Andreas Andrikopoulos - Academia.edu (original) (raw)
Associate Professor of Finance at the University of the Aegean
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Papers by Andreas Andrikopoulos
International Journal of Business Performance Management, 2007
Abstract: This paper introduces a normative view on corporate reputation strategic management. Re... more Abstract: This paper introduces a normative view on corporate reputation strategic management. Reputation performance is conceptualised as the outcome of complex processes and social interactions and the lack of a holistic reputation performance management ...
Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of ... more Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock market has been explored in terms of volatility and return spillovers, there has been no combined analysis of return, volatility and illiquidity spillovers. We study illiquidity spillovers because they are transmissions of trading activity and, thereof, transmissions of information and market sentiment. We discover Granger-causal associations between risk, return and illiquidity across G7 stock market and also within each stock market. Our findings bear significance for the regulation of international financial markets and also for international portfolio diversification. JEL classification: C32; G12; G15.
International Review of Financial Analysis, 2010
In the light of recent evidence that liquidity and idiosyncratic risk may be priced factors in th... more In the light of recent evidence that liquidity and idiosyncratic risk may be priced factors in the cross section of expected stock returns and that market capitalization significantly affects investor behavior and liquidity, we explore the interactions between liquidity, idiosyncratic risk and return across time as well as across size-based portfolios of stocks listed in the London Stock Exchange. In a Vector Autoregressive (VAR) analytical framework, we find that volatility spills over from large cap stocks to small cap stocks and vice versa. Volatility shocks can be predicted by illiquidity shocks in both large cap as well as in the small cap portfolios. Illiquidity can be predicted by return shocks in small cap stocks. Finally, we document some evidence of asymmetric liquidity spillovers, from large cap stocks to small cap ones, supporting the intuition that common information is first incorporated in the trading behavior of large-cap investors and the liquidity of large cap stocks and is then transmitted in the trading of small stocks.
International Journal of Business Performance Management, 2007
Abstract: This paper introduces a normative view on corporate reputation strategic management. Re... more Abstract: This paper introduces a normative view on corporate reputation strategic management. Reputation performance is conceptualised as the outcome of complex processes and social interactions and the lack of a holistic reputation performance management ...
Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of ... more Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock market has been explored in terms of volatility and return spillovers, there has been no combined analysis of return, volatility and illiquidity spillovers. We study illiquidity spillovers because they are transmissions of trading activity and, thereof, transmissions of information and market sentiment. We discover Granger-causal associations between risk, return and illiquidity across G7 stock market and also within each stock market. Our findings bear significance for the regulation of international financial markets and also for international portfolio diversification. JEL classification: C32; G12; G15.
International Review of Financial Analysis, 2010
In the light of recent evidence that liquidity and idiosyncratic risk may be priced factors in th... more In the light of recent evidence that liquidity and idiosyncratic risk may be priced factors in the cross section of expected stock returns and that market capitalization significantly affects investor behavior and liquidity, we explore the interactions between liquidity, idiosyncratic risk and return across time as well as across size-based portfolios of stocks listed in the London Stock Exchange. In a Vector Autoregressive (VAR) analytical framework, we find that volatility spills over from large cap stocks to small cap stocks and vice versa. Volatility shocks can be predicted by illiquidity shocks in both large cap as well as in the small cap portfolios. Illiquidity can be predicted by return shocks in small cap stocks. Finally, we document some evidence of asymmetric liquidity spillovers, from large cap stocks to small cap ones, supporting the intuition that common information is first incorporated in the trading behavior of large-cap investors and the liquidity of large cap stocks and is then transmitted in the trading of small stocks.