• Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model.

      Apergis, Nicholas; Gozgor, Giray; Lau, Chi Keung Marco; Wang, Shixuan; University of Piraeus; Istanbul Medeniyet University; University of Huddersfield; University of Reading (Elsevier, 2018-11-01)
      The hidden semi-Markov model (HSMM) is more flexible than the hidden Markov model (HMM). As an extension of the HMM, the sojourn time distribution in the HSMM can be explicitly specified by any distribution, either nonparametric or parametric, facilitating the modelling for the stylised features of electricity prices, such as the short-lived spike and the time-varying mean. By using a three-regime HSMM, this paper investigates the hidden regimes in five Australian States (Queensland, New South Wales, Victoria, South Australia, and Tasmania), spanning the period from June 8, 2008 to July 3, 2016. Based on the estimation results, we find evidence that the three hidden regimes correspond to a low-price regime, a high-price regime, and a spike regime. Running the decoding algorithm, the analysis systemically finds the timing of the three regimes, and thus, we link the empirical results to the policy changes in the Australian National Electricity Market. We further discuss the contributing factors for the different characteristics of the Australian electricity markets at the state-level.
    • Dependence structure in the Australian electricity markets: New evidence from regular vine copulae

      Apergis, Nicholas; Gozgor, Giray; Lau, Chi Keung; Wang, Shixuan; University of Derby; Istanbul Medeniyet University; University of Huddersfield; University of Reading (Elsevier, 2020-07-01)
      In this study, regular vine copula was used to investigate the dependence structure of electricity prices at the state level in the Australian National Electricity Market (NEM), during three periods related to the adoption and abolition of the carbon tax. In the pre-carbon period, we found evidence of tail dependence separately in the northern and southern NEM, but not across them. During the carbon period, the joint spike in the northern NEM disappeared, and the tail dependence in the southern NEM decreased. In the post-carbon period, the best dependence structure turned out to be a flexible structure of the regular vine, which exactly matches the geographical infrastructure connectedness of transmission wires. Besides, both upper and lower tail dependences were found in all adjacent states after the abolition of the carbon tax, suggesting a more integrated market regarding tail dependence. Our findings have substantial implications for risk management in the NEM, especially for those participants exposed to multiple states.
    • The determinants of business start-ups in tertiary education: evidence for Greece through a panel data approach

      Apergis, Nicholas; Fafaliou, Irene; University of Piraeus; University of Piraeus (Springer, 2011-12-03)
      Up to now there is no consensus in the relevant literature on the exact factors that lead a student to entrepreneurship. In addition, evidence on differences in the entrepreneurial activity among regions and, even more, in the entrepreneurial education provided by individual universities, within the same region, call for context-specific longitudinal studies. The primary objective of this paper is to provide evidence on the determinants that influence the propensity of young students of a Greek University to establish a new business venture. The methodological approach employed is based on a questionnaire survey collecting data from 1,500 students, spanning the period 2005–2010. Data has been processed through the use of a panel cointegration and panel causality methodology. The empirical findings entail useful insights on students’ attitudes and perceptions of entrepreneurship.
    • The determinants of business start-ups in tertiary education: evidence for Greece through a panel data approach.

      Apergis, Nicholas; Fafaliou, Irene; University of Piraeus (Springer, 2011-12-03)
      Up to now there is no consensus in the relevant literature on the exact factors that lead a student to entrepreneurship. In addition, evidence on differences in the entrepreneurial activity among regions and, even more, in the entrepreneurial education provided by individual universities, within the same region, call for context-specific longitudinal studies. The primary objective of this paper is to provide evidence on the determinants that influence the propensity of young students of a Greek University to establish a new business venture. The methodological approach employed is based on a questionnaire survey collecting data from 1,500 students, spanning the period 2005–2010. Data has been processed through the use of a panel cointegration and panel causality methodology. The empirical findings entail useful insights on students’ attitudes and perceptions of entrepreneurship.
    • Developing a framework for Libyan abherrant consumer behaviour

      Abdelhadi, A.; Whysall, P.; Foster, Carley; Nottingham Trent University (2010)
    • Developing a project team brand: implications for practice

      Foster, Carley; Tansley, Carole; Nottingham Trent University (2008)
    • The development of an outsourcing process model

      Marshall, Donna; Lamming, Richard; Fynes, Brian; De Búrca, Seán (Taylor and Francis, 2005)
      This paper aims to develop a dynamic process view of outsourcing. In the research, a longitudinal, grounded theory approach was used, with iterative steps of reviewing the current literature and knowledge on outsourcing and, in parallel, empirically examining the processes occurring with three case companies. The case companies, all from the telecommunications industry, outsourced at least three activities, which were examined over the course of 4 years. The research provided a dynamic model of the outsourcing process as well as identifying key drivers and influences on the process.
    • Diversity management and the line manager

      Harris, Lynette; Foster, Carley; Nottingham Trent University (2004)
    • Do energy prices affect U.S. investor sentiment?

      Apergis, Nicholas; Cooray, Arusha; Rehman, Mobeen Ur; University of Piraeus; University of Nottingham, Malaysia; Szabist Islamabad (Taylor & Francis, 2017-10-27)
      The current literature has examined the effect of investor sentiment on energy prices, but no study ever has explored the validity of the reverse question. Therefore, this paper explores whether energy prices, i.e. crude oil and natural gas prices, affect U.S. investor sentiment, using the methodology of quantile regression. The empirical results document that controlling for a number of U.S. macroeconomic and financial factors, there exists a statistically significant association between oil and natural gas prices and investor sentiment. However, only natural gas prices appear to retain their statistical significance over the majority of quantiles. These findings received robust support under alternative measures of the investor sentiment index.
    • Do fiscal shocks explain bond yield in high and low debt economies

      Apergis, Nicholas; Rehman, Mobeen; Cooray, Arusha; University of Derby; Ton Duc Thang University; Embassy of Sri Lanka, Oslo, Norway (Emerald, 2020-06-29)
      The goal of this paper is to explore determinants of short-, medium- and long-run bond yields through time series data analysis for 11 developed countries, with five of them being high-debt and remaining as the low-debt economies. By applying variance decomposition using structural vector autoregression (SVAR) model, empirical findings confirm an important role of demand and supply factors that drive the interest rates across their frequency spectrum. Our results also highlight that for interest rates of different maturities, these factors exhibit heterogeneous behavior across high- and low-debt countries during the pre- and post-crisis regimes.
    • Do gold prices respond to real interest rates? Evidence from the Bayesian Markov switching VECM model

      Apergis, Nicholas; Apergis, Hercules; Cooray, Arusha; Khraief, Naceur; University of Piraeu; University of Kent; Sri Lanka Embassy; Université de Tunis (Elsevier, 2019)
      The goal of this paper is to examine the transmission dynamics between the real interest rate and gold prices in the G7. The methodology follows the Bayesian Markov-Switching Vector Error-Correction (MS-VECM) model, along with regime-dependent impulse response functions, spanning the period 1975 to 2016. The findings suggest a positive association between gold prices and real interest rates, with the estimates remaining consistently positive and statistically significant across all G7 countries. The results indicate that gold prices can provide hedging services against real interest rate movements mainly during recessionary times. Our results continue to be robust when we extend the bivariate version of our modeling approach to include more drivers for gold prices.
    • Do market fundamentals determine the Dollar–Euro exchange rate?

      Apergis, Nicholas; Zestos, George; Shaltayev, Dimitry; University of Piraeus; Christopher Newport University; Christopher Newport University (Elsevier, 2012-01)
      The study searches for an optimal Dollar–Euro exchange rate policy for the US and the Euro Area (EA) countries. To achieve this, it explores the causal links between the US Dollar–Euro exchange rate and three key macroeconomic variables. The empirical investigation is carried out in an Error Correction Vector Autoregressive (ECVAR) framework based on the theory of cointegration and error-correction representation of cointegrated variables. The results provide evidence in favor of the presence of a long-run relationship between the exchange rate and the spread between US and EA (Eurozone) interest rates. With respect to the direction of causality, the empirical findings show that in the long and short-run there is a uni-directional causal relationship between interest-rate spreads and the US Dollar–Euro exchange rate. This result constitutes a strong message for policy advising to fiscal and monetary authorities on both sides of the Atlantic, and beyond.
    • Does convergence really matter for the environment? An application based on club convergence and on the ecological footprint concept for the EU countries.

      Ulucak, Recep; Apergis, Nicholas; Erciyes University; University of Piraeus (Elsevier, 2017-11-20)
      The ecological footprint has currently become a highly popular environmental performance indicator. It provides the basis for setting goals, identifying options for action, and tracking progress toward stated goals. This paper investigates the convergence of the per capita ecological footprint by employing the annual data for the case of the European Union countries, spanning the period 1961 to 2013. The methodology follows the club clustering approach and the empirical findings document the presence of certain convergent clubs. These empirical results clarify the differences in terms of environmental quality, as well as the awareness strategies the EU members in each club need to follow.
    • Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach.

      Apergis, Nicholas; Bonato, Matteo; Gupta, Ragan; Kyei, Clement; University of Piraeus; University of Johannesburg; University of Pretoria (Taylor & Francis, 2017-02-17)
      We use the k-th-order nonparametric causality test at monthly frequency over the period of 1985:1 to 2016:06 to analyze whether geopolitical risks can predict movements in stock returns and volatility of 24 global defense firms. The nonparametric approach controls for the existing misspecification of a linear framework of causality, and hence, the mild evidence of causality obtained under the standard Granger tests cannot be relied upon. When we apply the nonparametric test, we find that there is no evidence of predictability of stock returns of these defense companies emanating from the geopolitical risk measure. However, the geopolitical risk index does predict realized volatility in 50% of the companies. Our results indicate that while global geopolitical events over a period of time is less likely to predict returns, such global risks are more inclined in affecting future risk profile of defense firms.
    • Does Happiness Converge?

      Apergis, Nicholas; Georgellis, Yiannis; University of Piraeus; Kingston University (Springer, 2014-01-09)
      Using the Phillips and Sul (Econometrica 75:1771–1855, 2007) club convergence and clustering procedure, we examine happiness convergence dynamics across Europe. Although we reject the hypothesis of full convergence, we find evidence of distinct happiness convergence clubs. Against the background of a weak link between income and happiness in the existing literature, we advocate that happiness convergence is a legitimate policy goal on its own right as well as a useful barometer of changes in the political landscape, societal values, and citizens’ sentiments about developments in the European Union.
    • Does more complex language in FOMC decisions impact financial markets?

      Smales, Lee; Apergis, Nicholas; Curtin University; University of Piraeus (Elsevier, 2017-10-10)
      This paper is built around a simple premise that is based on the theoretical models of Harris and Raviv (1993) and Kandel and Pearson (1995). Complex statements are more difficult to interpret and may be construed in different ways by different agents. This creates heterogeneity of beliefs among market participants that manifests in increased market activity. We introduce novel measures of linguistic complexity (readability and word count) for the FOMC statements that accompany monetary policy decisions. The empirical evidence shows that monetary policy surprises have a significant impact on financial markets, and clearly demonstrates that more complex language significantly increases the trading volume, and volatility of returns, in stock, bond, and currency markets. We also establish that financial markets are more responsive to monetary policy decisions (and the language of those statements) during recession.
    • Does renewable energy consumption and health expenditures decrease carbon dioxide emissions? Evidence for sub-Saharan Africa countries.

      Apergis, Nicholas; Jebli, Mehdi Ben; Youssef, Slim Ben; University of Piraeus; University of Jendouba; University of Manouba (Elsevier, 2018-05-14)
      This paper employs panel methodological approaches to explore the link between per capita carbon dioxide (CO2) emissions, per capita real gross domestic product (GDP), renewable energy consumption, and health expenditures as health indicator for a panel of 42 sub-Saharan Africa countries, spanning the period 1995–2011. Empirical results support a long-term relationship between variables. In the short-run, Granger causality reveals the presence of unidirectional causalities running from real GDP to CO2 emissions, to renewable energy consumption, and to heath expenditures, and bidirectional causality between renewable energy consumption and CO2 emissions. In the long-run, there is a unidirectional causality running from renewable energy consumption to health expenditures, and bidirectional causality between health expenditures and CO2 emissions. Our long-run elasticity estimates document that both renewable energy consumption and health expenditures contribute to the reduction of carbon emissions, while real GDP leads to the increase of emissions. We recommend these countries to pursue their economic growth and invest in health care and renewable energy projects, which will enable them to benefit from their abundant wealth in renewable energy resources, improve the health conditions of their citizens, and fight climate change.
    • Does software piracy always represent consumer misbehaviour?

      Abdelhadi, A.; Whysall, P.; Foster, Carley; Nottingham Trent University (2011)
      This study aims to explore whether or not software piracy is perceived as consumer misbehaviour in Libya. Both qualitative and quantitative methods have been used; data were collected by interviewing 10 marketers and through a questionnaire surveying 219 Libyan consumers. The study found that almost all of the software in the Libyan market is copied in ways that would be considered illegal in Western societies but the marketers interviewed did not consider this as misbehaviour. Instead, some of them were actively encouraging consumers to adopt this pattern of behaviour. Also, nearly half (49.4%) of the sample had positive attitudes toward software piracy and 43% had an intention to conduct this behaviour. Furthermore, only 34% of consumers thought that software piracy is illegal, despite laws existing that protect intellectual property rights.
    • Does stock market liquidity explain real economic activity? New evidence from two large European stock markets.

      Apergis, Nicholas; Artikis, Panagiotis; Kyriazis, Dimitrios; Northumbria University; University of Piraeus (Elsevier, 2015-05-19)
      This paper examines the relationship between stock market liquidity, which proxies for the implicit cost of trading shares, with macroeconomic conditions. We provide evidence that stock market liquidity contains strong and robust information about the condition of the economy for both the UK and Germany in the presence of well-established leading indicators. Our findings exemplify the importance of small cap firms’ liquidity in explaining the state of the economy and support the “flight-to-quality argument”. Finally, the empirical findings show that there is not any differential role of liquidity in explaining the course of macroeconomic variables between a capital market and a bank-oriented economy.
    • Domestic and eurocurrency yields: Any exchange rate link? Evidence from a VAR model

      Apergis, Nicholas; University of Macedonia (Elsevier, 1997-02)
      This paper examines the issue of the impact of domestic money markets on Eurocurrecy interest rates by taking into consideration the exchange rate changes for the case of four countries, namely, the United States, the United Kingdom, Germany, and Japan over the 1975–1993 time period. Granger causality tests conclude that as regards cases where the exchange rate is allowed freely to float there exists mutual influence between domestic interest rates and Eurocurrency yields. By contrast, in cases that the exchange rate is relatively fixed, it is the behavior of international money markets that determines the course of the domestic money market.