Browsing Research Publications by Authors
Contagion across US and EU financial markets: Evidence from the CDS marketsApergis, Nicholas; Christou, Christina; Kynigakis, Jason; University of Derby; Open University of Cyprus; University of Kent (Elsevier, 2019-05-02)This study investigates whether contagion occurred during the recent global financial crisis across EU and US financial markets. The methodology used to test for contagion is the Forbes and Rigobon cross-correlation test, the Li and Zhu non-parametric test, the Fry et al. coskewness test and the Hsiao cokurtosis and covolatility tests. These tests are applied to a set of bank sector CDS, insurance sector CDS, sovereign bonds, equity and volatility indices. The findings indicate significant evidence of contagion, especially through the channels of higher order moments.
U.S. monetary policy and herding: Evidence from commodity marketsApergis, Nicholas; Christou, Christina; Hayat, Tasawar; Saeed, Tareq; University of Derby; Open University of Cyprus; King Abdulaziz University (Springer, 2020-08-28)This paper investigates the presence of herding behavior across a spectrum of commodities (i.e., agricultural, energy, precious metals, and metals) futures prices obtained from Datastream. The main novelty of this study is, for the first time in the literature, the explicit investigation of the role of deviations of U.S. monetary policy decisions from a standard Taylor-type monetary rule, in driving herding behavior with respect to commodity futures prices, spanning the period 1990-2017. The results document that the commodity markets are characterized by herding, while such herding behavior is not only driven by U.S. monetary policy decisions, but also such decisions exert asymmetric effects this behavior. An additional novelty of the results is that they document that herding is stronger in discretionary monetary policy regimes.