User profiles for Gregory Koutmos
Gregory KoutmosFairfield University, Dolan School of Business Verified email at fairfield.edu Cited by 4517 |
Asymmetric volatility transmission in international stock markets
G Koutmos, GG Booth - Journal of international Money and Finance, 1995 - Elsevier
The transmission mechanism of price and volatility spillovers across the New York, Tokyo
and London stock markets is investigated. The asymmetric impact of good news (market …
and London stock markets is investigated. The asymmetric impact of good news (market …
Temporal relationships and dynamic interactions between spot and futures stock markets
G Koutmos, M Tucker - The Journal of Futures Markets (1986 …, 1996 - search.proquest.com
The linkages and interactions of stock market returns and futures market returns have been
an area of intense empirical investigation. Several studies find that the futures market, in …
an area of intense empirical investigation. Several studies find that the futures market, in …
Modeling the dynamic interdependence of major European stock markets.
G Koutmos - Journal of Business Finance & Accounting, 1996 - search.ebscohost.com
The article talks about the modeling of the dynamic interdependence of major European
stock markets. The growing globalization of financial markets has been accompanied by a …
stock markets. The growing globalization of financial markets has been accompanied by a …
Index futures and positive feedback trading: evidence from major stock exchanges
A Antoniou, G Koutmos, A Pericli - Journal of Empirical Finance, 2005 - Elsevier
This paper tests the hypothesis that the introduction of index futures has increased positive
feedback trading in the spot markets of six industrialized nations. The analysis is based on a …
feedback trading in the spot markets of six industrialized nations. The analysis is based on a …
Asymmetric exchange rate exposure: theory and evidence
This paper tests the hypothesis that exchange rate exposure is asymmetric over
appreciation–depreciation cycles. More specifically, it investigates whether returns on nine sector …
appreciation–depreciation cycles. More specifically, it investigates whether returns on nine sector …
Feedback trading and the autocorrelation pattern of stock returns: further empirical evidence
G Koutmos - Journal of international money and finance, 1997 - Elsevier
This paper examines the pattern of autocorrelation of stock returns in several foreign stock
markets, assuming that some investors follow a positive feedback trading strategy. There is …
markets, assuming that some investors follow a positive feedback trading strategy. There is …
Asymmetries in the conditional mean and the conditional variance: Evidence from nine stock markets
G Koutmos - Journal of Economics and Business, 1998 - Elsevier
This paper tests the hypothesis that both the conditional mean and the conditional variance
of index stock returns are asymmetric functions of past information. For this purpose, an …
of index stock returns are asymmetric functions of past information. For this purpose, an …
Index futures and options and stock market volatility
A Pericli, G Koutmos - The Journal of Futures Markets (1986 …, 1997 - search.proquest.com
Derivative securities in general and index futures and options in particular have been blamed
for excess volatility in the spot market. The popular belief is that derivatives encourage …
for excess volatility in the spot market. The popular belief is that derivatives encourage …
Asymmetric price and volatility adjustments in emerging Asian stock markets
G Koutmos - Journal of Business Finance & Accounting, 1999 - Wiley Online Library
This paper tests the hypothesis that stock returns in emerging stock markets adjust
asymmetrically to past information. The evidence suggests that both the conditional mean and the …
asymmetrically to past information. The evidence suggests that both the conditional mean and the …
Positive feedback trading in emerging capital markets
Positive feedback trading can induce autocorrelation in stock returns and increase volatility.
If large numbers of market participants engage in positive feedback trading strategies asset …
If large numbers of market participants engage in positive feedback trading strategies asset …