Aristeidis Samitas
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2 publications
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Banking crises and contagion: why worry about taxation, output and the cost of capital?
Investment Management and Financial Innovations Volume 12, 2015 Issue #2 pp. 65-79
Views: 598 Downloads: 138 TO CITE -
Volatility spillovers between energy market and international financial markets
Investment Management and Financial Innovations Volume 12, 2015 Issue #2 (cont.) pp. 136-149
Views: 546 Downloads: 186 TO CITE -
Spillover effects between Greece and Cyprus: a DCC model on the interdependence of small economies
Aristeidis Samitas , Elias Kampouris , Stathis Polyzos , Anastasia Ef. Spyridou doi: http://dx.doi.org/10.21511/imfi.17(4).2020.12Investment Management and Financial Innovations Volume 17, 2020 Issue #4 pp. 121-135
Views: 711 Downloads: 146 TO CITE АНОТАЦІЯThis paper discusses the volatility spillovers between the Greek debt crisis and the Cypriot financial crisis. Cyprus was in the spotlight of financial markets due to significant problems stemming from the banking sector, which were dealt with by EU regulators with a bail-in on bank deposits. The current analysis aims to shed light on the reasons behind implementing this novel approach to bank distress. The study uses a Dynamic Conditional Correlation model on the returns of the stock markets of the two countries, which shows strong spillover effects during the period leading up to the 2013 Cypriot crisis, but a significant decrease of these effects from then on. The results confirm the close interdependence of the Greek and Cypriot economies before 2013 and show that this interdependence was limited from that point onwards. This would indicate that since the risk of contagion to the Eurozone had diminished, regulators could test the bail-in solution in Cyprus in 2015. The current work contributes to the discussion on the interdependence of European economies. The paper’s findings can also be applied to other emerging European economies.
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