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Test of recent advances in extracting information from option prices (2017)
Journal Article
Healy, J. V., Gregoriou, A., & Hudson, R. (2018). Test of recent advances in extracting information from option prices. International review of financial analysis, 56, 292-302. doi:10.1016/j.irfa.2017.09.011

© 2017 Elsevier Inc. A large literature exists on techniques for extracting probability distributions for future asset prices from option prices. No definitive method has been developed however. The parametric 'mixture of normals', and non-parametric... Read More

The accuracy of spread decomposition models in capturing informed trades: Evidence from the London Stock Exchange and behavioural implications (2017)
Journal Article
Gregoriou, A., & Rhodes, M. (2017). The accuracy of spread decomposition models in capturing informed trades: Evidence from the London Stock Exchange and behavioural implications. Review of Behavioural Finance, 9(1), 2-13. doi:10.1108/rbf-02-2017-0016

Purpose – The purpose is to examine the empirical relationship between trades undertaken by informed agents (managers) and the proxies for informed trades computed by bid-ask spread decomposition models. Design/methodology/approach – An econometric a... Read More

Liquidity and market efficiency in the world's largest carbon market (2015)
Journal Article
Hoepner, A. G. F., Ibikunle, G., Gregoriou, A., Hoepner, A. G., & Rhodes, M. (2016). Liquidity and market efficiency in the world's largest carbon market. The British accounting review, 48(4), (431-447). doi:10.1016/j.bar.2015.11.001. ISSN 0890-8389

We investigate liquidity and market efficiency on the world's largest carbon exchange, IntercontinentalExchange Inc.’s European Climate Exchange (ECX), by using intraday short-horizon return predictability as an inverse indicator of market efficiency... Read More

Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011)
Journal Article
Gregoriou, A., Florackis, C., & Kostakis, A. (2011). Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Journal of Banking and Finance, 35(12), (3335-3350). doi:10.1016/j.jbankfin.2011.05.014. ISSN 0378-4266

This study proposes a new price impact ratio as an alternative to the widely used Amihud's (2002) Return-to-Volume ratio. We demonstrate that the new price impact ratio, which is deemed Return-to-Turnover ratio, has a number of appealing features. Us... Read More

The composition of government spending and growth: Is current or capital spending better? (2007)
Journal Article
Ghosh, S., & Gregoriou, A. (2008). The composition of government spending and growth: Is current or capital spending better?. Oxford economic papers, 60(3), 484-516. doi:10.1093/oep/gpn005

In an endogenous growth framework with two public goods with differing productivities, this paper analytically characterizes optimal fiscal policy for a decentralized economy, whereby the optimal values of the growth rate, tax rate and expenditure sh... Read More

Adaptation towards reference values: a non-linear perspective (2007)
Journal Article
Georgellis, Y., Gregoriou, A., & Tsitsianis, N. (2008). Adaptation towards reference values: a non-linear perspective. Journal of Economic Behavior and Organization, 67(3-4), (768-781). doi:10.1016/j.jebo.2007.08.007. ISSN 0167-2681

Using large-scale panel data, we examine the dynamics of adjustment towards reference points for key workplace attributes. We discover that an Exponential Smooth Transition Autoregressive (ESTAR) model is superior to a linear model in characterizing... Read More