Evangelos Vasileiou

Bio: Evangelos Vasileiou is an academic researcher from University of the Aegean. The author has contributed to research in topics: Stock market & Recession. The author has an hindex of 6, co-authored 34 publications receiving 128 citations.

Behavioral finance and market efficiency in the time of the COVID-19 pandemic: does fear drive the market?

Abstract: In this study, we examine the efficiency of the US stock markets during the COVID-19 outbreak using a fundamental financial analysis approach, the constant growth model and a behavioral model inclu...

Health risk and the efficient market hypothesis in the time of COVID-19

Abstract: In this note, we show that the stock markets do not always incorporate all the available information because in many cases they slowly evaluate the news. Using simple statistical analysis, we show ...

Does the Financial Crisis Influence the Month and the Trading Month Effects? Evidence from the Athens Stock Exchange

Abstract: The aim of this study is to examine the month and the trading month effect under changing financial trends. We choose the Greek stock market to implement our assumption because there are clear and long term periods of financial growth and recession. Daily financial data from Athens Exchange General Index for the period 2002-2012 are considered. The paper employs several linear and non-linear models, although the TGARCH asymmetry model best fits in this sample and for this reason we mainly present the TGARCH results. Empirical results show that changing economic and financial conditions influence the calendar effects. Especially, the trading month effect totally changes in each fortnight according to the financial trend. On the other hand, in Greece the January effect exists during the growth periods, although it does not exist when the financial trend changes. The findings are helpful to anybody who invest and deals with the Greek stock market. Moreover, they may pave the way for an alternative calendar anomalies research approach, so it may be useful to investors who take into account these anomalies when they draw their investment strategy.

Efficient markets hypothesis in the time of COVID-19

Abstract: This paper examines how the largest stock market of the world, the U.S., and particularly the S&P500 index, reacted during the COVID-19 outbreak (02.01.2020-30.04.2020). Using simple financial and corporate analysis (adopting Constant Growth Model) procedures for our theoretical framework, we juxtapose the released news with the respective market performance in order to examine if the stock market always incorporated the available information in time. We show that the market in some sub-periods was not moving as it was expected, and the runs-test statistically confirmed our assumptions that the US stock market was not efficient during the COVID-19 outbreak. We find that in some cases the market does not incorporate the news instantly, is irrational, and non-sensible. All these make the market’s behavior unpredictable for a rational asset pricing model because as this paper shows even the simplest financial theories could explain rational behavior, but the market presented a different performance.

Does the financial crisis influence the month and the trading month effects?: Evidence from the Athens Stock Exchange

Abstract: Purpose – This paper aims to examine the month and the trading month effects under changing financial trends. The Greek stock market was chosen to implement the authors' assumptions because during the period 2002-2012, there were clear and long-term periods of financial growth and recession. Thus, the authors examine whether the financial trends influence not only the Greek stock market’s returns, but also its anomalies. Design/methodology/approach – Daily financial data from the Athens Exchange General Index for the period 2002-2012 are used. The sample is separated into two sub-periods: the financial growth sub-period (2002-2007), and the financial recession sub-period (2008-2012). Several linear and non-linear models were applied to find which is the most appropriate, and the results suggested that the T-GARCH model better fits the sample. Findings – The empirical results show that changing economic and financial conditions influence the calendar effects. The trading month effect, especially, completel...

Thinking fast and slow.

Abstract: In 1974 an article appeared in Science magazine with the dry-sounding title “Judgment Under Uncertainty: Heuristics and Biases” by a pair of psychologists who were not well known outside their discipline of decision theory. In it Amos Tversky and Daniel Kahneman introduced the world to Prospect Theory, which mapped out how humans actually behave when faced with decisions about gains and losses, in contrast to how economists assumed that people behave. Prospect Theory turned Economics on its head by demonstrating through a series of ingenious experiments that people are much more concerned with losses than they are with gains, and that framing a choice from one perspective or the other will result in decisions that are exactly the opposite of each other, even if the outcomes are monetarily the same. Prospect Theory led cognitive psychology in a new direction that began to uncover other human biases in thinking that are probably not learned but are part of our brain’s wiring.

Stock markets, banks and economic growth

Abstract: This thesis investigates the relationship between economic growth and financial development in developing countries over 1988-2001. Previous studies have generally used averaged data, for both developing and developed countries, and inappropriate estimation methods. In an attempt to reach some definitive conclusions, Generalised Method of Moments dynamic estimation is used with a newly collected panel of annual data to assess the relationship. The results show that while banks performance has a negative impact on growth, stock markets positively promote growth. To reach an overall conclusion about the impact of finance on growth and to solve the problems associated with the existence of multicollinearity among the different measures of financial development, principal components analysis is used to generate new, comprehensive measures of financial development. In assessing the link between the new measures and financial development and growth, the results support the existence of an overall positive relationship. The thesis also examines the behaviour of interest rates in developing and industrialised countries using individual and panel unit root tests. The results are sensitive to the choice of the test, country and time unit.