, 2021. "Do investors in SMEs herd? Evidence from French and UK equity markets," Small Business Economics, Springer, vol. 56(4), pages 1619-1637, April.
    9. Elena Gregova & Katarina Valaskova & Peter Adamko & Milos Tumpach & Jaroslav Jaros, 2020. "Predicting Financial Distress of Slovak Enterprises: Comparison of Selected Traditional and Learning Algorithms Methods," Sustainability, MDPI, vol. 12(10), pages 1-17, May.
    10. Michal Karas & Mária Režòáková, 2023. "A novel approach to estimating the debt capacity of European SMEs," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 18(2), pages 551-581, June.
    11. María A. Ramón-Jerónimo & Inés Herrero, 2017. "Capturing Firms’ Heterogeneity through Marketing and IT Capabilities in SMEs," Sustainability, MDPI, vol. 9(12), pages 1-25, November.
    12. Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2019. "Measuring expected time to default under stress conditions for corporate loans," Empirical Economics, Springer, vol. 57(1), pages 31-52, July.
    13. Carmen Gallucci & Rosalia Santullli & Michele Modina & Vincenzo Formisano, 2023. "Financial ratios, corporate governance and bank-firm information: a Bayesian approach to predict SMEs’ default," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 27(3), pages 873-892, September.
    14. Jones, Stewart & Wang, Tim, 2019. "Predicting private company failure: A multi-class analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 161-188.
    15. Lisa Crosato & Caterina Liberati & Marco Repetto, 2021. "Look Who's Talking: Interpretable Machine Learning for Assessing Italian SMEs Credit Default," Papers 2108.13914, arXiv.org, revised Sep 2021.
    16. Iván Arribas & Emili Tortosa-Ausina & TingTing Zhu, 2021. "Optimal capital structure, model uncertainty, and European SMEs," Working Papers 2021/11, Economics Department, Universitat Jaume I, Castellón (Spain).
    17. Nyitrai, Tamás & Virág, Miklós, 2019. "The effects of handling outliers on the performance of bankruptcy prediction models," Socio-Economic Planning Sciences, Elsevier, vol. 67(C), pages 34-42.
    18. Nagendra Kumar Sharma & Kannan Govindan & Kuei Kuei Lai & Wen Kuo Chen & Vimal Kumar, 2021. "The transition from linear economy to circular economy for sustainability among SMEs: A study on prospects, impediments, and prerequisites," Business Strategy and the Environment, Wiley Blackwell, vol. 30(4), pages 1803-1822, May.
    19. Chris Charalambous & Spiros H. Martzoukos & Zenon Taoushianis, 2022. "Estimating corporate bankruptcy forecasting models by maximizing discriminatory power," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 297-328, January.
    20. David Alaminos & Agustín del Castillo & Manuel Ángel Fernández, 2016. "A Global Model for Bankruptcy Prediction," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-18, November.
    21. Fernández-Gámez, Manuel Ángel & Soria, Juan Antonio Campos & Santos, José António C. & Alaminos, David, 2020. "European country heterogeneity in financial distress prediction: An empirical analysis with macroeconomic and regulatory factors," Economic Modelling, Elsevier, vol. 88(C), pages 398-407.
    22. Sergiy Rakhmayil, 2018. "Evidence On The Effect Of Financial Distress On Corporate Organizational Structure From A Managerial Qualifications Perspective," International Journal of Management and Marketing Research, The Institute for Business and Finance Research, vol. 11(1), pages 1-17.

  2. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Pricing Default Risk: The Good, The Bad, and The Anomaly," MPRA Paper 53373, University Library of Munich, Germany.

    Cited by:

    1. Zaafri A. Husodo & M. Budi Prasetyo & Rizky Luxianto & Theresia Silitonga & Januar Hafidz & M. Harris Muhajir & Inna Firindra, 2018. "Mispricing And Risk Taking In The Indonesian Stock Market," Working Papers WP/28/2018, Bank Indonesia.
    2. Corvino, Raffaele & Ruggiero, Francesco, 2021. "The relative pricing of sovereign credit risk after the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 112(C).
    3. Leonardo Becchetti & Rocco Ciciretti & Ambrogio D'Alò, 2016. "Fishing the Corporate Social Responsibility Risk Factors," CEIS Research Paper 368, Tor Vergata University, CEIS, revised 07 Feb 2017.
    4. Sha, Yezhou, 2022. "Rating manipulation and creditworthiness for platform economy: Evidence from peer-to-peer lending," International Review of Financial Analysis, Elsevier, vol. 84(C).
    5. Nedumparambil, Elizabeth & Bhandari, Anup Kumar, 2020. "Credit risk – Return puzzle: Evidence from India," Economic Modelling, Elsevier, vol. 92(C), pages 195-206.
    6. Paolo Capelli & Federica Ielasi & Angeloantonio Russo, 2021. "Forecasting volatility by integrating financial risk with environmental, social, and governance risk," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(5), pages 1483-1495, September.
    7. Lanlan Liu & Dan Luo & Liang Han, 2019. "Default risk, state ownership and the cross-section of stock returns: evidence from China," Review of Quantitative Finance and Accounting, Springer, vol. 53(4), pages 933-966, November.

  3. Chouliaras, Andreas & Grammatikos, Theoharry, 2014. "Extreme Returns in the European Financial Crisis," MPRA Paper 58978, University Library of Munich, Germany.

    Cited by:

    1. Ana Brochado, 2016. "Investor attention and Portuguese stock market volatility: We’ll google it for you!," EcoMod2016 9345, EcoMod.
    2. Chouliaras, Andreas, 2015. "Institutional Investors, Annual Reports, Textual Analysis and Stock Returns: Evidence from SEC EDGAR 10-K and 13-F Forms," MPRA Paper 65875, University Library of Munich, Germany.
    3. Masahiro Inoguchi, 2021. "The impact of foreign capital flows on long‐term interest rates in emerging and advanced economies," Review of International Economics, Wiley Blackwell, vol. 29(2), pages 268-295, May.
    4. Chouliaras, Andreas, 2015. "The Pessimism Factor: SEC EDGAR Form 10-K Textual Analysis and Stock Returns," MPRA Paper 65585, University Library of Munich, Germany.

  4. Theoharry Grammatikos, & Nikolaos I. Papanikolaou, 2013. "What lies behind the (Too-Small-To-Survive) banks?," DEM Discussion Paper Series 13-12, Department of Economics at the University of Luxembourg.

    Cited by:

    1. François Maniquet & Massimo Morelli, 2015. "Approval quorums dominate participation quorums," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 45(1), pages 1-27, June.
    2. Jean J. Gabszewicz & Skerdilajda Zanaj, 2015. "(Un)stable vertical collusive agreements," Canadian Journal of Economics, Canadian Economics Association, vol. 48(3), pages 924-939, August.
    3. Cristina Pardo-Garcia & Jose Sempere-Monerris, 2015. "Equilibrium mergers in a composite good industry with efficiencies," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 6(1), pages 101-127, March.
    4. RUSSO, Federica & MOUCHART, Michel & WUNSCH, Guillaume, 2013. "Confounding and control in a multivariate system. An issue in causal attribution," LIDAM Discussion Papers CORE 2013068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. DI SUMMA, Marco, 2013. "The convex hull of the all-different system with the inclusion property: a simple proof," LIDAM Discussion Papers CORE 2013069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  5. Dimitra Michala & Theoharry Grammatikos & Sara Ferreira Filipe, 2013. "Forecasting distress in European SME portfolios," DEM Discussion Paper Series 13-2, Department of Economics at the University of Luxembourg.

    Cited by:

    1. Andreeva, Galina & Calabrese, Raffaella & Osmetti, Silvia Angela, 2016. "A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 506-516.
    2. Lisa Crosato & Caterina Liberati & Marco Repetto, 2021. "Look Who's Talking: Interpretable Machine Learning for Assessing Italian SMEs Credit Default," Papers 2108.13914, arXiv.org, revised Sep 2021.

  6. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.

    Cited by:

    1. Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
    2. Ana Brochado, 2016. "Investor attention and Portuguese stock market volatility: We’ll google it for you!," EcoMod2016 9345, EcoMod.
    3. Chouliaras, Andreas, 2016. "The Effect of Infomation on Financial Markets: A Survey," MPRA Paper 71396, University Library of Munich, Germany.
    4. Chouliaras, Andreas, 2015. "High Frequency Newswire Textual Sentiment: Evidence from international stock markets during the European Financial Crisis," MPRA Paper 62524, University Library of Munich, Germany.

  7. Yoichi Otsubo & Theoharry Grammatikos & Thorsten Lehnert, 2012. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," LSF Research Working Paper Series 12-14, Luxembourg School of Finance, University of Luxembourg.

    Cited by:

    1. Corbet, Shaen & Dunne, John James & Larkin, Charles, 2019. "Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United States," Research in International Business and Finance, Elsevier, vol. 48(C), pages 321-334.
    2. Bergman, U. Michael & Hutchison, Michael M. & Hougaard Jensen, Svend E., 2019. "European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area?," European Journal of Political Economy, Elsevier, vol. 57(C), pages 3-21.
    3. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
    4. Kräussl, Roman & Lehnert, Thorsten & Senulytė, Sigita, 2016. "Euro crash risk," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 417-428.
    5. Corbet, Shaen & Cumming, Douglas J. & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "Have crisis-induced banking supports influenced European bank performance, resilience and price discovery?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    6. Samargandi, Nahla & Kutan, Ali M., 2016. "Private credit spillovers and economic growth: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 56-84.

  8. Yoichi Otsubo & Theoharry Grammatikos & Thorsten Lehnert, 2012. "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," DEM Discussion Paper Series 12-14, Department of Economics at the University of Luxembourg.

    Cited by:

    1. Yutao Han & Patrice Pieretti & Benteng Zou, 2013. "The Dynamics of the Location of Firms – A Revisit of Home-Attachment under Tax Competition," DEM Discussion Paper Series 13-15, Department of Economics at the University of Luxembourg.

  9. Theoharry Grammatikos & Robert Vermeulen, 2012. "The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity," LSF Research Working Paper Series 12-8, Luxembourg School of Finance, University of Luxembourg.

    Cited by:

    1. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017. "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 371-385.
    2. Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2014. "Doom-loops: The Role of Rating Agencies in the Euro Financial Crisis," Discussion Papers in Economics 14/16, Division of Economics, School of Business, University of Leicester.
    3. Heather D Gibson & Stephen G Hall & Deborah GeFang & Pavlos Petroulas & George S Tavlas, 2021. "Cross-country spillovers of national financial markets and the effectiveness of ECB policies during the euro-area crisis," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1454-1470.
    4. Sami Ben Jabeur & Rabi Belhaj Hassine & Salma Mefteh‐Wali, 2021. "Firm financial performance during the financial crisis: A French case study," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2800-2812, April.

  10. Theoharry Grammatikos & Robert Vermeulen, 2012. "The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity," DEM Discussion Paper Series 12-8, Department of Economics at the University of Luxembourg.

    Cited by:

    1. Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2014. "Doom-loops: The Role of Rating Agencies in the Euro Financial Crisis," Discussion Papers in Economics 14/16, Division of Economics, School of Business, University of Leicester.

  11. Theoharry Grammatikos & Robert Vermeulen, 2010. "Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates," LSF Research Working Paper Series 10-13, Luxembourg School of Finance, University of Luxembourg.

    Cited by:

    1. Tola, Albi & Wälti, Sébastien, 2012. "Deciphering financial contagion in the euro area during the crisis," MPRA Paper 49251, University Library of Munich, Germany.
    2. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
    3. Kae-Yih Tzeng & Joseph Chang Pying Shieh, 2016. "The transmission from equity markets to commodity markets in crises periods," Applied Economics, Taylor & Francis Journals, vol. 48(48), pages 4666-4689, October.
    4. Erica Perego, 2018. "Sovereign Risk and Asset Market Dynamics in the Euro Area," Working Papers 2018-18, CEPII research center.
    5. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2014. "Forecasting Distress in European SME Portfolios," MPRA Paper 53572, University Library of Munich, Germany.
    6. Rim Ammar Lamouchi & Ruba Khalid Shira, 2023. "Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(3), pages 1-3.
    7. Narayan, Paresh Kumar, 2015. "An analysis of sectoral equity and CDS spreads," Working Papers fe_2015_02, Deakin University, Department of Economics.
    8. Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.
    9. Gülin Vardar & Yener Coşkun & Tezer Yelkenci, 2018. "Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 231-288, August.
    10. Jean-Pierre Allegret & Hélène Raymond & Houda Rharrabti, 2017. "The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe," Post-Print hal-01589269, HAL.
    11. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 167-177.
    12. Jean-Pierre Allegret & Hélène Raymond & Houda Rharrabti, 2014. "The impact of the global and eurozone crises on European banks stocks Some evidence of shift contagion," Working Papers hal-04141339, HAL.
    13. Wang, Alan T. & Yang, Sheng-Yung & Yang, Nien-Tzu, 2013. "Information transmission between sovereign debt CDS and other financial factors – The case of Latin America," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 586-601.
    14. Thuraisamy, Kannan & Sharma, Susan S. & Ahmed, Huson Ali, 2012. "The relationship between Asian equity and commodity futures markets," Working Papers fe_2012_07, Deakin University, Department of Economics.
    15. Erica R. PEREGO & Wessel N. VERMEULEN, 2013. "Macroeconomic determinants of European stock and government bond correlations: A tale of two regions," LIDAM Discussion Papers IRES 2013013, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    16. Babecký, Jan & Havránek, Tomáš & Matĕjů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2012. "Leading indicators of crisis incidence: evidence from developed countries," Working Paper Series 1486, European Central Bank.
    17. Mustafa Tevfik KARTAL, 2022. "The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-164, April.
    18. Alexandros Skouralis, 2021. "Systemic Risk Spillovers Across the EURO Area," Working Papers 326919507, Lancaster University Management School, Economics Department.
    19. Hübel, Benjamin, 2022. "Do markets value ESG risks in sovereign credit curves?," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 134-148.
    20. Hervé Alexandre & François Guillemin & Catherine Refait-Alexandre, 2015. "Disclosure, banks CDS spreads and the European sovereign crisis," Working Papers 2015-10, CRESE.
    21. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
    22. Jean-Pierre Allegret & Hélène Raymond & Houda Rharrabti, 2016. "The Impact of the Eurozone Crisis on European Banks Stocks Contagion or Interdependence?," Post-Print hal-01659719, HAL.
    23. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    24. Jitmaneeroj, Boonlert, 2018. "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 282-298.
    25. Weitzel, Utz & Kling, Gerhard & Gerritsen, Dirk, 2014. "Testing the fire-sale FDI hypothesis for the European financial crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 211-234.
    26. Ehrmann, Michael & Jansen, David-Jan, 2020. "Stock return comovement when investors are distracted: more, and more homogeneous," Working Paper Series 2412, European Central Bank.
    27. Chopra, Monika & Mehta, Chhavi, 2022. "Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis," Journal of Asian Economics, Elsevier, vol. 79(C).
    28. Dungey, Mardi & Flavin, Thomas J. & Lagoa-Varela, Dolores, 2020. "Are banking shocks contagious? Evidence from the eurozone," Journal of Banking & Finance, Elsevier, vol. 112(C).
    29. Sercan Demiralay & Veysel Ulusoy, 2017. "How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?," Manchester School, University of Manchester, vol. 85(6), pages 765-794, December.
    30. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
    31. Kim, Suk-Joong & Salem, Leith & Wu, Eliza, 2015. "The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China," Journal of Financial Stability, Elsevier, vol. 18(C), pages 208-224.
    32. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    33. Anna Spoz & Ilona Skibinska-Fabrowska & Grzegorz Kotlinski & Helena Zukowska, 2021. "The Impact of the Covid-19 Pandemic on the Financial Performance of Public Companies in Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 955-976.
    34. Zunino, Luciano & Bariviera, Aurelio F. & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2016. "Monitoring the informational efficiency of European corporate bond markets with dynamical permutation min-entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 1-9.
    35. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.
    36. Muhammad Owais Qarni & Saqib Gulzar, 2020. "Intra-EMU and non-EMU, EU stock markets’ return spillover: evidence from ESDC," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(3), pages 543-577, August.
    37. Jan Babecký & Tomáš Havránek & Jakub Matìjù & Marek Rusnák & Kateøina Šmídková & Boøek Vašíèek, 2011. "Early Warning Indicators of Crisis Incidence: Evidence from a Panel of 40 Developed Countries," Working Papers IES 2011/36, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2011.
    38. Chien-Lung Hsu & Chun-Hao Chiang, 2015. "The financial crisis research: a bibliometric analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 105(1), pages 161-177, October.
    39. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
    40. Wu, Lei & Zeng, Hongchao, 2019. "The impact of liquidity constraints on the cash-futures basis dynamics: Evidence from the Chinese market," Economic Modelling, Elsevier, vol. 83(C), pages 96-110.
    41. Mirdala, Rajmund & Ruščáková, Anna, 2015. "On Origins and Implications of the Sovereign Debt Crisis in the Euro Area," MPRA Paper 68859, University Library of Munich, Germany.
    42. Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2018. "Asymmetric Causality between Unemployment Rate and House Prices in each State of the U.S," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 71-92.
    43. Jan Babecky & Tomas Havranek & Jakub Mateju & Marek Rusnak & Katerina Smidkova & Borek Vasicek, 2012. "Early Warning Indicators of Economic Crises," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2011/2012, chapter 0, pages 112-117, Czech National Bank.
    44. Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
    45. Pami Dua & Divya Tuteja, 2017. "Impact Of Eurozone Sovereign Debt Crisis On China And India," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(05), pages 1137-1164, December.
    46. David‐Jan Jansen, 2021. "The International Spillovers of the 2010 U.S. Flash Crash," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1573-1586, September.
    47. Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
    48. Hong-Ghi Min & Judith A. McDonald & Sang-Ook Shin, 2016. "What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 365-402, November.
    49. MacDonald, Ronald & Sogiakas, Vasilios & Tsopanakis, Andreas, 2018. "Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 17-36.
    50. Roman Kräussl & Luiz Félix & Philip Stork, 2014. "The 2011 European Short Sale Ban: An Option Market Perspective," LSF Research Working Paper Series 14-02, Luxembourg School of Finance, University of Luxembourg.
    51. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets," Economic Modelling, Elsevier, vol. 52(PB), pages 981-996.
    52. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2022. "Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis," Research in International Business and Finance, Elsevier, vol. 59(C).
    53. Félix, Luiz & Kräussl, Roman & Stork, Philip, 2016. "The 2011 European short sale ban: A cure or a curse?," Journal of Financial Stability, Elsevier, vol. 25(C), pages 115-131.
    54. Bijlsma, Melle & Vermeulen, Robert, 2016. "Insurance companies’ trading behaviour during the European sovereign debt crisis: Flight home or flight to quality?," Journal of Financial Stability, Elsevier, vol. 27(C), pages 137-154.
    55. Orlowski, Lucjan T., 2016. "Co-movements of non-Euro EU currencies with the Euro," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 376-383.
    56. Britta Niehof, 2014. "Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model," MAGKS Papers on Economics 201458, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    57. Skouralis, Alexandros, 2021. "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series 129, European Systemic Risk Board.
    58. Heimonen, Kari & Junttila, Juha & Kärkkäinen, Samu, 2017. "Stock market and exchange rate information in the Taylor rule: Evidence from OECD countries," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 1-18.
    59. Katarzyna Sum, 2013. "The Impact of Banking Regulation on the Economic Performance of EU Countries in 2007-2009," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 5-19.
    60. Aurelio Fernández Bariviera & M. Belén Guercio & Lisana B. Martinez, 2014. "Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds," The Economic and Social Review, Economic and Social Studies, vol. 45(3), pages 349-369.
    61. Anna Diamantopoulou & Kyriakos Pierrakakis, 2019. "Work Values in Politics: The European Union Debt Crisis as a Case Study," The ANNALS of the American Academy of Political and Social Science, , vol. 682(1), pages 222-233, March.
    62. Yingying HAN & Xiang ZHOU, 2017. "The Relationship between Stock and Exchange Rates for BRICS Countries Pre - and Post - Crisis: A Mixed C - VINE Copula Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 38-59, March.
    63. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    64. Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016. "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, vol. 86(C), pages 1-15.
    65. Mekki Hamdaoui & Samir Maktouf, 2019. "Overall effects of financial liberalization: financial crisis versus economic growth," International Review of Applied Economics, Taylor & Francis Journals, vol. 33(4), pages 568-595, July.
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    67. Sawsen Bouker & Faysal Mansouri, 2022. "Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 158(2), pages 615-711, May.
    68. Ters, Kristyna & Urban, Jörg, 2018. "Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 123-142.
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    70. Saker Sabkha & Christian de Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
    71. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
    72. Riadh El Abed & Sahar Boukadida & Warda Jaidane, 2019. "Financial Stress Transmission from Sovereign Credit Market to Financial Market: A Multivariate FIGARCH-DCC Approach," Global Business Review, International Management Institute, vol. 20(5), pages 1122-1140, October.
    73. Kick, Thomas & Ruprecht, Benedikt & Onali, Enrico & Schaeck, Klaus, 2014. "Wealth shocks, credit-supply shocks, and asset allocation: Evidence from household and firm portfolios," Discussion Papers 07/2014, Deutsche Bundesbank.
    74. Alexandros Skouralis, 2023. "The Role of Systemic Risk Spillovers in the Transmission of Euro Area Monetary Policy," Open Economies Review, Springer, vol. 34(5), pages 1079-1106, November.
    75. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    76. Gündüz, Yalin & Kaya, Orcun, 2014. "Impacts of the financial crisis on eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 425-442.
    77. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
    78. Meier, Samira & Rodriguez Gonzalez, Miguel & Kunze, Frederik, 2021. "The global financial crisis, the EMU sovereign debt crisis and international financial regulation: lessons from a systematic literature review," International Review of Law and Economics, Elsevier, vol. 65(C).
    79. Mateus, Cesario & Chinthalapati, Raju & Mateus, Irina B., 2017. "Intraday industry-specific spillover effect in European equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 278-298.
    80. Cepoi, Cosmin-Octavian, 2020. "Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil," Finance Research Letters, Elsevier, vol. 36(C).
    81. Prayer M. Rikhotso & Beatrice D. Simo-Kengne, 2022. "Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries," JRFM, MDPI, vol. 15(3), pages 1-22, February.
    82. Swamy, Vighneswara, 2020. "Macroeconomic transmission of Eurozone shocks to India—A mean-adjusted Bayesian VAR approach," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 126-150.
    83. Kae-Yih Tzeng & Christina Tay, 2014. "Transmission of the U.S. Subprime Crisis and the European Sovereign Debt Crisis to Emerging Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 4(3), pages 1-12.
    84. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2020. "Systemic risk and financial stability dynamics during the Eurozone debt crisis," Journal of Financial Stability, Elsevier, vol. 47(C).

  12. Theoharry Grammatikos & Anthony Saunders, 1988. "Additions to bank loan-loss reserves: good news or bad news?," Working Papers 89-7, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
    2. Sabyasachi Mohapatra & Arun Kumar Misra & Marimuthu Murali Kannan, 2020. "Risk factors explaining returns anomaly in emerging market banks – study on Indian banking system," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 417-433, July.
    3. Kilic, Osman & Hassan, M. Kabir & Tufte, David, 2000. "Market efficiency, the Mexican peso crisis, and the US bank stock returns: An application of the event parameter method," Global Finance Journal, Elsevier, vol. 11(1-2), pages 73-86.
    4. John R. Walter, 1991. "Loan loss reserves," Economic Review, Federal Reserve Bank of Richmond, vol. 77(Jul), pages 20-30.
    5. Henk, Berkman & Rebel, Cole & Fu, Lawrence, 2005. "Agency Conflicts, Expropriation and Firm Value: Evidence from Securities-Market Regulation in China," MPRA Paper 52619, University Library of Munich, Germany.
    6. Andries, Kathleen & Gallemore, John & Jacob, Martin, 2017. "The effect of corporate taxation on bank transparency: Evidence from loan loss provisions," Journal of Accounting and Economics, Elsevier, vol. 63(2), pages 307-328.
    7. Mark M. Spiegel & Nobuyoshi Yamori, 2001. "The impact of Japan's financial stabilization laws on bank equity values," Pacific Basin Working Paper Series 2001-07, Federal Reserve Bank of San Francisco.
    8. Romila Qamar & Shahid Mansoor Hashmi & Mughees Tahir Bhalli, 2016. "Are Basel Capital Standards Implemented Successfully in Pakistan?," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(62), pages 119-152, December.
    9. Christopher C. Henderson, 1999. "The Economic Performance of African-American-Owned Banks: The Role of Loan Loss Provisions," American Economic Review, American Economic Association, vol. 89(2), pages 372-376, May.
    10. Panagiotis Staikouras & Christos Staikouras & Maria-Eleni Agoraki, 2007. "The effect of board size and composition on European bank performance," European Journal of Law and Economics, Springer, vol. 23(1), pages 1-27, February.
    11. Bozhechkova Alexandra & Trunin Pavel & Sinelnikova-Muryleva Elena & Petrova Diana & Chentsov Alexander, 2018. "Building of monetary and currency markets models," Research Paper Series, Gaidar Institute for Economic Policy, issue 175P, pages 1-96.
    12. Berkman, Henk & Cole, Rebel & Fu, Lawrence, 2008. "Political connections and minority-shareholder protection: Evidence from securities-market regulation in China," MPRA Paper 8087, University Library of Munich, Germany.
    13. Gomaa, Mohamed & Kanagaretnam, Kiridaran & Mestelman, Stuart & Shehata, Mohamed, 2021. "Test-bedding the new reporting standards for loan loss reserves," Journal of Economic Behavior & Organization, Elsevier, vol. 187(C), pages 225-245.
    14. Mouna Abdelhedi-Zouch & Achraf Ghorbel, 2016. "Islamic and conventional bank market value: Manager behavior and investor sentiment," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1164010-116, December.
    15. Kabir, M. Humayun & Hassan, M. Kabir, 2005. "The near-collapse of LTCM, US financial stock returns, and the fed," Journal of Banking & Finance, Elsevier, vol. 29(2), pages 441-460, February.
    16. Ramcharran, Harri, 1999. "The determinants of secondary market prices for developing country loans: the impact of country risk," Global Finance Journal, Elsevier, vol. 10(2), pages 173-186.
    17. Drobetz, Wolfgang & Erdmann, Thomas & Zimmermann, Heinz, 2007. "Predictability in the cross-section of European bank stock returns," Working papers 2007/21, Faculty of Business and Economics - University of Basel.
    18. Osman Kilic & M. Hassan & David Tufte, 1998. "An empirical investigation of U.S. bank risk and the Mexican peso crisis," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 139-147, June.
    19. Stergios Leventis & Panagiotis E. Dimitropoulos & Asokan Anandarajan, 2012. "Signalling by banks using loan loss provisions: the case of the European Union," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 39(5), pages 604-618, September.
    20. Kalotychou, Elena & Staikouras, Sotiris K., 2006. "An empirical investigation of the loan concentration risk in Latin America," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 363-384, October.
    21. P. Barrett Wheeler, 2021. "Unrecognized Expected Credit Losses and Bank Share Prices," Journal of Accounting Research, Wiley Blackwell, vol. 59(3), pages 805-866, June.
    22. Bornemann, Sven & Homölle, Susanne & Hubensack, Carsten & Kick, Thomas & Pfingsten, Andreas, 2009. "Determinants for using visible reserves in German banks: an empirical study," Discussion Paper Series 2: Banking and Financial Studies 2009,11, Deutsche Bundesbank.
    23. Nobuyuki Isagawa & Satoru Yamaguchi & Tadayasu Yamashita, 2010. "Debt Forgiveness And Stock Price Reaction Of Lending Banks: Theory And Evidence From Japan," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 267-287, September.
    24. Elijah Brewer & Hesna Genay & William C. Hunter & George G. Kaufman, 1999. "Does the Japanese stock market price bank risk? evidence from financial firm failures," Working Paper Series WP-99-31, Federal Reserve Bank of Chicago.
    25. Elijah Brewer & Hesna Genay & George G. Kaufman, 2003. "Banking relationships during financial distress: the evidence from Japan," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 27(Q III), pages 2-18.
    26. Elijah Brewer & William E. Jackson, 2002. "Inter-industry contagion and the competitive effects of financial distress announcements: evidence from commercial banks and life insurance companies," Working Paper Series WP-02-23, Federal Reserve Bank of Chicago.
    27. Michelle Zemel, 2018. "The Information Content of Loan Growth in Banks," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-32, June.
    28. Ghosh Saibal, 2015. "Provisioning, Bank Behavior and Financial Crisis: Evidence from GCC Banks," Review of Middle East Economics and Finance, De Gruyter, vol. 11(3), pages 249-275, December.
    29. Fatima Alali & Bikki Jaggi, 2011. "Earnings versus capital ratios management: role of bank types and SFAS 114," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 105-132, January.
    30. Dahl, Drew & Shrieves, Ronald E., 1999. "The extension of international credit by US banks: a disaggregated analysis, 1988-1994," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 153-167, January.
    31. Aharony, Joseph & Swary, Itzhak, 1996. "Additional evidence on the information-based contagion effects of bank failures," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 57-69, January.
    32. Michelle Clark Neely & David C. Wheelock, 1997. "Why does bank performance vary across states?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 27-40.
    33. Cooper, Michael J. & Jackson, William III & Patterson, Gary A., 2003. "Evidence of predictability in the cross-section of bank stock returns," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 817-850, May.
    34. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
    35. Dermine, J. & Neto de Carvalho, C., 2008. "Bank loan-loss provisioning, central bank rules vs. estimation: The case of Portugal," Journal of Financial Stability, Elsevier, vol. 4(1), pages 1-22, April.
    36. Andrew Cooke & Wendy Chapple, 1998. "Guilty by Association? The Case of The Karin B Scare," European Journal of Law and Economics, Springer, vol. 5(1), pages 5-12, January.
    37. Kanagaretnam, Kiridaran & Lobo, Gerald J. & Yang, Dong-Hoon, 2005. "Determinants of signaling by banks through loan loss provisions," Journal of Business Research, Elsevier, vol. 58(3), pages 312-320, March.

  13. Theoharry Grammatikos & Anthony Saunders & Itzhak Swary, 1986. "Returns and risks of U.S. bank foreign currency activities," Working Papers 86-2, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Mamatzakis, Emmanuel & Bermpei, Theodora, 2014. "What drives investment bank performance? The role of risk, liquidity and fees prior to and during the crisis," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 102-117.
    2. Adrian E. Tschoegl, 2000. "The Key to Risk Management: Management," Center for Financial Institutions Working Papers 99-42, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Joon-Ho Hahm, 2004. "Interest rate and exchange rate exposures of banking institutions in pre-crisis Korea," Applied Economics, Taylor & Francis Journals, vol. 36(13), pages 1409-1419.
    4. Chaudhry, Mukesh K. & Christie-David, Rohan & Koch, Timothy W. & Reichert, Alan K., 2000. "The risk of foreign currency contingent claims at US commercial banks," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1399-1417, September.
    5. Eric Wong & Jim Wong & Phyllis Leung, 2008. "The Foreign Exchange Exposure of Chinese Banks," Working Papers 0807, Hong Kong Monetary Authority.
    6. Wong, Tak-Chuen & Wong, Jim & Leung, Phyllis, 2009. "The foreign exchange exposure of Chinese banks," China Economic Review, Elsevier, vol. 20(2), pages 174-182, June.
    7. Mun, Kyung-Chun, 2016. "Hedging bank market risk with futures and forwards," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 112-125.
    8. Prasad, Anita Mehra & Rajan, Murli, 1995. "The role of exchange and interest risk in equity valuation: A comparative study of international stock markets," Journal of Economics and Business, Elsevier, vol. 47(5), pages 457-472, December.
    9. Xiangnan Meng & Xin Deng, 2013. "Interest Rate and Foreign Exchange Sensitivity of Bank Stock Returns: Evidence from China," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 77-106, March - J.
    10. Jongmoo Jay Choi & Elyas Elyasiani, 1996. "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks," Center for Financial Institutions Working Papers 96-53, Wharton School Center for Financial Institutions, University of Pennsylvania.
    11. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    12. Aykut Ekinci, 2016. "The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 427-434.
    13. Barbara A. Bliss & Jeffrey A. Clark & R. Jared DeLisle, 2018. "Bank risk, financial stress, and bank derivative use," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 804-821, July.
    14. Drobetz, Wolfgang & Erdmann, Thomas & Zimmermann, Heinz, 2007. "Predictability in the cross-section of European bank stock returns," Working papers 2007/21, Faculty of Business and Economics - University of Basel.
    15. Papadamou, Stephanos & Tzivinikos, Trifon, 2013. "The risk relevance of International Financial Reporting Standards: Evidence from Greek banks," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 43-54.
    16. Buch, Claudia M., 1999. "Capital Market Integration in Euroland - The Role of Banks," Kiel Working Papers 932, Kiel Institute for the World Economy (IfW Kiel).
    17. Jongmoo Choi & Elyas Elyasiani, 1997. "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 267-286, October.
    18. Mun, Kyung-Chun & Emir Morgan, George, 2003. "Bank foreign exchange and interest rate risk management: simultaneous versus separate hedging strategies," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 277-297, July.
    19. Martin, Anna D., 2000. "Exchange rate exposure of the key financial institutions in the foreign exchange market," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 267-286, July.
    20. Sandra Chamberlain & John S. Howe & Helen Popper, 1995. "The exchange rate exposure of U.S. and Japanese banking institutions," Pacific Basin Working Paper Series 95-11, Federal Reserve Bank of San Francisco.
    21. Kasman, Saadet & Vardar, Gülin & Tunç, Gökçe, 2011. "The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey," Economic Modelling, Elsevier, vol. 28(3), pages 1328-1334, May.
    22. Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.
    23. Woon Sau Leung & Nicholas Taylor, 2013. "Testing for contagion: the impact of US structured markets on international financial markets," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 11, pages 256-284, Edward Elgar Publishing.
    24. Gounopoulos, Dimitrios & Molyneux, Philip & Staikouras, Sotiris K. & Wilson, John O.S. & Zhao, Gang, 2013. "Exchange rate risk and the equity performance of financial intermediaries," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 271-282.
    25. Cooper, Michael J. & Jackson, William III & Patterson, Gary A., 2003. "Evidence of predictability in the cross-section of bank stock returns," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 817-850, May.

Articles

  1. Theoharry Grammatikos & Nikolaos I. Papanikolaou, 2021. "Applying Benford’s Law to Detect Accounting Data Manipulation in the Banking Industry," Journal of Financial Services Research, Springer;Western Finance Association, vol. 59(1), pages 115-142, April.

    Cited by:

    1. Luminița RUS & Daniela ZĂPODEANU & Carmen SCORȚE & Sorina MOCIAR-COROIU, 2022. "Indicators And 3r-Type Measures In Overcoming Financial Difficulties Of Companies," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 2(2), pages 153-165, December.
    2. Andrei V. Zenkov, 2021. "Stylometry and Numerals Usage: Benford’s Law and Beyond," Stats, MDPI, vol. 4(4), pages 1-18, December.
    3. de Araújo Silva, Archibald & Aparecida Gouvêa, Maria, 2023. "Study on the effect of sample size on type I error, in the first, second and first-two digits excessmad tests," International Journal of Accounting Information Systems, Elsevier, vol. 48(C).
    4. Katherine M. Anderson & Kevin Dayaratna & Drew Gonshorowski & Steven J. Miller, 2022. "A New Benford Test for Clustered Data with Applications to American Elections," Stats, MDPI, vol. 5(3), pages 1-15, August.
    5. Iqbal, Javid & Saeed, Abubakr, 2023. "Managerial sentiments, non-performing loans, and banks financial performance: A causal mediation approach," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).

  2. Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
    See citations under working paper version above.
  3. Filipe, Sara Ferreira & Grammatikos, Theoharry & Michala, Dimitra, 2016. "Forecasting distress in European SME portfolios," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 112-135.
    See citations under working paper version above.
  4. Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2016. "Pricing default risk: The good, the bad, and the anomaly," Journal of Financial Stability, Elsevier, vol. 26(C), pages 190-213.
    See citations under working paper version above.
  5. Grammatikos, Theoharry & Lehnert, Thorsten & Otsubo, Yoichi, 2015. "Market perceptions of US and European policy actions around the subprime crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 99-113.
    See citations under working paper version above.
  6. Fedenia, Mark & Grammatikos, Theoharry, 1993. "Risk premia and the ex-dividend stock price behavior : Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 17(4), pages 575-589, June.

    Cited by:

    1. Lynn Hodgkinson & Kevin Holland & Richard Jackson, 2006. "Dividend valuation, trading and transactions costs: the 1997 partial abolition of dividend tax credit repayments," Accounting and Business Research, Taylor & Francis Journals, vol. 36(4), pages 253-270.
    2. Aelee Jun & V. T. Alaganar & Graham Partington & Max Stevenson, 2008. "Price and Volume Behavior around the Ex‐dividend Day: Evidence on the Value of Dividends from American Depositary Receipts and their Underlying Australian Stocks," International Review of Finance, International Review of Finance Ltd., vol. 8(1‐2), pages 21-55, March.
    3. Hodgkinson, Lynn & Partington, Graham, 2013. "Capital gains tax, managed funds and the value of dividends: The case of New Zealand," The British Accounting Review, Elsevier, vol. 45(4), pages 271-283.
    4. Khamis Al Yahyaee & Toan Pham & Terry Walter, 2008. "Ex‐Dividend Day Behavior in the Absence of Taxes and Price Discreteness," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 103-123, September.
    5. Sorjonen, Pasi, 2002. "Ex-Dividend Day Behavior of Stock Prices in Finland in 1989-90 and 1993-97," Discussion Papers 674, The Research Institute of the Finnish Economy.
    6. Aelee Jun & David R. Gallagher & Graham H. Partington, 2011. "Institutional Dividend Clienteles Under an Imputation Tax System," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(1-2), pages 198-224, January.
    7. Sorjonen, Pasi, 2002. "Ex-Dividend Day Stock Returns and Tick Rules," Discussion Papers 675, The Research Institute of the Finnish Economy.
    8. Sorjonen, Pasi, . "Essays on Dividends and Taxes," ETLA A, The Research Institute of the Finnish Economy, number 30.
    9. Sorjonen, Pasi, 2002. "Ex-Dividend Day Stock Price Behavior, Taxes and Discrete Prices; A Simulation Experiment," Discussion Papers 676, The Research Institute of the Finnish Economy.
    10. Kai-Wei (Shaun) Siau & Stephen J. Sault & Geoffrey J. Warren & Henk Berkman, 2015. "Are imputation credits capitalised into stock prices?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 241-277, March.
    11. H. Chu & G. Partington, 2008. "The Market Valuation of Cash Dividends: The Case of the CRA Bonus Issue," International Review of Finance, International Review of Finance Ltd., vol. 8(1‐2), pages 1-20, March.

  7. Fedenia, Mark & Grammatikos, Theoharry, 1992. "Options Trading and the Bid-Ask Spread of the Underlying Stocks," The Journal of Business, University of Chicago Press, vol. 65(3), pages 335-351, July.

    Cited by:

    1. Evren Ors & Gordon J. Alexander & Mark A. Peterson & Paul J. Seguin, 2004. "Margin regulation and market quality: a microstructure analysis," Post-Print hal-00460981, HAL.
    2. Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwaric, 2013. "Revisiting The Financial Volatility – Derivative Products Relationship On Euronext. Liffe Using A Frequency Domain Analysis," Post-Print halshs-01368488, HAL.
    3. Phillips, Blake, 2011. "Options, short-sale constraints and market efficiency: A new perspective," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 430-442, February.
    4. Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "Modeling and Simulation of an Artificial Stock Option Market," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 37-53, September.
    5. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
    6. Maxime Charlebois & Stephen Sapp, 2007. "Temporal Patterns in Foreign Exchange Returns and Options," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 443-470, March.
    7. Bruce D. Niendorf & David R. Peterson, 1996. "The Cross-Sectional Effects Of Option Listing On Firm Stock Return Variances," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 515-539, December.
    8. Kabir, M.R., 1997. "New Evidence on Price and Volatility Effects of Stock Option Introductions," Discussion Paper 1997-37, Tilburg University, Center for Economic Research.
    9. Hiremath, Gourishankar S, 2009. "Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review," MPRA Paper 46512, University Library of Munich, Germany.
    10. Stewart Mayhew & Vassil Mihov, 2000. "Another Look at Option Listing Effects," Finance 0004002, University Library of Munich, Germany.
    11. James A. Clouse & Dale W. Henderson & Athanasios Orphanides & David H. Small & Peter A. Tinsley, 2000. "Monetary policy when the nominal short-term interest rate is zero," Finance and Economics Discussion Series 2000-51, Board of Governors of the Federal Reserve System (U.S.).
    12. C. José García Martín & Begoña Herrero Piqueras & Ana María Ibáñez Escribano, 2016. "The informational role of thin options markets: Empirical evidence from the Spanish case," Estudios de Economia, University of Chile, Department of Economics, vol. 43(2 Year 20), pages 233-263, December.
    13. Sina Badreddine & Emilios C. C Galariotis & Phil Holmes, 2012. "The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks," Post-Print hal-00956948, HAL.
    14. Asli Ascioglu & Murat Aydogdu & Lynn Phillips Kugele, 2013. "The Impact of Option Listing on the Trading Activity of Turkcell’s American Depository Receipt (ADR)," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 27(1), pages 1-18.
    15. de Jong, C.M., 2001. "Informed Option Trading Strategies," ERIM Report Series Research in Management ERS-2001-55-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    16. Thomas Kraus & Heinz Zimmermann, 2002. "Stock Option Listings:Information versus Liquidity Effects," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(I), pages 83-97, March.
    17. Chaudhury, Mohammed & Elfakhami, Said, 1997. "Listing of put options: Is there any volatility effect?," Review of Financial Economics, Elsevier, vol. 6(1), pages 57-75.
    18. Shih-Yung Wei & Li-Wei Lin & Surong Yan & Lu-jie Zhu, 2019. "Empirical Analysis on Price-Volume Relation in the Stock Market of China," International Journal of Economics and Financial Issues, Econjournals, vol. 9(5), pages 94-103.
    19. Mark D. Griffiths & Drew B. Winters, 1996. "The Relation Between The Federal Funds Cash And Futures Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 359-376, September.
    20. Sahlstrom, Petri, 2001. "Impact of stock option listings on return and risk characteristics in Finland," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 19-36.
    21. Bollen, Nicolas P. B., 1998. "A note on the impact of options on stock return volatility1," Journal of Banking & Finance, Elsevier, vol. 22(9), pages 1181-1191, September.
    22. Kabir, M.R., 2000. "The price and volatility effects of stock option introductions : A Reexamination," Other publications TiSEM 42b009c3-f316-42c6-8aed-a, Tilburg University, School of Economics and Management.
    23. Koedijk, Kees & de Jong, Cyriel & Schnitzlein, Charles, 2002. "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers 3173, C.E.P.R. Discussion Papers.
    24. Inmoo Lee & Rex Wang Renjie & Patrick Verwijmeren, 2023. "How Do Options Add Value? Evidence from the Convertible Bond Market," Review of Finance, European Finance Association, vol. 27(1), pages 189-222.
    25. Peter A. Tinsley, 1998. "Short rate expectations, term premiums, and central bank use of derivatives to reduce policy uncertainty," Finance and Economics Discussion Series 1999-14, Board of Governors of the Federal Reserve System (U.S.).
    26. Claudiu Tiberiu Albulescu & Daniel Goyeau, 2011. "Financial Volatility And Derivatives Products: A Bidirectional Relationship," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 2011, pages 57-69, july.
    27. Yossi Shvimer & Avi Herbon, 2020. "Tradability, closeness to market prices, and expected profit: their measurement for a binomial model of options pricing in a heterogeneous market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 737-762, July.
    28. Mazouz, Khelifa & Saadouni, Bharim, 2007. "New evidence on the price and liquidity effects of the FTSE 100 index revisions," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 223-241.
    29. Mazouz, Khelifa, 2004. "The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach," Journal of Empirical Finance, Elsevier, vol. 11(5), pages 695-708, December.
    30. Douglas J. Skinner, 1997. "Do Options Markets Improve Informational Efficiency?," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 193-201, June.
    31. Goergen, Marc & Mazouz, Khelifa & Yin, Shuxing, 2010. "Price, volume and spread effects associated with the expiry of lock-in agreements: Evidence from the Hong Kong IPO market," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 442-459, November.
    32. Shastri, Kuldeep & Sultan, Jahangir & Tandon, Kishore, 1996. "The impact of the listing of options in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 37-64, February.
    33. K. John & A. Koticha & R. Narayanan, "undated". "Margin Rules, Informed Trading in Derivatives and Price Dynamics," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-047, New York University, Leonard N. Stern School of Business-.

  8. Fedenia, Mark & Grammatikos, Theoharry, 1991. "Portfolio rebalancing and the effective taxation of dividends and capital gains following the Tax Reform Act of 1986," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 501-519, June.

    Cited by:

    1. Casey, K. Michael & Dickens, Ross N., 2000. "The effects of tax and regulatory changes on commercial bank dividend policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 279-293.
    2. Morgan, Gareth & Thomas, Stephen, 1998. "Taxes, dividend yields and returns in the UK equity market," Journal of Banking & Finance, Elsevier, vol. 22(4), pages 405-423, May.

  9. Grammatikos, Theoharry & Yourougou, Pierre, 1990. "Market expectations of the effects of the Tax Reform Act of 1986 on banking organizations," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1171-1187, December.

    Cited by:

    1. Carl Pacini & William Hillison & David Marlett & Deanna Burgess, 2005. "Corporate governance and the market impact of the Financial Services Modernization act of 1999 on bank returns and trading volume," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 29(1), pages 46-72, March.
    2. Assogbavi, T. & Khoury, N. & Yourougou, P., 1995. "Short interest and the asymmetry of the price-volume relationship in the Canadian stock market," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1341-1358, November.
    3. Casey, K. Michael & Dickens, Ross N., 2000. "The effects of tax and regulatory changes on commercial bank dividend policy," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 279-293.
    4. Amoako-Adu, Ben & Smith, Brian F., 1995. "The wealth effects of deregulation of Canadian financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1211-1236, October.

  10. Grammatikos, Theoharry & Saunders, Anthony, 1990. "Additions to bank loan-loss reserves : Good news or bad news?," Journal of Monetary Economics, Elsevier, vol. 25(2), pages 289-304, March.
    See citations under working paper version above.
  11. Grammatikos, Theoharry, 1989. "Dividend Stripping, Risk Exposure, and the Effect of the 1984 Tax Reform Act on the Ex-dividend Day Behavior," The Journal of Business, University of Chicago Press, vol. 62(2), pages 157-173, April.

    Cited by:

    1. Ming-Chang Cheng & Ching-Hwa Lee, 2016. "Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-17, March.
    2. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
    3. Liljeblom, Eva & Loflund, Anders & Hedvall, Kaj, 2001. "Foreign and domestic investors and tax induced ex-dividend day trading," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1687-1716, September.
    4. Milonas, Nikolaos T. & Travlos, Nickolaos G. & Xiao, Jason Zezhong & Tan, Cunkai, 2006. "The ex-dividend day stock price behavior in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 155-174, April.
    5. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2006. "Taxes and dividend clientele: Evidence from trading and ownership structure," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 229-246, January.
    6. Aelee Jun & V. T. Alaganar & Graham Partington & Max Stevenson, 2008. "Price and Volume Behavior around the Ex‐dividend Day: Evidence on the Value of Dividends from American Depositary Receipts and their Underlying Australian Stocks," International Review of Finance, International Review of Finance Ltd., vol. 8(1‐2), pages 21-55, March.
    7. Mihir Desai & William M. Gentry, 2003. "The Character and Determinants of Corporate Capital Gains," NBER Working Papers 10153, National Bureau of Economic Research, Inc.
    8. Khamis Al Yahyaee & Toan Pham & Terry Walter, 2008. "Ex‐Dividend Day Behavior in the Absence of Taxes and Price Discreteness," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 103-123, September.
    9. Bali, Rakesh & Francis, Jack Clark, 2016. "Ex day effects of the 2003 dividend tax cut," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 11-22.
    10. Wu, Chunchi & Hsu, Junming, 1996. "The Impact of the 1986 Tax Reform on Ex-Dividend Day Volume and Price Behavior," National Tax Journal, National Tax Association;National Tax Journal, vol. 49(2), pages 177-192, June.
    11. Dupuis, Daniel, 2019. "Ex-dividend day price behavior and liquidity in a tax-free emerging market," Emerging Markets Review, Elsevier, vol. 38(C), pages 239-250.
    12. Sorjonen, Pasi, 2002. "Ex-Dividend Day Behavior of Stock Prices in Finland in 1989-90 and 1993-97," Discussion Papers 674, The Research Institute of the Finnish Economy.
    13. Asimakopoulos, Panagiotis N. & Tsangarakis, Nickolaos V. & Tsiritakis, Emmanuel D., 2015. "Price adjustment method and ex-dividend day returns in a different institutional setting," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 1-12.
    14. Sorjonen, Pasi, 2002. "Ex-Dividend Day Stock Returns and Tick Rules," Discussion Papers 675, The Research Institute of the Finnish Economy.
    15. Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016. "The Christmas effect—Special dividend announcements," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 15-30.
    16. Sorjonen, Pasi, . "Essays on Dividends and Taxes," ETLA A, The Research Institute of the Finnish Economy, number 30.
    17. Ki C. Han, 1994. "The Effect Of The 1986 Tax Reform Act On Ex-Dividend Day Return Behavior," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 175-186, June.
    18. Sorjonen, Pasi, 2002. "Ex-Dividend Day Stock Price Behavior, Taxes and Discrete Prices; A Simulation Experiment," Discussion Papers 676, The Research Institute of the Finnish Economy.
    19. Jeff Whitworth & Ramesh P. Rao, 2010. "Do Tax Law Changes Influence Ex‐Dividend Stock Price Behavior? Evidence from 1926 to 2005," Financial Management, Financial Management Association International, vol. 39(1), pages 419-445, March.
    20. Kai-Wei (Shaun) Siau & Stephen J. Sault & Geoffrey J. Warren & Henk Berkman, 2015. "Are imputation credits capitalised into stock prices?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 241-277, March.
    21. Bali, Rakesh & Hite, Gailen L., 1998. "Ex dividend day stock price behavior: discreteness or tax-induced clienteles?," Journal of Financial Economics, Elsevier, vol. 47(2), pages 127-159, February.
    22. Andrew Ainsworth & Kingsley YL Fong & David R Gallagher & Graham Partington, 2016. "Institutional trading around the ex-dividend day," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 299-323, May.
    23. Cannavan, Damien & Finn, Frank & Gray, Stephen, 2004. "The value of dividend imputation tax credits in Australia," Journal of Financial Economics, Elsevier, vol. 73(1), pages 167-197, July.
    24. Aelee Jun & Graham H. Partington, 2014. "Taxes, International Clienteles and the Value of ADR Dividends," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1337-1360, November.
    25. Cannavan, Damien & Gray, Stephen, 2017. "Dividend drop-off estimates of the value of dividend imputation tax credits," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 213-226.
    26. Philip Brown & Alex Clarke, 1993. "The Ex-Dividend Day Behaviour of Australian Share Prices Before and After Dividend Imputation," Australian Journal of Management, Australian School of Business, vol. 18(1), pages 1-40, June.
    27. H. Chu & G. Partington, 2008. "The Market Valuation of Cash Dividends: The Case of the CRA Bonus Issue," International Review of Finance, International Review of Finance Ltd., vol. 8(1‐2), pages 1-20, March.

  12. Arvind Bhandari & Theoharry Grammatikos & Anil K. Makhija & George Papaioannou, 1989. "Risk And Return On Newly Listed Stocks: The Post-Listing Experience," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 93-102, June.

    Cited by:

    1. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    2. Walayet A. Khan & H. Kent Baker, 1993. "Unlisted Trading Privileges, Liquidity, And Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 221-236, September.
    3. Uluyol, Burhan & Hui Pu, Suan & Shaturaev, Jakhongir & Kanaparan, Geetha, 2023. "Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies," MPRA Paper 119039, University Library of Munich, Germany, revised 05 Oct 2023.
    4. David Abad & Antonio Rubia, 1999. "- Evaluation Of The Fixing Trading System In The Spanish Market," Working Papers. Serie EC 1999-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    5. H. Kent Baker & Richard B. Edelman, 1990. "Otc Market Switching And Stock Returns: Some Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 325-338, December.
    6. Sun, Qian & Tang, Yuen-Kin & Tong, Wilson H. S., 2002. "The impacts of mass delisting: Evidence from Singapore and Malaysia," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 333-351, June.

  13. Theoharry Grammatikos & George Papaioannou, 1986. "Market Reaction To Nyse Listings: Tests Of The Marketability Gains Hypothesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 215-227, September.

    Cited by:

    1. Papaioannou, George J. & Travlos, Nickolaos G. & Viswanathan, K.G., 2009. "Visibility effects and timing in stock listing changes: Evidence from operating performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 357-377, May.
    2. FOUCAULT, Thierry & PARLOUR, Christine A., 1999. "Competition for Listings," HEC Research Papers Series 666, HEC Paris.
    3. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    4. Jones, C.M. & Lipson, M.L., 1999. "Execution Costs of Institutional Equity Orders," Papers 99-1, Columbia - Graduate School of Business.
    5. Walayet A. Khan & H. Kent Baker, 1993. "Unlisted Trading Privileges, Liquidity, And Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 221-236, September.
    6. Lin, Wen-Chun & Liao, Tsai-Ling, 2015. "Exchange listing type and firm financial reporting behavior," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 234-249.
    7. P. Chandy & Salil Sarkar & Niranjan Tripathy, 2004. "Empirical evidence on the effects of delisting from the National Market System," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(1), pages 46-55, March.
    8. Asjeet S. Lamba & Walayet A. Khan, 1999. "Exchange Listings And Delistings: The Role Of Insider Information And Insider Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(2), pages 131-146, June.
    9. DUBOIS, Michel & ERTUR, Cem, 1997. "The Cost of Equity and Exchange Listing. Evidence from the French Stock Market," LATEC - Document de travail - Economie (1991-2003) 1997-10, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne.
    10. H. Kent Baker & Richard B. Edelman, 1990. "Otc Market Switching And Stock Returns: Some Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 325-338, December.
    11. Sun, Qian & Tang, Yuen-Kin & Tong, Wilson H. S., 2002. "The impacts of mass delisting: Evidence from Singapore and Malaysia," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 333-351, June.
    12. Wańczyk Krzysztof, 2018. "Impact of Changes in Composition of Exchange Price Index Shares of Listed Polish Companies," Financial Sciences. Nauki o Finansach, Sciendo, vol. 23(3), pages 111-121, September.
    13. Ryan Davis & Todd Griffith & Brian Roseman & Serhat Yildiz, 2021. "The effects of exchange listing on market quality: Evidence from over‐the‐counter uplistings," The Financial Review, Eastern Finance Association, vol. 56(4), pages 645-669, November.
    14. Yakov Amihud & Haim Mendelson & Beni Lauterbach, 1996. "Market Microstructure and Securities Values: Evidence From the Tel Aviv Stock Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-7, New York University, Leonard N. Stern School of Business-.
    15. W. K. Adrian Cheung & Eduardo Roca, 2010. "Do Pacific Basin Investors Value Corporate Sustainability?," Discussion Papers in Finance finance:201016, Griffith University, Department of Accounting, Finance and Economics.
    16. Ko, Kwangsoo & Lee, Insup & Yun, Kesop, 1997. "Foreign listings, firm value, and volatility: The case of Japanese firms' listings on the US stock markets," Japan and the World Economy, Elsevier, vol. 9(1), pages 57-69, March.
    17. Yang, Chau-Chen & Baker, H. Kent & Chou, Li-Chuan & Lu, Bo-Wei, 2009. "Does switching from NASDAQ to the NYSE affect investment-cash flow sensitivity?," Journal of Business Research, Elsevier, vol. 62(10), pages 1007-1012, October.
    18. Arvind Bhandari & Theoharry Grammatikos & Anil K. Makhija & George Papaioannou, 1989. "Risk And Return On Newly Listed Stocks: The Post-Listing Experience," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 93-102, June.
    19. Michele O’Neill, 2002. "Do institutions care about market structure? A case study of listing firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 50-62, March.
    20. Grossman, Sanford J & Miller, Merton H & Cone, Kenneth R & Fischel, Daniel R & Ross, David J, 1997. "Clustering and Competition in Asset Markets," Journal of Law and Economics, University of Chicago Press, vol. 40(1), pages 23-60, April.
    21. Ellingsen, Tore & Rydqvist, Kristian, 1997. "The Stock Market as a Screening Device and the Decision to Go Public," SSE/EFI Working Paper Series in Economics and Finance 174, Stockholm School of Economics.
    22. Fjesme, Sturla L. & Galpin, Neal E. & Moore, Lyndon, 2021. "Rejected stock exchange applicants," Journal of Financial Economics, Elsevier, vol. 139(2), pages 502-521.
    23. Davis, Ryan & Griffith, Todd & Van Ness, Bonnie & Van Ness, Robert, 2023. "Modern OTC market structure and liquidity: The tale of three tiers," Journal of Financial Markets, Elsevier, vol. 64(C).

  14. Grammatikos, Theoharry & Saunders, Anthony & Swary, Itzhak, 1986. "Returns and Risks of U.S. Bank Foreign Currency Activities," Journal of Finance, American Finance Association, vol. 41(3), pages 671-682, July.
    See citations under working paper version above.
  15. Grammatikos, Thoeharry & Papaioannou, George J, 1986. "The Information Value of Listing on the New York Stock Exchange," The Financial Review, Eastern Finance Association, vol. 21(4), pages 485-499, November.

    Cited by:

    1. McConnell, John J. & Dybevik, Heidi J. & Haushalter, David & Lie, Erik, 1996. "A survey of evidence on domestic and international stock exchange listings with implications for markets and managers," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 347-376, December.
    2. Jones, C.M. & Lipson, M.L., 1999. "Execution Costs of Institutional Equity Orders," Papers 99-1, Columbia - Graduate School of Business.
    3. Lin, Wen-Chun & Liao, Tsai-Ling, 2015. "Exchange listing type and firm financial reporting behavior," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 234-249.
    4. Lo, Keng-Hsin & Wang, Kehluh & Liao, Tsai-Ling, 2006. "Insider transfer trading of banking companies around exchange listing," Journal of Financial Intermediation, Elsevier, vol. 15(2), pages 215-234, April.
    5. Asjeet S. Lamba & Walayet A. Khan, 1999. "Exchange Listings And Delistings: The Role Of Insider Information And Insider Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(2), pages 131-146, June.
    6. Sun, Qian & Tang, Yuen-Kin & Tong, Wilson H. S., 2002. "The impacts of mass delisting: Evidence from Singapore and Malaysia," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 333-351, June.
    7. Ryan Davis & Todd Griffith & Brian Roseman & Serhat Yildiz, 2021. "The effects of exchange listing on market quality: Evidence from over‐the‐counter uplistings," The Financial Review, Eastern Finance Association, vol. 56(4), pages 645-669, November.
    8. Lin, Wen-Chun & Liao, Tsai-Ling, 2018. "Managerial reporting behavior around exchange switching: Consideration of current and future performance," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 218-237.

  16. Grammatikos, Theoharry, 1986. "Intervalling Effects and the Hedging Performance of Foreign Currency Futures," The Financial Review, Eastern Finance Association, vol. 21(1), pages 21-36, February.

    Cited by:

    1. John C. Larson & Joel N. Morse, 1987. "Intervalling Effects In Hong Kong Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 353-362, December.

  17. Grammatikos, Theoharry & Saunders, Anthony, 1986. "Futures Price Variability: A Test of Maturity and Volume Effects," The Journal of Business, University of Chicago Press, vol. 59(2), pages 319-330, April.

    Cited by:

    1. Peter Andersen & Suk-Joong Kim, 2018. "Intraday Timing of AUD Intervention by the Reserve Bank of Australia: Evidence from Microstructural Analyses," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 2, pages 43-71, World Scientific Publishing Co. Pte. Ltd..
    2. Richard K. Lyons, 1991. "Private Beliefs and Information Externalities in the Foreign Exchange Market," NBER Working Papers 3889, National Bureau of Economic Research, Inc.
    3. Smimou, K., 2017. "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 461-479.
    4. Lyons, Richard K., 1998. "Profits and position control: a week of FX dealing1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 97-115, February.
    5. Kao, Erin H. & Fung, Hung-Gay, 2012. "Intraday trading activities and volatility in round-the-clock futures markets," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 195-209.
    6. Jane Black & Ian Tonks, 2000. "Time series volatility of commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(2), pages 127-144, February.
    7. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2019. "Forecasting the KOSPI200 spot volatility using various volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 156-166.
    8. Black, Jane & Tonks, Ian, 1999. "Time series of commodity futures prices," LSE Research Online Documents on Economics 119117, London School of Economics and Political Science, LSE Library.
    9. Alizadeh, Amir H., 2013. "Trading volume and volatility in the shipping forward freight market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 49(1), pages 250-265.
    10. Daal, Elton & Farhat, Joseph & Wei, Peihwang P., 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, Elsevier, vol. 15(2), pages 113-128.
    11. Liu, 2014. "Do futures prices exhibit maturity effect? A nonparametric revisit," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 813-825, March.
    12. Gabriele Galati, 2000. "Trading volumes, volatility and spreads in foreign exchange markets: evidence from emerging market countries," BIS Working Papers 93, Bank for International Settlements.
    13. Wang, Dong-Hua & Suo, Yuan-Yuan & Yu, Xiao-Wen & Lei, Man, 2013. "Price–volume cross-correlation analysis of CSI300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1172-1179.
    14. Ulibarri, Carlos A. & Schatzberg, John, 2003. "Liquidity costs: Screen-based trading versus open outcry," Review of Financial Economics, Elsevier, vol. 12(4), pages 381-396.
    15. Weihong HUANG & Wanying Wang, 2012. "Price-Volume Relations in Financial Market," Economic Growth Centre Working Paper Series 1209, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    16. Gabriele Galati, 2001. "Trading volumes, volatility and spreads in FX markets: evidence from emerging market countries," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 197-229, Bank for International Settlements.
    17. BAUWENS, Luc & RIME, Dagfinn & SUCARRAT, Genaro, 2005. "Exchange rate volatility and the mixture of distribution hypothesis," LIDAM Discussion Papers CORE 2005058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    18. Kenneth Yung & Yen-Chih Liu, 2009. "Implications of futures trading volume: Hedgers versus speculators," Journal of Asset Management, Palgrave Macmillan, vol. 10(5), pages 318-337, December.
    19. Sarika Mahajan & Balwinder Singh, 2008. "An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market," Vision, , vol. 12(3), pages 1-13, July.
    20. Duong, Huu Nhan & Kalev, Petko S., 2008. "The Samuelson hypothesis in futures markets: An analysis using intraday data," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 489-500, April.
    21. Elton Daal & Joseph Farhat & Peihwang P. Wei, 2006. "Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts," Review of Financial Economics, John Wiley & Sons, vol. 15(2), pages 113-128.
    22. Sangram K. Jena, 2016. "Sequential Information Arrival Hypothesis: More Evidence from the Indian Derivatives Market," Vision, , vol. 20(2), pages 101-110, June.
    23. Wen-Cheng Lu & Fang-Jun Lin, 2010. "An Empirical Study Of Volatility And Trading Volume Dynamics Using High-Frequency Data," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(3), pages 93-101.
    24. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
    25. Geir H. Bjønnes & Dagfinn Rime & Haakon O. Aa. Solheim, 2002. "Volume and Volatility in the FX-Market: Does it matter who you are?," CESifo Working Paper Series 786, CESifo.
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    Cited by:

    1. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
    2. Atreya Chakraborty & John Barkoulas, 1999. "Dynamic futures hedging in currency markets," The European Journal of Finance, Taylor & Francis Journals, vol. 5(4), pages 299-314.
    3. Sharma, Udayan & Karmakar, Madhusudan, 2023. "Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022. "On the stationarity of futures hedge ratios," Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
    5. Zhiyuan Pan & Xianchao Sun, 2014. "Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 107-121.
    6. An-Sing Chen & Yan-Zhen Liu, 2008. "Enhancing hedging performance with the spanning polynomial projection," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 605-617.
    7. Andrea L. DeMaskey, 1997. "Single and Multiple Portfolio Cross-Hedging with Currency Futures," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 23-46, March.

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