Dr Vasileios Pappas

Senior Lecturer in Accounting and Finance

Academic and research departments

Department of Finance and Accounting.


Research interests



Marwan Izzeldin, Jill Johnes, Steven Ongena, Vasileios Pappas, Mike Tsionas (2021)Efficiency convergence in Islamic and conventional banks, In: Journal of international financial markets, institutions & money70101279 Elsevier B.V

•We compare the efficiency dynamics of Islamic and conventional banks across countries.•Steady state and convergence rates vary by bank type and by country.•Financial depth, stability and concentration affect the alignment of banking systems.•Bank-wise the alignment is linked to diversified income, profitability and stability. This paper examines how efficiency dynamics of Islamic and conventional banks compare and how they are converging across different countries. We employ both parametric and non-parametric methods to analyse a panel of Islamic and conventional banks from 23 countries during the period 1999 to 2014. Parametric methods (stochastic frontiers methods) shows that both steady state efficiency and the speed of convergence of Islamic and conventional banks are similar. A non-parametric framework (classification trees) identifies a varying degree of alignment between the Islamic and conventional banking model across countries, which could explain the plurality in conclusions in the Islamic/conventional bank efficiency debate. We find that the alignment between the two bank types is positively related to the country’s financial depth, transparency, economic stability and banking concentration. At the bank level, the alignment in the two banking systems is associated with higher income diversification, liquidity, profitability and financial stability.

Marwan Izzeldin, Yaz Gulnur Muradoglu, Vasileios Pappas, Sheeja Sivaprasad (2021)The impact of Covid-19 on G7 stock markets volatility: Evidence from a, In: International review of financial analysis74101671 Elsevier

We investigate the impact of Covid-19 on stock markets across G7 countries and their business sectors. We highlight the synchronicity and severity of this unprecedented crisis. We find strong transition evidence to a crisis regime in all countries and sectors, yet crisis intensity and timings vary. The Health Care and Consumer services sectors were the most severely affected; a reflection of the Covid-19 drug-race and international travel restrictions. The Technology sector was hit the latest and least severely, as imposed lockdown measures forced people to explore various web-based entertainment and distraction options. Country-wise the UK and the US were the most affected with the highest heterogeneity in their business sectors' response; a possible reflection of the ambiguity in the initial response and adoption of lockdown measures. Financial markets' response to Covid19 is akin to response in previous financial crisis rather than previous pandemics. A series of robustness checks confirms our findings.

Christos Alexakis, Michael Dowling, Vasileios Pappas, Manimozhi Ramachandiran, Favianos Skalvos (2021)Do hotel financial factors influence satisfaction?, In: Annals of tourism research90103128 Elsevier Ltd

•Financial measures are related to hotel guest satisfaction.•Investment in guest amenities is particularly important for satisfaction.•Long-term is preferred to short-term investment.

Momna Saeed, Marwan Izzeldin, M. Kabir Hassan, Vasileios Pappas (2020)The inter-temporal relationship between risk, capital and efficiency: The case of Islamic and conventional banks, In: Pacific-Basin finance journal62101328 Elsevier

The paper investigates the relationship between risk, capital and efficiency for Islamic and conventional banks using a dataset spanning 14 countries. We use the z-score as a proxy for insolvency risk, cost efficiency is estimated via a stochastic frontier approach and capitalisation is reflected on the equity to assets ratio. An array of bank-specific, macroeconomic and market structure variables are used in a system of three equations, estimated using the seemingly unrelated regression (SUR) technique. We find that the capitalisation response to increases in insolvency risk is more pronounced for Islamic banks but has an approximately five-times smaller effect on risk mitigation compared to conventional banks. Higher cost efficiency is related to lower risk for conventional banks, but the opposite is true for Islamic banks. The link between cost efficiency and capitalisation attests to a substitutional effect for the case of conventional banks, but a complementary effect for Islamic banks. Our findings give new insights on the use of efficiency to gauge capital requirements for financial institutions and are particularly relevant for regulators and policy makers in countries where both bank types operate.

Marwan Izzeldin, M. Kabir Hassan, Vasileios Pappas, Mike Tsionas (2019)Forecasting realised volatility using ARFIMA and HAR models, In: Quantitative finance19(10)pp. 1627-1638 Routledge

Recent literature provides mixed empirical evidence with respect to the forecasting performance of ARFIMA and HAR models. This paper compares the forecasting performance of both models using high frequency data of 100 stocks representing 10 business sectors for the period 2000-2010. We allow for different sectors, changing market conditions, variation in the sampling frequency and forecasting horizons. For the overall sample and using the 300 sec sampling frequency, the forecasting performance of both models is indistinguishable. However, differences arise under different market regimes, forecasting horizons and sampling frequencies. ARFIMA models are superior for the crisis and pre-crisis sub-samples. HAR forecasts are less sensitive to regime change and to longer forecasting horizons. Variations in forecasting performance could also be explained using differences in the levels of persistence underlying each model.

Christos Alexakis, Marwan Izzeldin, Jill Johnes, Vasileios Pappas (2019)Performance and productivity in Islamic and conventional banks: Evidence from the global financial crisis, In: Economic modelling79pp. 1-14 Elsevier

We assess the performance and productivity of Islamic and conventional banks using financial ratios, a two- and a four-component meta-frontier Malmquist productivity index (MPI). We focus on the relatively homogenous GCC region over the 2006-2012 period that covers the global financial crisis. We find that Islamic banks exhibit worse cost and profit performance but are on a par with regards to revenue performance compared to the conventional ones. The components of the meta-frontier MPI suggest that the technology of conventional banks improves markedly in years leading to the financial crisis and declines thereafter. Islamic banks show a similar but more muted pattern. By contrast, the pronounced within-Islamic bank group variation in technical efficiency and technology suggests that Islamic banks are quite heterogeneous as a group. Overall, the MPI analysis suggests that the two bank types are more aligned following the global financial crisis. Policy makers should be wary of the important variations within the Islamic banking industry when implementing bank regulations.

Waheed Akhter, Vasileios Pappas, Saad Ullah Khan (2017)A comparison of Islamic and conventional insurance demand: Worldwide evidence during the Global Financial Crisis, In: Research in international business and finance42pp. 1401-1412 Elsevier B.V

•We compare the demand for conventional and Islamic insurance products.•Demand for Islamic insurance has been more resilient during the GFC.•The Islamic insurance demand is found to be unrelated to the saving rate.•Islamic insurance in the ASEAN region is deemed as a substitute to the conventional. In this paper we compare the Islamic insurance industry (Takaful) to the conventional insurance across 14 countries over the 2005–2014 period. Our methodology relies on panel regressions and accounts for the periods during and post the global financial crisis (GFC). Specifically, we investigate: i) the difference in the insurance demand dynamics of the two insurance types; ii) if Islamic insurance demand has been boosted in the period that followed the crisis. To allow for cross-country heterogeneities we form sub-samples of high/low insurance regions and ASEAN/Middle East. We find Islamic and conventional insurance demand to be negatively affected by GDP/capita, albeit the Islamic showing a greater resilience during crisis. A negative link between conventional insurance and saving rate shows that conventional saving products work as substitutes to conventional insurance. Higher average income is positively (negatively) related to Islamic insurance demand in the Middle East (ASEAN), a finding plausibly related to the different practices relating to Islamic finance in the two regions.

Vasileios Pappas, Steven Ongena, Marwan Izzeldin, Ana-Maria Fuertes (2017)A Survival Analysis of Islamic and Conventional Banks, In: Journal of financial services research51(2)pp. 221-256 Springer Nature

Are Islamic banks inherently more stable than conventional banks? We address this question by applying a survival analysis based on the Cox proportional hazard model to a comprehensive sample of 421 banks in 20 Middle and Far Eastern countries from 1995 to 2010. By comparing the failure risk for both bank types, we find that Islamic banks have a significantly lower risk of failure than that of their conventional peers. This lower risk is based both unconditionally and conditionally on bank-specific (microeconomic) variables as well as macroeconomic and market structure variables. Our findings indicate that the design and implementation of early warning systems for bank failure should recognize the distinct risk profiles of the two bank types.

Athanasia Papastergiou, Vasileios Pappas (2019)A comparison of sighted and visually impaired children’s text comprehension, In: Research in developmental disabilities85pp. 8-19 Elsevier Ltd

•Visually impaired children show an advantage for literal questions.•Use of a non-parametric bootstrap augmented technique and regression techniques.•Visually impaired children show better overall performance under both modalities.•Implications for educational materials in Braille script. Do children with visual impairments outperform their sighted cohorts in reading and auditory comprehension tasks? We address this question by applying panel regression techniques on a comprehensive sample of 16 children with visual impairments from a Greek special school for students with visual impairments. By comparing the reader comprehender profile for both children types, we find that the children with visual impairments perform better than their sighted counterparts. The better performance is supported both unconditionally and conditionally on idiosyncratic characteristics, such as age, text complexity, modality, sex and reading ability. Decomposing the reader comprehender profile into a literal, global and local type of questions we find that the results are mainly driven by the superior performance of the children with VI in the literal questions.

Christos Alexakis, Vasileios Pappas, Alexandros Tsikouras (2017)Hidden cointegration reveals hidden values in Islamic investments, In: Journal of international financial markets, institutions & money46pp. 70-83 Elsevier B.V

•We employ hidden cointegration for Islamic and conventional stock market indices.•Cointegration dynamics are different for the positive, negative and cross price components.•Investors may decode information differently in positive and negative markets.•An Islamic Index offers risk reduction especially in negative markets. We explore long-run relationships between Islamic and conventional equity indices for the period 2000–2014. We adopt a hidden co-integration technique to decompose the series into positive and negative components; thus allowing the investigation of the indices during upward and downward markets. We find evidence of bi-directional dynamics during upward, downward and some mixed market movements. However, after adding control variables to our models, only the relationship for the negative components retains its significance; indicating that the Islamic index is the least responsive during bad times. This highlights the robust nature of Islamic investments and a possible differentiated investor reaction to financial information during market downtrends. Implications for practitioners are highlighted in a case study.

Christos Alexakis, Vasileios Pappas (2018)Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes, In: Economic modelling73pp. 222-239 Elsevier B.V

In this paper, we investigate the existence of financial contagion in the European Union during the recent Global Financial Crisis (GFC) of 2007–2009 and the European Sovereign Debt Crisis (ESDC) that started in 2009. Our sample includes sectorial equity indices for 15 countries from 2004 to 2014. We adopt an ADCC-GJR-GARCH model for the time-varying correlations and a Markov-Switching model to identify the lead/lag relationship in crisis transition dates across the countries and the sectors. We assess the patterns of financial contagion by sector and by country. Our results support the existence of financial contagion in all business sectors under the GFC and the ESDC. Financials and Telecommunications are the most affected, while the Industrials and the Consumer Goods the least in each crisis respectively. Stock markets in the Core EU are the most affected in both crises. We find evidence of a non-synchronised transition of all countries to the crisis regime, in both crises. We believe that our results may provide useful insights for investors and policy makers. •We assess cross-country and cross-sector financial contagion for GFC/ESDC crises.•Financials (Telecommunications) is the most affected in the GFC (ESDC) crisis.•Industrials (Consumer Goods) is the least affected in the GFC (ESDC) crisis.•The Core EU (PIIGS) country group was affected first in the GFC (ESDC) crisis.•All countries & sectors experienced financial contagion at varying magnitudes.

Athanasia Papastergiou, Vasileios Pappas, Eirini Sanoudaki (2022)The executive function of bilingual and monolingual children: A technical efficiency approach, In: Behavior research methods54(3)pp. 1319-1345

This paper introduces a novel approach to evaluate performance in the executive functioning skills of bilingual and monolingual children. This approach targets method- and analysis-specific issues in the field, which has reached an impasse (Antoniou et al., 2021). This study moves beyond the traditional approach towards bilingualism by using an array of executive functioning tasks and frontier methodologies, which allow us to jointly consider multiple tasks and metrics in a new measure; technical efficiency (TE). We use a data envelopment analysis technique to estimate TE for a sample of 32 Greek-English bilingual and 38 Greek monolingual children. In a second stage, we compare the TE of the groups using an ANCOVA, a bootstrap regression, and a k-means nearest-neighbour technique, while controlling for a range of background variables. Results show that bilinguals have superior TE compared to their monolingual counterparts, being around 6.5% more efficient. Robustness tests reveal that TE yields similar results to the more complex conventional MANCOVA analyses, while utilising information in a more efficient way. By using the TE approach on a relevant existing dataset, we further highlight TE's advantages compared to conventional analyses; not only does TE use a single measure, instead of two principal components, but it also allows more group observations as it accounts for differences between the groups by construction.

Christos Alexakis, Mark Cummins, Michael Dowling, Vasileios Pappas (2018)A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency, In: Applied economics50(36)pp. 3949-3965 Taylor & Francis (Routledge)

We use ultra high frequency (trade by trade) data to demonstrate that equity price clustering and pricing predictability around psychologically important prices in Greece switches away from drachma-focused with the introduction of the euro, but does not immediately switch to euro-clustering. The change in trader price focus around the euro introduction addresses an open debate in the clustering literature on whether the presence of clustering is a bias related to current prices or anchoring to past prices. Our findings of a decline in drachma clustering, but lack of switch to euro effects supports the case for clustering being a trading feature that is slow to transfer to new pricing regimes. A key advantage of the ultra high frequency dataset is we are also able to demonstrate the presence of psychological pricing barriers related to each currency that are not detectable in daily data.

Vasileios Pappas (2020)Islamic Finance, In: Recent Advances and Applications in Alternative Investmentspp. 306-334 IGI Global

The Islamic finance industry is estimated around $1.7 trillion with substantial growth momentum over the past decades. It is now, particularly in the Middle and Far East, too important to be ignored. In this chapter we review the most salient features of Islamic finance, including the key differentiating features from the rest of the conventional financial universe. A significant volume of research focuses on the comparative performance of Islamic and conventional banks across a wide range of metrics, such as profitability, risk and efficiency. Islamic stock and bonds markets are also an important segment of the related comparative literature and we review these studies too. The aim of this chapter is to provide a comprehensive and up-to-date review of the extant literature, useful for academics and practitioners with little or significant experience in the Islamic finance sector.

Ghulam Sorwar, Vasileios Pappas, John Pereira, Mohamed Nurullah (2016)To debt or not to debt: Are Islamic banks less risky than conventional banks?, In: Journal of economic behavior & organization132pp. 113-126 Elsevier B.V

•The aim of this paper is to compare estimates of market risk for Islamic and conventional bank over for the period 2000–2013 across pre-financial crisis, during financial crisis and post financial crisis periods. To the best of our knowledge this is the first attempt to compare and contrast the market risk of Islamic banks with conventional banks.•We use estimates of Value-at-Risk (VaR) and Expected Shortfall (ES) which incorporates losses beyond VaR as market risk measures for both univariate and multivariate portfolios.•Univariate analysis finds no discernible differences between Islamic and conventional banks. However, dynamic correlations obtained via a multivariate setting shows Islamic banks to be less riskier for both sets of conventional banks; and especially so during the recent global financial crisis.•The policy implications are: (i) that the inclusion of Islamic banks within asset portfolios may mitigate potential risk; (ii) that the Basel committee should consider the ES measure of risk for Islamic banks in preference to the current VaR methodology, which over-estimates the market risk of Islamic banks. We empirically analyze the market risk profiles of Islamic banks with two sets of conventional banks taken from the same geographical locations as Islamic banks and from a random global sample respectively for the period 2000–2013. Moreover, we divided our sample period into pre-financial crisis, during financial and post financial crisis. Estimates of Value-at-Risk (VaR) and Expected Shortfall (ES) which incorporates losses beyond VaR are used as market risk measures for both univariate and multivariate portfolios. Our key input is the share price by market capitalization of publicly traded banks of similar size in Islamic and non-Islamic countries. Univariate analysis finds no discernible differences between Islamic and conventional banks. However, dynamic correlations obtained via a multivariate setting shows Islamic banks to be less riskier for both sets of conventional banks; and especially so during the recent global financial crisis. The policy implications are: (i) that the inclusion of Islamic banks within asset portfolios may mitigate potential risk; (ii) that the Basel committee should consider the ES measure of risk for Islamic banks in preference to the current VaR methodology, which over-estimates the market risk of Islamic banks.

Waheed Akhter, Vasileios Pappas, Saad Ullah Khan (2020)Insurance demand in emerging Asian and OECD countries: a comparative perspective, In: International journal of social economics47(3)pp. 350-364 Emerald Group Publishing

Purpose In this paper, we aim to assess insurance demand across selected Asian and OECD countries during the period of the global financial crisis. Design/methodology/approach We collected data from 55 emerging Asian and OECD countries during the period of the global financial crisis. Our methodology relies on panel regressions. Separate models are run for the Asia/OECD economies and a follow-up distinction between high/low-income regions is also made. Findings We find that global financial crisis affects negatively the general insurance demand particularly in high-income region. Higher dependency ratio in Asia tends to decrease insurance demand, whereas education in case of Asia positively influences insurance demand indicating that higher literacy rate can be helpful to capture the potential customers. Our results further reveal that life insurance is an important driver for insurance demand in OECD countries, whereas general insurance demand is higher in the Asian economies. Originality/value This is one of the pioneering studies that have assessed insurance demand among emerging Asian and OECD countries during the period of the global financial crisis.

Vasileios Pappas, Hilary Ingham, Marwan Izzeldin, Gerry Steele (2016)Will the crisis “tear us apart”? Evidence from the EU, In: International review of financial analysis46pp. 346-360 Elsevier Inc

We examine the synchronisation of the European Union (EU) financial markets before and during the 2007 global financial crisis. We use an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH framework to control for the time-varying correlations and a Markov-Switching model to identify regime changes. Our sample considers 27 EU nations for the period 2000–2011. For each nation we formulate several characteristics of the crisis such as, synchronicity, duration and intensity measures. We find that the more recent EU members had a lagged entry to the crisis regime, were less adversely affected, show higher correlation between their stock markets and have their credit scores being revised more frequently relative to established EU members. We also find that higher levels of sovereign debt and lower levels of industrialisation positively impact crisis duration and intensity. Our results refute the notion of uniform integration of EU financial markets as evident from the highly non-synchronised observed crisis experience among the EU members. As such, one-size fits all policies are likely to be ineffective. •We construct measures for the synchronisation, duration and intensity of the crisis.•We document evidence of a differentiated crisis experience across all EU members.•We confirm the presence of financial contagion in five of the six nation groups.•Not all of EU's stock markets enter the crisis at the same time.•On average the nations of the EU-15 are affected earlier than the New Member States.

Jill Johnes, Marwan Izzeldin, Vasileios Pappas (2014)A comparison of performance of Islamic and conventional banks 2004-2009, In: Journal of economic behavior & organization103pp. S93-S107 Elsevier

We compare the efficiency of Islamic and conventional banks during the period 2004-2009 using data envelopment analysis (DEA) and meta-frontier analysis (MFA). The use of the non-parametric MFA allows for the decomposition of gross efficiency (i.e. the efficiency of banks when measured relative to a common frontier) into 2 components: net efficiency (the efficiency of banks measured relative to their own bank type frontier) and type efficiency (the efficiency which relates to modus operandi). This approach is new to the Islamic banking literature. The analysis is performed in two stages. The first stage employs DEA and MFA to compare banks on the basis of gross efficiency and its components (net and type). We find that Islamic banks are typically on a par with conventional ones in terms of gross efficiency, significantly higher on net efficiency and significantly lower on type efficiency. Second stage analyses, which account for banking environment and bank-level characteristics, confirm these results. The low type efficiency of Islamic banks could be attributed to lack of product standardization whereas high net efficiency reflects high managerial capability in Islamic banks. These findings are relevant to both policy-makers and regulators. In particular, Islamic banks should explore the benefits of moving to a more standardized system of banking, while the underperformance of conventional bank managers could be examined in the context of the on-going remuneration culture. (C) 2013 Elsevier B.V. All rights reserved.

Christos Alexakis, Vasileios Pappas, Athina Petropoulou (2020)How Islamic banks compare to other financial institutions
Emmanuel Mamatzakis, Christos Alexakis, Khamis Al Yahyaee, Vasileios Pappas, Asma Mobarek, Sabur Mollah (2023)Does corporate governance affect the performance and stability of Islamic banks?, In: Corporate governance (Bradford)23(4)pp. 888-919 Emerald

Purpose This paper aims to investigate the impact of corporate governance practices on cost efficiency and financial stability for a sample of Islamic and conventional banks. In the analysis, the author uses a set of corporate governance variables that include, the board size, board independence, director gender, board meetings, board attendance, board committees, chair independence and CEO characteristics. Design/methodology/approach The author uses corporate governance data of Islamic banks that is unique in this field. In the analysis, the author also uses stochastic frontier analysis and panel vector autoregression models to quantify long-run and short-run statistical relationships between the operational efficiency of Islamic Banks and corporate governance practices. Findings According to the results, Islamic and conventional banks exhibit important differences in the effects of corporate governance practices on cost efficiency and financial stability. Results show that with a blind general adoption of corporate governance practices, Islamic banks may suffer a loss in their value since the adoption of the third layer of binding practices, over and above the already existing ones, imposed by the Sharia Board and the Board of Directors, may lead to cumbersome business operations. This conclusion is of importance to Islamic Banks since they struggle to survive in a very competitive international environment. Practical implications The author believes that the results may be of a certain value to regulators, policymakers and managers of Islamic banks. Based on the results, the author postulate that Islamic banks should select carefully international corporate governance practices. Social implications Islamic banks should not adopt additional third layer of binding practices as that would result lower performance and instability that would be damaging for the economy Originality/value This study employs a unique sample of Islamic banks that includes corporate governance data hand collected. Our findings of the corporate governance impact on Islamic banks performance and stability are therefore unique in the literature.

Christos Alexakis, Dimitris Kenourgios, Vasileios Pappas, Athina Petropoulou (2021)From dotcom to Covid-19: A convergence analysis of Islamic investments, In: Journal of international financial markets, institutions & money75101423 Elsevier B.V

•We document strong convergence of Islamic and conventional investments across time.•Sectoral divergence is evidenced only in conventional investments during crises.•Convergence dynamics of Islamic investments are more distinct during crises.•On average Islamic investments offer 7% risk reduction in a portfolio at 64 bp/month.•During Covid-19 investors could pay 466 bp for Islamic diversification benefits. This paper goes beyond the extant comparisons of Islamic and conventional investments by econometrically assessing their convergence dynamics, in a dataset spanning over 1996–2020, covering ten business sectors and five episodes of crisis. We use a dynamic multivariate framework to estimate time-varying correlations, which we submit to beta and sigma-convergence analysis. Subsequently we examine how convergence dynamics affect portfolio risk management and crisis propagation. Our results show strong convergence of Islamic and conventional investments. During crises conventional convergence rates double, but Islamic ones are less affected. Sectoral diversification works best for conventional investments; Islamic ones behave as a single entity. On average we document a 7% risk diversification benefit from Islamic investments, at a 64 basis points cost. Yet, at the epicentre of the Covid-19 financial crisis this rises to 466 basis points and highlights the resilience of these investments in an exogenous event. Islamic investments reduce volatility spillovers in the financial system, but they are progressively less insulated across time. Our findings withstand a battery of robustness checks and are primarily useful to policy makers and investors.

Rodrigo Hizmeri, Marwan Izzeldin, Ingmar Nolte, Vasileios Pappas (2022)A Generalized Heterogeneous Autoregressive Model using Market Information, In: Quantitative finance22(8)pp. 1513-1534 Routledge

This paper introduces a novel class of volatility forecasting models that incorporate market realized (co)variances and semi(co)variances within the framework of a heterogeneous autoregressive (HAR) model. Our empirical analysis shows statistically and economically significant forecasting gains. For our most parsimonious market-HAR specification, stock volatility forecasting is improved by 9.80% points. Using a mixed sampling frequency market-HAR variant with low (high) sampling frequency for the stock (market) improves forecasting by a further 6.90% points. Our paper also develops noise-robust estimators to facilitate the use of realized semi(co)variances at high sampling frequencies.

Christos Alexakis, Vasileios Pappas, Emmanouil Skarmeas (2021)Market abuse under different close price determination mechanisms: A European case, In: International review of financial analysis74101707 Elsevier

We examine the presence and the severity of closing price manipulation across two regulatory shifts in the close price determination mechanism in the Athens stock exchange. First, we assess the transition from a value-weighted average price (VWAP) method to a plain-vanilla closing call auction method (CCAM). Second, we examine the effectiveness of additional features of CCAMs in deterring closing price manipulation. We use tick level data with full investor details for a group of highly traded stocks. Our results suggest that the CCAM managed to reduce - but not eliminate - closing price manipulation. CCAMs with additional anti-manipulation features are not effective in eliminating closing price manipulation either. Manipulation is dynamic and investors quickly adapt to new circumstances and opportunities; post-CCAM implementation sell-based closing price manipulation has increased, while part of the manipulation activity has shifted to the reference price formation.

Marwan Izzeldin, Yaz Gulnur Muradoglu, Vasileios Pappas, Athina Petropoulou, Sheeja Sivaprasad (2023)The impact of the Russian-Ukrainian war on global financial markets, In: International review of financial analysis87102598 Elsevier

On February 24, 2022, Russia invaded the Ukraine. In this paper, we analyze the response of European and global stock markets alongside a representative sample of commodities. We compare the war response against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. Applying a Markov-switching HAR model on volatility proxies, estimates are made of synchronization, duration and intensity measures for each event. In broad terms, stock markets and commodities respond most rapidly to the Russian invasion; and post-invasion crisis intensity is noticeably smaller compared to both the Covid-19 and the GFC. Wheat and nickel are the most affected commodities due to the prominent exporter status of the two countries.

Vasileios Pappas, Athina Petropoulou (2023)Why parallel currencies are doomed to fail


Additional publications