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Abnormal returns and anti-leverage effect in the time of Russo-Ukrainian War 2022: evidence from oil, wheat and natural gas markets
In: Journal of economic studies, Band 50, Heft 5, S. 1063-1072
ISSN: 1758-7387
PurposeThis study examines the impact of the Russo-Ukrainian War on the commodity markets of oil, wheat, and natural gas, in which these two countries play/have a dominant role. The author examines if during these extreme events an anti-leverage effect emerges and indicates the abnormal conditions of the markets.Design/methodology/approachThe author uses daily returns from the future prices of brent oil, wheat, and natural gas for the period 31.3.2020–31.3.2022 and applies the exponential and the threshold asymmetry GARCH models.FindingsThe empirical findings confirm the existence of anti-leverage effect in the wheat and natural gas commodity markets and point to the existence of the leverage effect in the Brent market.Practical implicationsThe existence of the anti-leverage effect means that stock prices and volatility present a positive relationship which is in contrast to the normal/conventional stylized facts which suggest the opposite. These findings could be useful for scholars and practitioners because they enable them to examine market abnormalities using the anti-leverage effect as a criterion and explore its relationship with extreme conditions and strategies that lead to skyrocketing increases in prices.Originality/valueThis study investigates the anti-leverage effect in commodity markets under extreme conditions, which has received little attention in the literature. Moreover, this paper links the existence of the anti-leverage effect with abnormal growth in asset prices, which shows a new direction for the behavior of assets when extreme conditions emerge.
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A Wikipedia Narration of the GameStop Short Squeeze
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Abnormal Returns and Anti-Leverage Effect In The Time of Russo-Ukrainian War 2022: Evidence From Oil, Wheat And Natural Gas Markets
In: forthcoming in the Journal of Economic Studies
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Does the short squeeze lead to market abnormality and antileverage effect? Evidence from the Gamestop case
In: Journal of economic studies, Band 49, Heft 8, S. 1360-1373
ISSN: 1758-7387
PurposeThis study examines the Gamestop (GME) short squeeze in early 2021. Using intraday data for the period 4/1/2021–5/2/2021, the author provides empirical evidence that the GME stock price exhibited abnormal behavior.Design/methodology/approachThe author uses the popular Runs test to show that the GME returns were not randomly distributed, which is an indication of a violation of the Efficient Market Hypothesis (EMH). The main objective of the paper is to provide new quantitative evidence that stock returns are abnormal when short squeeze conditions emerge. The author employs the asymmetry Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models (the Exponential GARCH (EGARCH) and the Threshold GARCH (TGARCH)) and provides evidence that an exceptional time series feature emerged during the examined period: the antileverage effect.FindingsThe results show that the GME returns were not randomly distributed during the examined period and the asymmetry GARCH models indicate that, in contrast to what the time series normally show, volatility increased when the GME prices increased.Research limitations/implicationsThis paper presents a new/alternative approach for the study of EMH and abnormal returns in financial markets. Further studies on market performance during similar short squeeze conditions should be carried out in order to obtain empirical evidence for the antileverage effect abnormality.Practical implicationsThis paper could be useful for scholars who examine the EMH in financial markets because it suggests an additional method for testing abnormalities. It also presents a useful tool that allows practitioners to monitor for indications of abnormality in the stock market during a short squeeze, since the emergence of the antileverage abnormality could function as such an indication. Additionally, the outcome of this analysis could be useful for regulators because coordination among investors is easier than ever in the Internet era and such events may happen again in the future; even under normal (not short squeeze) conditions and lead to market instability.Originality/valueThis research differs from other studies that examine the GME case because it presents a new way to quantitatively present the abnormal performance of the stock markets for reasons that could be linked with the emergence of short squeeze conditions.
Fighting a war without weapons? Lessons from the COVID‐19 outbreak
In: World medical & health policy, Band 13, Heft 2, S. 383-390
ISSN: 1948-4682
AbstractThe recent pandemic of COVID‐19 revealed that a highly transmissible virus threatens all humanity because extensive mobility, migration, and millions of passengers who travel worldwide shape our globalized environment and make containment of a virus more difficult. In a war between humans and viruses, we should have the necessary weapons, such as masks, gloves, ventilators, and so forth. However, during the COVID‐19 outbreak, there was a shortage of this basic medical and personal protective equipment (MAPPE), even for the health workers. This note focuses on this issue and suggests that a global organization, which stores and renews basic MAPPE would be beneficial in the fight against the next pandemic and that such an organization can be established without significantly increasing the public expenses of the countries.
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Explaining Stock Markets' Performance during the COVID-19 Crisis: Could Google Searches Be a Significant Behavioral Indicator?
In: Vasileiou, E. (2021). Explaining stockmarkets' performance during the COVID-19 crisis: CouldGoogle searches be a significant behavioral indicator?Intelligent Systems in Accounting, Finance and Management,28(3), 173–181. https://doi.org/10.1002/isaf.1499VASILEIOU181
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Does the Impact of the COVID-19 Pandemic Influence the FX? A Note
In: Journal of Prediction Markets
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Working paper
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Working paper
Is the Turn of the Month Effect an 'Abnormal Normality'? Controversial Findings, New Patterns and… Hidden Signs(?)
In: Vasileiou, E. (2018). Is the turn of the month effect an "abnormal normality"? Controversial findings, new patterns and… hidden signs (?). Research in International Business and Finance, 44, 153-175. doi/10.1016/j.ribaf.2017.07.057
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Overview of the Greek Value at Risk (VaR) Legislation Framework: Deficiencies, Proposals for Future Revision and a New Suggested Method
In: Evangelos Vasileiou, (2016) "Overview of the Greek value at risk (VaR) legislation framework: Deficiencies, proposals for future revision and a new suggested method", Journal of Financial Regulation and Compliance, Vol. 24 Issue: 2, pp. 213-226, doi: 0.1108/JFRC-08-2015-0043
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