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Reconsidering financial wisdom about emerging economies (2024)
Newspaper / Magazine
Andrikopoulos, A. [. (2024). Reconsidering financial wisdom about emerging economies. London

The liberalisation of capital inflows can threaten domestic stability in the banking system, highlighting the importance of risk management.

Capital inflow liberalization and bank credit risk (2024)
Journal Article
Li, K., Chen, Z., & Andrikopoulos, A. (2024). Capital inflow liberalization and bank credit risk. Journal of International Money and Finance, 142, Article 103047. https://doi.org/10.1016/j.jimonfin.2024.103047

Using a panel of annual data, covering 2207 banks operating in 45 emerging, and developing economies, over the period of 2009–2020, we study the impact of liberalization on capital inflows. Our results indicate that capital inflow liberalization has... Read More about Capital inflow liberalization and bank credit risk.

Macroprudential Policies Can Mitigate the Effects of Global Economic Policy Uncertainty on Gross Capital Inflows, Study Argues (2023)
Newspaper / Magazine
Andrikopoulos, T. (2023). Macroprudential Policies Can Mitigate the Effects of Global Economic Policy Uncertainty on Gross Capital Inflows, Study Argues. London

Opening paragraph:
In the decade following the Global Financial Crisis (GFC) of 2007–09, the global economy was exposed to several significant disruptions. These events resulted in a sharp increase in policy uncertainty, exceeding even the levels re... Read More about Macroprudential Policies Can Mitigate the Effects of Global Economic Policy Uncertainty on Gross Capital Inflows, Study Argues.

Global economic policy Uncertainty, gross capital Inflows, and the mitigating role of Macroprudential policies (2022)
Journal Article
Andrikopoulos, A., Chen, Z., Chortareas, G., & Li, K. (2023). Global economic policy Uncertainty, gross capital Inflows, and the mitigating role of Macroprudential policies. Journal of International Money and Finance, 131, Article 102793. https://doi.org/10.1016/j.jimonfin.2022.102793

We consider the effects of global economic policy uncertainty on capital inflows and the potentially mitigating effect of different macroprudential frameworks and policies on this effect. While macroprudential policies aim to maintain domestic financ... Read More about Global economic policy Uncertainty, gross capital Inflows, and the mitigating role of Macroprudential policies.

Hedge fund performance persistence under different business cycles and stock market regimes (2022)
Journal Article
Stafylas, D., Andrikopoulos, A., & Tolikas, K. (2023). Hedge fund performance persistence under different business cycles and stock market regimes. North American journal of economics and finance, 64, Article 101866. https://doi.org/10.1016/j.najef.2022.101866

We examine different aspects of performance persistence of US hedge funds over different business cycles and stock market regimes. During periods of economic growth and bull stock markets, we report performance persistence for up to one year in the r... Read More about Hedge fund performance persistence under different business cycles and stock market regimes.

A dynamic analysis of the neglected firm effect (2022)
Journal Article
Andrikopoulos, A., & Zheng, M. (2023). A dynamic analysis of the neglected firm effect. International review of financial analysis, 85, Article 102429. https://doi.org/10.1016/j.irfa.2022.102429

This study uses rolling regressions with panel data and conducts a dynamic analysis of the neglected firm effect, the negative relationship between the number of analysts and stock returns. For this reason, we use two samples of firms: one from the L... Read More about A dynamic analysis of the neglected firm effect.

Bank market power and performance of financial technology firms (2022)
Journal Article
Andrikopoulos, A., & Dassiou, X. (in press). Bank market power and performance of financial technology firms. International journal of finance & economics : IJFE, https://doi.org/10.1002/ijfe.2727

We adopt a novel variation of the traditional structure-conduct-performance modelling approach, looking at between, rather than within, industries to study the impact of changes in the bank market structure on the corporate performance of financial t... Read More about Bank market power and performance of financial technology firms.

Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending (2021)
Journal Article
Chen, Z., Jin, M., Andrikopoulos, A., & Li, Y. (in press). Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending. The European journal of finance, 1-25. https://doi.org/10.1080/1351847X.2021.2007496

We study cultural diversity and borrowers’ behavior using data from peer-to-peer lending platform Renrendai. We proxy cultural diversity with the Linguistic Diversity Index, measured by the population-weighted number of dialects spoken in a region, a... Read More about Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending.

Is “Three” a lucky number? Exchange-rate exposure in a “Rule of Three” model (2020)
Journal Article
Andrikopoulos, A., & Dassiou, X. (2020). Is “Three” a lucky number? Exchange-rate exposure in a “Rule of Three” model. Journal of business research, 121, 85-92. https://doi.org/10.1016/j.jbusres.2020.08.008

We examine exchange-rate exposure in an international model of differentiated goods using the frequently encountered in international markets “Rule of Three” (RoT) market structure that allows both within and between countries competition. In a stati... Read More about Is “Three” a lucky number? Exchange-rate exposure in a “Rule of Three” model.

Quantile stochastic frontier models with endogeneity (2020)
Journal Article
Tsionas, M. G., Assaf, A. G., & Andrikopoulos, A. (2020). Quantile stochastic frontier models with endogeneity. Economics letters, 188, Article 108964. https://doi.org/10.1016/j.econlet.2020.108964

In this paper, we extend Jradi et al. (2019). First, we use the asymmetric Laplace distribution which is a more reasonable assumption in quantile models. Second, we address the issue of statistical inference for the optimal quantile. Finally, we allo... Read More about Quantile stochastic frontier models with endogeneity.

On a High-Dimensional Model Representation method based on Copulas (2020)
Journal Article
Tsionas, M. G., & Andrikopoulos, A. (2020). On a High-Dimensional Model Representation method based on Copulas. European journal of operational research, 284(3), 967-979. https://doi.org/10.1016/j.ejor.2020.01.026

This article provides an alternative to High-Dimensional Model Representation using a Copula approximation of an unknown functional form. We apply our methodology in the context of an extensive Monte Carlo study and to a sample of large US commercial... Read More about On a High-Dimensional Model Representation method based on Copulas.

Testing moderation effects using non-parametric regressions (2020)
Journal Article
George Assaf, A., Tsionas, M. G., & Andrikopoulos, A. (2020). Testing moderation effects using non-parametric regressions. International Journal of Hospitality Management, 86, Article 102441. https://doi.org/10.1016/j.ijhm.2019.102441

Testing moderation effects is highly common in the hospitality literature. Most theories in the field depend on variables that alter the nature and direction of the relationship between two variables. While moderation continues to be heavily used, me... Read More about Testing moderation effects using non-parametric regressions.

Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX (2019)
Journal Article
Andrikopoulos, A., Dassiou, X., & Zheng, M. (2020). Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX. International review of financial analysis, 68, Article 101437. https://doi.org/10.1016/j.irfa.2019.101437

This paper studies the impact of the United Kingdom's June 2016 referendum to withdraw from European Union membership (“Brexit”) on foreign exchange (FX) exposures. We collect weekly data from 26 FTSE100, 10 IBEX35, and 17 DAX30 nonfinancial multinat... Read More about Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX.

A note on the Gao et al. (2019) uniform mixture model in the case of regression (2019)
Journal Article
Tsionas, M. G., & Andrikopoulos, A. (2020). A note on the Gao et al. (2019) uniform mixture model in the case of regression. Annals of Operations Research, 289(2), 495-501. https://doi.org/10.1007/s10479-019-03475-w

© 2019, The Author(s). We extend the uniform mixture model of Gao et al. (Ann Oper Res, 2019. https://doi.org/10.1007/s10479-019-03236-9) to the case of linear regression. Gao et al. (Ann Oper Res, 2019. https://doi.org/10.1007/s10479-019-03236-9) pr... Read More about A note on the Gao et al. (2019) uniform mixture model in the case of regression.

Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods (2019)
Journal Article
Stafylas, D., & Andrikopoulos, A. (2020). Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods. Research in international business and finance, 52, Article 101130. https://doi.org/10.1016/j.ribaf.2019.101130

We analyse the drivers of hedge fund performance, focusing simultaneously on fund size, age, lockup period, fund strategies, business cycles and different market conditions, dealing with the omitted variable bias. We use exogenous break points and a... Read More about Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods.

Is there still a weather anomaly? An investigation of stock and foreign exchange markets (2019)
Journal Article
Andrikopoulos, A., Wang, C., & Zheng, M. (2019). Is there still a weather anomaly? An investigation of stock and foreign exchange markets. Finance research letters, 30, 51-59. https://doi.org/10.1016/j.frl.2019.03.026

Since Saunders (1993), there has been ongoing research on whether the weather can affect asset prices. Our study of the impact of weather on stock and foreign exchange (henceforth FX) markets shows that the weather has no effect during 2002–2018, sug... Read More about Is there still a weather anomaly? An investigation of stock and foreign exchange markets.

Risk exposure and performance in the banking sector : a comparative investigation of Islamic, conventional, and Islamic window banks (2018)
Thesis
Al-Ismaili, A. M. A. (2018). Risk exposure and performance in the banking sector : a comparative investigation of Islamic, conventional, and Islamic window banks. (Thesis). University of Hull. Retrieved from https://hull-repository.worktribe.com/output/4221917

The core business of banks involves the operation of a payment system. They are also perceived as primary sources of credit and a safe location for individuals and businesses that want to deposit cash. As a system, the banks play the role of facilita... Read More about Risk exposure and performance in the banking sector : a comparative investigation of Islamic, conventional, and Islamic window banks.

The weaker pound is a mixed bag for UK PLC as rivals move to adapt (2016)
Newspaper / Magazine
Andrikopoulos, T., & Dassiou, X. (2016). The weaker pound is a mixed bag for UK PLC as rivals move to adapt

The conventional wisdom about a falling currency and exports fails to acknowledge some fundamental points. Our research highlights that such analysis typically does not account for the existence and nature of a company’s competition, domestically and... Read More about The weaker pound is a mixed bag for UK PLC as rivals move to adapt.

Dynamic interaction between markets for leasing and selling automobiles (2014)
Journal Article
Andrikopoulos, A., & Markellos, R. N. (2015). Dynamic interaction between markets for leasing and selling automobiles. Journal of Banking and Finance, 50, 260-270. https://doi.org/10.1016/j.jbankfin.2014.01.032

We develop a model of dynamic interactions between price variations in leasing and selling markets for automobiles. Our framework assumes a differential game between multiple Bertrand-type competing firms which offer differentiated products to forwar... Read More about Dynamic interaction between markets for leasing and selling automobiles.