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Intraday time series momentum: Global evidence and links to market characteristics (2021)
Journal Article
Li, Z., Sakkas, A., & Urquhart, A. (2022). Intraday time series momentum: Global evidence and links to market characteristics. Journal of Financial Markets, 57, Article 100619. https://doi.org/10.1016/j.finmar.2021.100619

We examine intraday time series momentum (ITSM) in an international setting by employing high-frequency data of 16 developed markets. We show that ITSM is economically sizable and statistically significant both in-and out-of-sample in most countries.... Read More about Intraday time series momentum: Global evidence and links to market characteristics.

Factor based commodity investing (2020)
Journal Article
Sakkas, A., & Tessaromatis, N. (2020). Factor based commodity investing. Journal of Banking and Finance, 115, https://doi.org/10.1016/j.jbankfin.2020.105807

A multi-factor commodity portfolio combining the momentum, basis, basis-momentum, hedging pressure and value commodity factor portfolios outperforms significantly, economically and statistically, widely used commodity benchmarks. We find evidence tha... Read More about Factor based commodity investing.

What drives Bitcoin's price crash risk? (2019)
Journal Article
Kalyvas, A., Papakyriakou, P., Sakkas, A., & Urquhart, A. (2020). What drives Bitcoin's price crash risk?. Economics Letters, 191, https://doi.org/10.1016/j.econlet.2019.108777

We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association with Bitcoin price crash risk, indicating that when economi... Read More about What drives Bitcoin's price crash risk?.

The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment (2019)
Journal Article
Papakyriakou, P., Sakkas, A., & Taoushianis, Z. (2019). The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment. Journal of International Financial Markets, Institutions and Money, 61, 143-160. https://doi.org/10.1016/j.intfin.2019.03.001

We consider terrorism acts in G7 countries over the period 1998–2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day an... Read More about The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment.

Financial firm bankruptcies, international stock markets, and investor sentiment (2018)
Journal Article
Papakyriakou, P., Sakkas, A., & Taoushianis, Z. (2019). Financial firm bankruptcies, international stock markets, and investor sentiment. International Journal of Finance and Economics, 24(1), 461-473. https://doi.org/10.1002/ijfe.1674

We consider bankruptcy announcements of large financial institutions in the United States and examine their impact on an international sample of 66 stock market indices. Employing an event‐study methodology, we find that stock markets exhibit strong... Read More about Financial firm bankruptcies, international stock markets, and investor sentiment.

Harmful diversification: Evidence from alternative investments (2018)
Journal Article
Platanakis, E., Sakkas, A., & Sutcliffe, C. (2019). Harmful diversification: Evidence from alternative investments. British Accounting Review, 51(1), 1-23. https://doi.org/10.1016/j.bar.2018.08.003

© 2018 Elsevier Ltd Alternative assets have become as important as equities and fixed income in the portfolios of major investors, and so their diversification properties are also important. However, adding five alternative assets (real estate, commo... Read More about Harmful diversification: Evidence from alternative investments.

The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models (2018)
Journal Article
Platanakis, E., Sakkas, A., & Sutcliffe, C. (2019). The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models. Applied Economics Letters, 26(6), 516-521. https://doi.org/10.1080/13504851.2018.1486984

© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group. Estimation of the inputs is the main problem when applying portfolio analysis, and Markov regime-switching models have been shown to improve these estimates. We investigate wheth... Read More about The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models.

Dynamic Asset Allocation with Liabilities (2016)
Journal Article
Giamouridis, D., Sakkas, A., & Tessaromatis, N. (2017). Dynamic Asset Allocation with Liabilities. European Financial Management, 23(2), 254-291. https://doi.org/10.1111/eufm.12097

© 2016 John Wiley & Sons, Ltd. We develop an analytical solution to the dynamic multi-period portfolio choice problem of an investor with risky liabilities and time varying investment opportunities. We use the model to compare the asset allocation... Read More about Dynamic Asset Allocation with Liabilities.

Stock market dispersion, the business cycle and expected factor returns (2015)
Journal Article
Angelidis, T., Sakkas, A., & Tessaromatis, N. (2015). Stock market dispersion, the business cycle and expected factor returns. Journal of Banking and Finance, 59, 265-279. doi:10.1016/j.jbankfin.2015.04.025

We provide evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market... Read More about Stock market dispersion, the business cycle and expected factor returns.