ALEXANDROS KOSTAKIS : Citation Profile


Are you ALEXANDROS KOSTAKIS?

University of Liverpool

10

H index

10

i10 index

312

Citations

RESEARCH PRODUCTION:

19

Articles

8

Papers

RESEARCH ACTIVITY:

   11 years (2007 - 2018). See details.
   Cites by year: 28
   Journals where ALEXANDROS KOSTAKIS has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 9 (2.8 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko448
   Updated: 2019-10-15    RAS profile: 2019-07-03    
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Relations with other researchers


Works with:

Kontonikas, Alexandros (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with ALEXANDROS KOSTAKIS.

Is cited by:

GUPTA, RANGAN (19)

BABALOS, VASSILIOS (18)

Demirer, Riza (16)

Skiadopoulos, George (13)

Balcilar, Mehmet (10)

PHILIPPAS, NIKOLAOS (9)

Akinsomi, Omokolade (8)

Guidolin, Massimo (6)

Caporale, Guglielmo Maria (6)

Milas, Costas (5)

Kontonikas, Alexandros (4)

Cites to:

Pedersen, Lasse (23)

Amihud, Yakov (17)

Campbell, John (13)

Fama, Eugene (13)

Bernanke, Ben (12)

French, Kenneth (11)

West, Kenneth (11)

Shleifer, Andrei (9)

Shin, Hyun Song (9)

Acharya, Viral (9)

Subrahmanyam, Avanidhar (9)

Main data


Where ALEXANDROS KOSTAKIS has published?


Journals with more than one article published# docs
Journal of Banking & Finance3
The European Journal of Finance3
Journal of International Money and Finance2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)3
Working Papers / Business School - Economics, University of Glasgow3

Recent works citing ALEXANDROS KOSTAKIS (2019 and 2018)


YearTitle of citing document
2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2018The effects of business cycle indicators on stock market indices of food industry in Iran. (2018). Mohammadi, Hassan ; Shabanian, F ; Shahnoushi, N ; Abolhasani, L. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277425.

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2018On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140.

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2018Exploring sentiment-driven trading behavior of different types of investors in London office market. (2018). Ke, Qiulin ; Sieracki, Karen. In: ERES. RePEc:arz:wpaper:eres2018_112.

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2018An Empirical Evidence of Over Reaction Hypothesis on Karachi Stock Exchange (KSE). (2018). Chhapra, Imran ; Ahmed, Farhan ; Saad, Sanyah ; Kashif, Muhammad. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:449-465.

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2019Determinants of Mutual Funds Performance in Pakistan. (2019). Siddiqui, Danish Ahmed ; Asad, Muhammad. In: International Journal of Social and Administrative Sciences. RePEc:asi:ijosaa:2019:p:85-107.

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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors. (2018). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1886.

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2018Monetary policy uncertainty, positions of traders and changes in commodity futures prices. (2018). Gospodinov, Nikolay ; Jamali, Ibrahim. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:239-260.

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2018Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12760.

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2019Predictive Regressions. (2019). Gonzalo, Jesus ; Pitarakis, Jean-Yves. In: UC3M Working papers. Economics. RePEc:cte:werepe:28554.

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2019Herding behaviour in an emerging market: Evidence from the Moscow Exchange. (2019). Indars, Edgars Rihards ; Lubloy, agnes ; Savin, Aliaksei. In: Corvinus Economics Working Papers (CEWP). RePEc:cvh:coecwp:2019/01.

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2017How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?. (2017). al Samman, Ahmed ; Otaify, Mahmoud Moustafa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-39.

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2018In search of beta. (2018). Tharyan, Rajesh ; Hua, Shan ; Gregory, Alan. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:425-441.

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2018Cross herding between American industries and the oil market. (2018). Ben Mabrouk, Houda ; Litimi, Houda ; Benmabrouk, Houda. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:196-205.

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2018A semi-parametric panel data analysis on financial development-economic volatility nexus in developing countries. (2018). Zouaoui, Haykel ; Ellouz, Nidhal Ziedi ; Mazioud, Manel . In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:50-55.

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2018Testing for parameter instability in predictive regression models. (2018). Taylor, Robert ; Leybourne, Stephen ; Harvey, David ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:101-118.

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2019A unified test for predictability of asset returns regardless of properties of predicting variables. (2019). Liu, Xiaohui ; Peng, Liang ; Cai, Zongwu ; Yang, Bingduo. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:141-159.

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2018Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing. (2018). Guidolin, Massimo ; Pedio, Manuela ; Giampietro, Marta. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:685-702.

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2018Liquidity and macroeconomic management in emerging markets. (2018). Chowdhury, Anup ; Anderson, Keith ; Uddin, Moshfique. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:1-24.

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2019Ex-dividend day price behavior and liquidity in a tax-free emerging market. (2019). Dupuis, Daniel . In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:239-250.

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2019Herding behaviour in an emerging market: Evidence from the Moscow Exchange. (2019). Lubloy, agnes ; Savin, Aliaksei ; Indrs, Edgars Rihards. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:468-487.

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2018World output gap and global stock returns. (2018). Atanasov, Victoria . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:181-197.

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2018Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196.

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2019Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach. (2019). Floro, Danvee. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:164-181.

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2018Is stock return predictability time-varying?. (2018). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:152-172.

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2018The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles. (2018). Yan, Cheng ; Wang, Xichen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:38-54.

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2018A new GARCH model with higher moments for stock return predictability. (2018). Narayan, Paresh Kumar ; Liu, Ruipeng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:93-103.

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2018Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK. (2018). Ellington, Michael. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:225-236.

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2018Do politically connected independent directors create or destroy value?. (2018). Shi, Haina ; Zhang, Xin ; Xu, Haoping . In: Journal of Business Research. RePEc:eee:jbrese:v:83:y:2018:i:c:p:82-96.

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2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2018“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; Gadea, Maria Dolores. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:1-30.

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2019Legal institutions and fragile financial markets. (2019). Chung, Huimin ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:277-298.

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2018Regime-dependent herding behavior in Asian and Latin American stock markets. (2018). Kabir, Humayun M ; Shakur, Shamim. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:60-78.

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2018A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test. (2018). Faria, S H ; Neumann, M B ; Polanco-Martinez, J M ; Fernandez-Macho, J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1211-1227.

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2018Is stock market volatility asymmetric? A multi-period analysis for five countries. (2018). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:258-265.

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2018Trading strategies in terms of continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted. (2018). Ni, Yensen ; Day, Min-Yuh ; Huang, Paoyu ; Cheng, Yirung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:188-204.

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2018Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L. In: CAMA Working Papers. RePEc:een:camaaa:2018-05.

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2019Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel. In: Working Papers REM. RePEc:ise:remwps:wp0742019.

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2018Unified Tests for a Dynamic Predictive Regression. (2018). Yang, Bingduo ; Cai, Zongwu ; Peng, Liang ; Liu, Xiaohui. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201808.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2019Large Shareholding and Firm Value in the Alternative Investment Market (AIM). (2019). Mase, Bryan ; Asieh, Seyedeh ; Mortazian, Mona. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:2:d:10.1007_s10690-018-9256-3.

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2018A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization. (2018). Mba, Jules Clement ; Koumba, UR ; Pindza, Edson . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:4:d:10.1007_s11408-018-0320-9.

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2018CEO Hubris and Firm Performance: Exploring the Moderating Roles of CEO Power and Board Vigilance. (2018). Park, Jong-Hun ; Sung, Yun-Dal ; Lee, Dong-Hyun ; Chang, Young Kyun ; Kim, Changsu. In: Journal of Business Ethics. RePEc:kap:jbuset:v:147:y:2018:i:4:d:10.1007_s10551-015-2997-2.

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2018Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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2018Risk-adjusted option-implied moments. (2018). Brinkmann, Felix ; Korn, Olaf . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9136-4.

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2018Does the Federal Constitutional Court Ruling Mean the German Financial Market is Efficient?. (2018). Fakhry, Bachar ; Richter, Christian. In: European Journal of Business Science and Technology. RePEc:men:journl:v:4:y:2018:i:2:p:111-125.

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2018Higher co-moments and asset pricing on emerging stock markets by quantile regression approach. (2018). Luu, Toan Huynh ; Nguyen, Sang Phu. In: Business and Economic Horizons (BEH). RePEc:pdc:jrnbeh:v:14:y:2018:i:1:p:132-142.

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2018Modeling and forecasting commodity market volatility with long-term economic and financial variables. (2018). Walther, Thomas ; Nguyen, Duc Khuong. In: MPRA Paper. RePEc:pra:mprapa:84464.

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2018Herding Behaviour in the Cryptocurrency Market. (2018). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201834.

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2019Testing for Episodic Predictability in Stock Returns. (2019). Taylor, Robert ; Rodrigues, Paulo ; Robert, A M ; Georgiev, Iliyan ; Demetrescu, Matei. In: Working Papers. RePEc:ptu:wpaper:w201906.

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2018Investor Sentiment: Too Contagious to Ignore?. (2018). Soebhag, Amar. In: Applied Finance and Accounting. RePEc:rfa:afajnl:v:4:y:2018:i:1:p:54-72.

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2018The impact of fund attributes on performance: Empirical evidence for Polish equity funds. (2018). Filip, Dariusz. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:36:y:2018:i:2:p:465-488.

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2018Least Squares and IVX Limit Theory in Systems of Predictive Regressions with GARCH innovations. (2018). Magdalinos, Tassos. In: Working Paper series. RePEc:rim:rimwps:18-24.

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2018Interdependence between Monetary Policy and Stock Liquidity: A Panel VAR Approach. (2018). Debata, Byomakesh ; Mahakud, Jitendra. In: Margin: The Journal of Applied Economic Research. RePEc:sae:mareco:v:12:y:2018:i:4:p:387-413.

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2019An Empirical Analysis of the Russian Financial Markets’ Liquidity and Returns. (2019). Lebedeva, K. In: Вестник исследований бизнеса и экономики // Review of Business and Economics Studies. RePEc:scn:00rbes:y:2015:i:3:p:5-31.

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2019How does reserve ratio decreasing act on market: Empirical evidence from China. (2019). Wang, Yuxun. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:9:y:2019:i:5:f:9_5_2.

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2019Co-skewness across Return Horizons. (2019). Jin, Chenglu ; Cotter, John ; Conlon, Thomas. In: Working Papers. RePEc:ucd:wpaper:201910.

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Works by ALEXANDROS KOSTAKIS:


YearTitleTypeCited
2013On Monetary Policy and Stock Market Anomalies In: Journal of Business Finance & Accounting.
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article8
2010On monetary policy and stock market anomalies.(2010) In: SIRE Discussion Papers.
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This paper has another version. Agregated cites: 8
paper
2010On monetary policy and stock market anomalies.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2019A Single-Factor Consumption-Based Asset Pricing Model In: Journal of Financial and Quantitative Analysis.
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article0
2011Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis In: SIRE Discussion Papers.
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paper1
2013Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis In: SIRE Discussion Papers.
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paper11
2014Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis.(2014) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 11
article
2013Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 11
paper
2015Dividend policy, managerial ownership and debt financing: A non-parametric perspective In: European Journal of Operational Research.
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article3
2013Herding behavior in REITs: Novel tests and the role of financial crisis In: International Review of Financial Analysis.
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article34
2018Monetary policy shocks and financially constrained stock returns: The effects of the financial crisis In: International Review of Financial Analysis.
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article0
2011Cross-country effects in herding behaviour: Evidence from four south European markets In: Journal of International Financial Markets, Institutions and Money.
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article48
2011Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio In: Journal of Banking & Finance.
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article27
2012Higher co-moments and asset pricing on London Stock Exchange In: Journal of Banking & Finance.
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article7
2014Are there common factors in individual commodity futures returns? In: Journal of Banking & Finance.
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article34
2009Managerial ownership and performance In: Journal of Business Research.
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article22
2014On stock market illiquidity and real-time GDP growth In: Journal of International Money and Finance.
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article12
2009Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry In: Journal of Multinational Financial Management.
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article13
2011Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis In: Working Papers.
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paper1
2011Market Timing with Option-Implied Distributions: A Forward-Looking Approach In: Management Science.
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article36
2015Robust Econometric Inference for Stock Return Predictability In: Review of Financial Studies.
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article38
2012The Impact of Stock Market Illiquidity on Real UK GDP Growth In: Working Paper series.
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paper0
2007Spurious results in testing mutual fund performance persistence: evidence from the Greek market In: Applied Financial Economics Letters.
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article5
2008Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market In: The European Journal of Finance.
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article9
2009Performance measures and incentives: loading negative coskewness to outperform the CAPM In: The European Journal of Finance.
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article3
2017Financial constraints and asset pricing: comprehensive evidence from London Stock Exchange In: The European Journal of Finance.
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article0
2007Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors In: Discussion Papers.
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paper0

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