Portsmouth Business School
Finance Research Group
The Portsmouth Business School Finance Research Group is a round-table open academic discussion among members of staff with multiple research interests in finance and financial economics, and fresh and innovative ideas for new research venues and productive collaboration. Research developed by the group houses different topics of finance. We are also proud of our research output published in leading academic journals in the area. We have a solid knowledge of quantitative methods that are used to estimate, forecast and test theories of finance and financial economics. The group has grown stronger also in terms of theoretical research, as new members have recently joined us. We collaborate with both UK-based and overseas researchers in developing joint research projects. We are also engaged in research-informed teaching. Our research develops within the main themes of research as follows.
Ioannis Chatziantoniou works on developing appropriate econometric models to investigate whether the developments of monetary policy can trigger switching regimes in the UK housing and stock markets. He also studies whether and, if so, how returns on stock market investments respond to changes in monetary and fiscal policy. The focus of José Carrasco-Gallego’sresearch is on macro-prudential policies and their interaction with monetary policy. He applies macroeconomic theories with the ultimate aim to derive sound policy recommendations for financial and macro-prudential regulators, the monetary policy authority, and supranational institutions. Arief Daynes and Paraskevas Pagas further contribute to the understanding the behaviour of stock market returns. Specifically, their research analyses the different methods used in forming mimicking portfolios and it finds a spectrum of differences produced in expected returns and the performance of the three factor model. They complement this research by investigating expected returns models and super-stocks showing an increased predictive power compared to traditional asset pricing models. Nikolaos Antonakakis and Ioannis Chatziantoniou extend this research by analysing co-variation over time of stock market returns with oil price shocks and changes in implied volatility. Renatas Kizys delves deeper into the role of oil price shocks in understanding the behaviour of stock market volatility in Europe. He goes on to ask whether these oil price shocks significantly contribute to the equity risk premium. His research is then extended towards the determinants of risk premium on investment in Real Estate Investment Trusts (REITs), with a particular emphasis on international transmission of the U.S. monetary policy. In a similar fashion, Everton Dockery gauges the impact of macroeconomic announcements on stock market volatility in Poland, which is estimated by means of a GARCH model. He finds that stock market volatility significantly respond to unexpected developments in the economy. In a follow-up research, he analyses the performance of a number of risk measurement models for measuring the value-at-risk in South Korea during good and bad times.
Exchange rates and international finance
In the aftermath of the global financial crisis, topics in International Finance have received an unprecedented amount of attention from the Finance Research Group. Nikolaos Antonakakis and Konstantinos Vergos use the VAR-based spillover index to analyse spillovers of sovereign bond yield spreads between euro area countries during a turbulent period encompassing both the global financial crisis and the euro area sovereign debt crisis. This research challenges the argument for a single currency in the euro area and suggests the need for re-assessing the effectiveness of the EU economic policies. In a follow-up research, Nikolaos Antonakakis employs event study analysis to examine the effects of credit ratings events and outlook changes by the three major credit ratings agencies on the correlations of bond yields spreads in the euro area. Using the stochastic discount factor model, Renatas Kizys finds that the decoupling–recoupling hypothesis – that the recent financial crisis has strengthened international financial links – does not apply to the risk premium on the Greek stock index futures market. Further, Nikolaos Antonakakis and Renatas Kizys investigate spillovers among stock market spot and futures volatilities, volume of futures trading and open interest in the UK and the US. This research suggests that investors and regulators should also use external developments when assessing an investment opportunity. In terms of the foreign exchange market, Nikolaos Antonakakis assesses models used to forecast exchange rate returns in developing countries. He shows that the IGARCH model results in substantial gains in terms of forecasting performance. Alexis Stenfors conducts interdisciplinary research into money, foreign exchange and derivatives markets. Recent and current work includes investigations into the determination of LIBOR and other financial benchmarks. Empirical, game theoretic, sociological and political economy approaches are adopted in order to illuminate aspects such as power and deception, as well as collusion and market conventions.
Banking and financial intermediation
Bank failures and subsequent government interventions in the banking sector in a turbulent period during the global financial crisis and the sovereign debt crisis in the euro area triggered a heightened research interest in banking. Renatas Kizys, Nikos Paltalidis and Konstantinos Vergos work to provide evidence of regime-dependent relation between banks’ and sovereign credit default swaps, which is driven by government rescue packages in the European banking sector. Government interventions may destabilise the credit default swap market. Renatas Kizys, Robin Lumsdaine work on a research project that examines the role of shadow banking for financial stability. Eun Young Oh explores alternative financing activities through Equity Crowdfunding and Debt Crowdfunding, Peer-to-Peer Lending, using a combination of conceptual frameworks (Risk Theory, Herd Behaviour, Network Theory, and Theories of Motivation) and empirical evidence (the US, UK and South Korea). Thang Nguyen has also developed his expertise in the area of crowdfunding. He particularly interests in the question of whether crowdfunding can serve as a significant channel to allocate capital. Alexis Stenfors is involved in collaborative and multidisciplinary research projects on financialisation, banking and financial markets. Using political economy as well as Post-Keynesian approaches, he studies the long-term transformation of the financial systems in Sweden, Japan and the Eurozone – focussing on crises and the interplay between governments and markets. Shabbar Jaffry, Yaseen Ghulam and Joe Cox study trends in the efficiency levels for Indian and Pakistani banks. By means of a data envelopment analysis and a regression analysis they show that the regulatory changes introduced in 1992 did not initially have a desired effect on the banks efficiency levels. However, a period of initial adjustment to the new regulatory enviornment was followed by a subsequent correction in the later part of the sample. Song Zhang uses the data from U.S. Federal Reserve and Federal Deposit Insurance Corporation to investigate how relationship banking and capital market concentration afects the borrowing cost and financial available of small businesses.
Behavioural Finance and Financial Anomalies
Alessia Testa’s theoretical research focuses on market microstructure with certain aspects of behavioural finance. She asks how the behaviour of market participants impacts the informational contents of asset prices and the overall welfare. She continues to investigate how the quality of information influences herding and contrarian behaviour. She also studies the influence of computer-based trading on the incentives for information acquisition of non-computer traders and on adverse selection in the market. She complements her research by developing signalling models to look at the price impact of the delegation relationship between portfolio managers. Gioia Pescetto investigates the reactions of investors to arrivals of financial information. She distinguishes between pessimistic value investors and glamour investors. She finds that the first category of traders under-react to good financial information, whereas glamour investors tend to fairly price and occasionally over-react to arrivals of good information. She also investigates the possibility that futures markets attract noise traders who engage in destabilising positive feedback trading. Similarly, Arief Daynes and Paraskevas Pagas study the over-reaction hypothesis – that stock prices systematically over-react – one of the central hypotheses in behavioural finance. They document a weak evidence of the over-reaction hypothesis for the UK. They also undertake a very different and unedited research on the description and background assumptions of game theory using proof-theoretic and model theoretic techniques of first order paraconsistent logic. In a similar vein, Renatas Kizys investigates the role of investor sentiment within the relation between globally dangerous diseases and pharmaceutical stock prices in the United States and Europe. His research addresses the following questions. Does disease-related news (DRN) exert a positive or negative sentiment effect on returns on pharmaceutical companies’ stocks? Is this effect stronger (weaker) for small (large) companies? How persistent is the sentiment effect? Do globally dangerous diseases spread fear among investors? Answers to these questions will enable us to design both short-term and long-term trading strategies based on the DRNs and investor fear gauge.
Another significant area of research builds on an interaction between accounting, corporate finance, corporate governance and corporate reporting. Among other contributions on these topics, Khaled Hussainey uses highly innovative research methodologies, including textual analysis, to measure the level and quality of corporate narrative reporting and identify its information content. Antonios Kallias’ research focuses on the relation between international accounting and corporate finance. His investigation evaluates the effectiveness of new issuers to lessen the inherently uncertain environment of the going public process by attaining evaluations from credit rating agencies. In a related study, he assesses the importance of CEO’s educational and professional attainments as signalling mechanism in the going public process. In yet another similar research, he studies the long-term performance of Greek IPOs across two regulatory regimes (mandatory and voluntary disclosures). Similarly, Konstantinos Kallias’ research centres on corporate finance, but departs from Antonios’ investigations by concentrating on the effect of political connections on initial public offerings. In a follow-up research, he concentrates on the role of CEOs networks on initial public offerings. He plans to delve deeper in political connections among firms with a particular emphasis on earnings management around IPOs. Sonia Brandon is working on investment preferences of institutional investors and area of corporate governance. Dechuan Li investigates the impacts of mandatory IFRS adoption on financial statement information and the usefulness of financial information in the prediction of stock market performance amid major accounting regime changes. Thang Nguyen’s research interests centre in the area of corporate diversification and corporate cash holdings. His current focus is to investigate a puzzle of the topic that is why diversified firms are valued less than specialised firms.
José Carrasco-Gallego’s research has appeared in various international peer-reviewed journals, including Economic Modelling, Journal of European Real Estate Research, Journal of Financial Stability, The Manchester School and Singapore Economic Review. He also collaborates with the International Monetary Fund in a project for the analyses of optimal methods to implement macro-prudential policies in developing countries. Ioannis Chatziantoniou’s research has made its way into Applied Economics, Global Finance Journal and The Manchester School. He has recently presented at the very prestigious staff seminar series at the South Western University of Finance and Economics (SWUFE), in Chengdu, China. Arief Daynes and Paraskevas Pagas’s publication in Australiasian Journal of Logic stands out. Shabbar Jaffry, Yaseen Ghulam and Joe Cox’s research has been published in European Journal of Operational Research. Khaled Hussainey's research has appeared in various international peer-reviewed journals, including British Accounting Review; International Review of Financial Analysis; Journal of International Accounting, Auditing and Taxation; Advances in Accounting Behavioral Research; Accounting Research Journal; International Journal of Disclosure and Governance; Managerial Auditing Journal; International Review of Applied Economics; Journal of Risk Research; International Journal of Accounting, Auditing and Performance Evaluation; Public Money & Management; Applied Economics; Research in International Business and Finance; Corporate Ownership and Control; Journal of Accounting and Taxation; International Journal of Islamic and Middle Eastern Finance and Management; Meditari Accountancy Research; Journal of Financial Crime; Journal of Applied Business Research; Journal of Financial Reporting and Accounting; European Journal of Islamic Finance; International Journal of Business. He has secured a grant of $120,000 from Qatar National Research Foundation (QNRF) with Dr. Mohammed Elgammal (Qatar University). Finance Research Letters has disseminated research of Renatas Kizys. Nikolaos Antonakakis and Renatas Kizys have published in International Review of Financial Analysis (2 scholarly articles). Nikos Paltalidis and Renatas Kizys’ research has appeared in Journal of Banking and Finance. Eun Young Oh, Renatas Kizys and Joe Cox have been awarded the 2016 PBS Research Project Fund to explore online Peer-to-Peer lending markets and to analyse the behavioural characteristics of lenders and evaluate the extent to which they are exposed to risk and how they price it. Renatas Kizys, Nikos Paltalidis and Konstantinos Vergos have published a research paper in Journal of International Financial Markets, Institutions & Money. Alexis Stenfors is co-author of ‘Crisis in the Eurozone’ (Verso) and ‘Financialisation and the Financial and Economic Crises: Country Studies’ (Edward Elgar). His recent research has made its way to Journal of International Financial Markets, Institutions & Money, Review of Political Economy and LSE Financial Markets Group Paper Series. Song Zhang has his research published in International Small Business Journal. Thang Nguyen has published two chapters of his PhD thesis in British Journal of Management and Review of Quantitative Finance and Accounting.
Aziza Al Qamashoui