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  1. AU="Tzouvanas, Panagiotis"
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  1. Article ; Online: From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions.

    Kizys, Renatas / Tzouvanas, Panagiotis / Donadelli, Michael

    International review of financial analysis

    2021  Volume 74, Page(s) 101663

    Abstract: We study if government response to the novel coronavirus COVID-19 pandemic can mitigate investor herding behaviour in international stock markets. Our empirical analysis is informed by daily stock market data from 72 countries from both developed and ... ...

    Abstract We study if government response to the novel coronavirus COVID-19 pandemic can mitigate investor herding behaviour in international stock markets. Our empirical analysis is informed by daily stock market data from 72 countries from both developed and emerging economies in the first quarter of 2020. The government response to the COVID-19 outbreak is measured by means of the Oxford COVID-19 Government Response Tracker, where higher scores are associated with greater stringency. Three main findings are in order. First, results show evidence of investor herding in international stock markets. Second, we document that the Oxford Government Response Stringency Index mitigates investor herding behaviour, by way of reducing multidimensional uncertainty. Third, short-selling restrictions, temporarily imposed by the national and supranational regulatory authorities of the European Union, appear to exert a mitigating effect on herding. Finally, our results are robust to a range of model specifications.
    Language English
    Publishing date 2021-01-12
    Publishing country United States
    Document type Journal Article
    ISSN 1873-8079
    ISSN (online) 1873-8079
    DOI 10.1016/j.irfa.2021.101663
    Database MEDical Literature Analysis and Retrieval System OnLINE

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  2. Article: Momentum trading in cryptocurrencies: Short-term returns and diversification benefits

    Tzouvanas, Panagiotis / Kizys, Renatas / Tsend-Ayush, Bayasgalan

    Economics letters. 2019 Sept. 27,

    2019  

    Abstract: We test for the presence of momentum effects in cryptocurrency market and estimate dynamic conditional correlations (DCCs) of returns between momentum portfolios of cryptocurrencies and traditional assets. First, investment portfolios are constructed ... ...

    Abstract We test for the presence of momentum effects in cryptocurrency market and estimate dynamic conditional correlations (DCCs) of returns between momentum portfolios of cryptocurrencies and traditional assets. First, investment portfolios are constructed adherent to the classic J∕K momentum strategy, using daily data from twelve cryptocurrencies for over a period of three years. We identify the existence of momentum effect, which is highly significant for short-term portfolios but disappears over the longer term. Second, we show that cross correlations of weekly returns between momentum portfolio of cryptocurrencies and traditional assets are unlike correlations of returns between traditional assets. Third, we find that momentum portfolios of cryptocurrencies not only offer diversification benefits but also can be a hedge and safe haven for traditional assets.
    Keywords assets ; markets ; models
    Language English
    Dates of publication 2019-0927
    Publishing place Elsevier B.V.
    Document type Article
    Note Pre-press version
    ISSN 0165-1765
    DOI 10.1016/j.econlet.2019.108728
    Database NAL-Catalogue (AGRICOLA)

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    Inter-library loan at ZB MED

    Your chosen title can be delivered directly to ZB MED Cologne location if you are registered as a user at ZB MED Cologne.

  3. Article: Can Variations in Temperature Explain the Systemic Risk of European Firms?

    Tzouvanas, Panagiotis / Kizys, Renatas / Chatziantoniou, Ioannis / Sagitova, Roza

    Environmental and resource economics. 2019 Dec., v. 74, no. 4

    2019  

    Abstract: We employ a [Formula: see text] model in order to measure the potential impact of temperature fluctuations on systemic risk, considering all companies from the STOXX Europe 600 Index, which covers a wide range of industries for the period from 1/1/1990 ... ...

    Abstract We employ a [Formula: see text] model in order to measure the potential impact of temperature fluctuations on systemic risk, considering all companies from the STOXX Europe 600 Index, which covers a wide range of industries for the period from 1/1/1990 to 29/12/2017. Furthermore, in this study, we decompose temperature into 3 factors; namely (1) trend, (2) seasonality and (3) anomaly. Findings suggest that, temperature has indeed a significant impact on systemic risk. In fact, we provide significant evidence of either positive or nonlinear temperature effects on financial markets, while the nonlinear relationship between temperature and systemic risk follows an inverted U-shaped curve. In addition, hot temperature shocks strongly increase systemic risk, while we do witness the opposite for cold shocks. Additional analysis shows that deviations of temperature by [Formula: see text] can increase the daily Value at Risk by up to 0.24 basis points. Overall, higher temperatures are highly detrimental for the financial system. Results remain robust under the different proxies that were employed to capture systemic risk or temperature.
    Keywords business enterprises ; cold stress ; industry ; markets ; models ; risk ; temperature ; Europe
    Language English
    Dates of publication 2019-12
    Size p. 1723-1759.
    Publishing place Springer Netherlands
    Document type Article
    ZDB-ID 1479788-4
    ISSN 1573-1502 ; 0924-6460
    ISSN (online) 1573-1502
    ISSN 0924-6460
    DOI 10.1007/s10640-019-00385-0
    Database NAL-Catalogue (AGRICOLA)

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  4. Article ; Online: From COVID-19 herd immunity to investor herding in international stock markets

    Kizys, Renatas / Tzouvanas, Panagiotis / Donadelli, Michael

    SSRN Electronic Journal ; ISSN 1556-5068

    The role of government and regulatory restrictions

    2020  

    Keywords covid19
    Language English
    Publisher Elsevier BV
    Publishing country us
    Document type Article ; Online
    DOI 10.2139/ssrn.3597354
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

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  5. Article ; Online: The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic

    Zaremba, Adam / Kizys, Renatas / Tzouvanas, Panagiotis / Aharon, David Yechiam / Demir, Ender

    SSRN Electronic Journal ; ISSN 1556-5068

    Evidence from International Stock Markets

    2020  

    Keywords covid19
    Language English
    Publisher Elsevier BV
    Publishing country us
    Document type Article ; Online
    DOI 10.2139/ssrn.3632466
    Database BASE - Bielefeld Academic Search Engine (life sciences selection)

    Full text online

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    Inter-library loan at ZB MED

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