by Fotini Economou (Editor), Konstantinos Gavriilidis (Editor), Greg N. Gregoriou (Editor), Vasileios Kallinterakis (Editor)
About the Editor
Fotini Economou
Fotini Economou received her Ph.D. from the University of Piraeus. She has published in journals such as the "Journal of International Financial Markets, Institutions and Money" and the "International Review of Financial Analysis," among others.
Affiliations and Expertise
Centre of Planning and Economic Research, Athens, Greece
Konstantinos Gavriilidis
Costas holds an MSc and a PhD in Finance from Durham University Business School, U.K. Before joining University of Stirling he held a position at Durham University Business School, while prior to starting his academic career he had an extensive work experience in the shipping industry. Costas' research area lies in Behavioral Finance; particularly, his current research projects focus on the herd behavior of institutional investors, inter-firms relationships, banking networks and emerging markets
Affiliations and Expertise
University of Stirling, Stirling, UK
Greg N. Gregoriou
A native of Montreal, Professor Greg N. Gregoriou obtained his joint Ph.D. in finance at the University of Quebec at Montreal which merges the resources of Montreal's four major universities McGill, Concordia, UQAM and HEC. Professor Gregoriou is Professor of Finance at State University of New York (Plattsburgh) and has taught a variety of finance courses such as Alternative Investments, International Finance, Money and Capital Markets, Portfolio Management, and Corporate Finance. He has also lectured at the University of Vermont, Universidad de Navarra and at the University of Quebec at Montreal.
Professor Gregoriou has published 50 books, 65 refereed publications in peer-reviewed journals and 24 book chapters since his arrival at SUNY Plattsburgh in August 2003. Professor Gregoriou's books have been published by McGraw-Hill, John Wiley & Sons, Elsevier-Butterworth/Heinemann, Taylor and Francis/CRC Press, Palgrave-MacMillan and Risk Books. Four of his books have been translated into Chinese and Russian. His academic articles have appeared in well-known peer-reviewed journals such as the Review of Asset Pricing Studies, Journal of Portfolio Management, Journal of Futures Markets, European Journal of Operational Research, Annals of Operations Research, Computers and Operations Research, etc.
Professor Gregoriou is the derivatives editor and editorial board member for the Journal of Asset Management as well as editorial board member for the Journal of Wealth Management, the Journal of Risk Management in Financial Institutions, Market Integrity, IEB International Journal of Finance, and the Brazilian Business Review. Professor Gregoriou's interests focus on hedge funds, funds of funds, commodity trading advisors, managed futures, venture capital and private equity. He has also been quoted several times in the New York Times, Barron's, the Financial Times of London, Le Temps (Geneva), Les Echos (Paris) and L'Observateur de Monaco. He has done consulting work for numerous clients and investment firms in Montreal. He is a part-time lecturer in finance at McGill University, an advisory member of the Markets and Services Research Centre at Edith Cowan University in Joondalup (Australia), a senior advisor to the Ferrell Asset Management Group in Singapore and a research associate with the University of Quebec at Montreal's CDP Capital Chair in Portfolio Management. He is on the advisory board of the Research Center for Operations and Productivity Management at the University of Science and Technology (Management School) in Hefei, Anhui, China.
Affiliations and Expertise
School of Business and Economics, State University of New York, Plattsburgh, NY, USA
Vasileios Kallinterakis
Dr. Vasileios (Bill) Kallinterakis is currently Lecturer of Finance at the University of Liverpool Management School; he has also lectured at Durham University Business School (from where he also obtained his PhD) and Leeds University Business School. During his career, he has taught a variety of courses related to Behavioural Finance, Corporate Finance and Econometrics. His research interests focus on behavioural finance, institutional investors, market volatility and emerging markets.
Affiliations and Expertise
University of Liverpool Management School, UK
About this book
Description
The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades.
Key Features
- Encompasses empirical, quantitative and regulation-motivated studies
- Includes information about retail and institutional investor behavior
- Analyzes optimal financial structures for the development and growth of specific regional economies
Upper-division undergraduates, graduate students, and professionals studying and working in financial economics, financial markets, behavioral finance, and regional economics.
Table of contents
Section A: Theoretical Perspectives of Investors’ Behaviour During Financial Crises
Chapter 1: Debt Markets, Financial Crises, and Public Finance in the Eurozone: Action, Structure, and Experience in Greece
Abstract
1.1. Introduction and Theoretical Framework
1.2. The Crisis Chronology
1.3. Experiences
1.4. The Structures
1.5. Conclusions
Chapter 2: Investor Behavior Before and After the Financial Crisis: Accounting Standards and Risk Appetite in Fixed Income Investing
Abstract
2.1. Introduction
2.2. Early Signs of Trouble
2.3. Investor Fat Tail-Seeking
2.4. Investor Behavior, Pre- and Postcrisis
2.5. Benchmark-Relative Performance
2.6. Information Ratio in a Low-Volatility/Rate Environment
2.7. Probability of Outperformance and Investor Utility of Wealth
2.8. Portfolio Ratings and Probability of Outperformance
2.9. Conclusions
Chapter 3: Optimal Bubble Exit Strategies
Abstract
3.1. Introduction
3.2. The Model
3.3. The Game with Multiple Shots
3.4. Cascading the Orders in Dark Pools
3.5. Conclusions
Chapter 4: Why History Matters to Financial Economists: The Case of Black Monday 1987
Abstract
4.1. Introduction
4.2. Analyzing Investor Behavior
4.3. Prisoners’ Dilemma and Investor Behavior
4.4. Empirical Observations—The Black Monday of October 1987
4.5. Conclusions
Chapter 5: Governing Financial Orders Which Have Been Grown and Not Made: The Origins of the Financial Crisis in Financial Gridlock
Abstract
5.1. Introduction
5.2. Governing Financial Orders Which Have Been Grown and Not Made
5.3. Common Elements in Recent Crises
5.4. Financial Reform and the Law of Liberty
5.5. Regulating a Grown Financial Order
5.6. Fragmentation of Property Rights and Financial Order
5.7. Illustrations of the Role of Fragmentation of Property Right in Inducing Crises
5.8. Regulation as an Imperfect Substitute for Social Norms of Good Behavior
5.9. Liberal Justification of Financial Regulation
5.10. Tragedies of the Commons, Anticommons, and Gridlock
5.11. Fragmentation of Property Rights as a Trigger for Financial Crisis and Reform
5.12. Conclusions
Appendix: Ownership Fragmentation and Conflicts in the CDO/CDS Market
Chapter 6: Overconfidence in Finance: Overview and Trends
Abstract
6.1. Market Efficiency and Investor Rationality
6.2. Overconfidence
6.3. Sources of Overconfidence
6.4. Empirical Evidence on Overconfidence
6.5. What Next for Overconfidence in Finance?
6.6. Conclusions
Chapter 7: Rational Agents and Irrational Bubbles
Abstract
7.1. Introduction
7.2. An Application of AB to the United States 2006–07 Housing Bubble
7.3. Conclusions
Chapter 8: The Similarities Between the Bulgarian Local Financial Crisis in 1997 and the Global Financial Crisis in 2008
Abstract
8.1. Introduction
8.2. The Face of the Bulgarian Crisis
8.3. On the Edge of the Crisis
8.4. Investor Overconfidence
8.5. The Development of the Bulgarian Financial Crisis
8.6. The Recovery of the Trust in the Financial System
8.7. Conclusions
Section B: Empirical Evidence on Investors’ Behaviour During Financial Crises
Chapter 9: Herding, Volatility, and Market Stress in the Spanish Stock Market
Abstract
9.1. Introduction
9.2. Data
9.3. Methodology and Results
9.4. Conclusions
Acknowledgments
Chapter 10: Did Security Analysts Overreact During the Global Financial Crisis? Canadian Evidence
Abstract
10.1. Introduction
10.2. Conceptual Framework
10.3. Data and Methodology
10.4. Analysis of FAF on Canadian Industrial Sectors
10.5. Conclusions
Chapter 11: Bank Failures and Management Inefficiency During the Global Financial Crisis
Abstract
11.1. Introduction
11.2. Background
11.3. Data
11.4. Methodology
11.5. Results and Discussions
11.6. Conclusions
Chapter 12: Financial Crisis and Herd Behavior: Evidence from the Borsa Istanbul
Abstract
12.1. Introduction
12.2. Literature Review
12.3. Data and Methodology
12.4. Empirical Findings
12.5. Conclusions
Chapter 13: Doctor Jekyll and Mr. Hyde: Stress Testing of Investor Behavior
Abstract
13.1. Loss Aversion During Economic Crises: The Results of a Questionnaire
13.2. Investor Behavior and Market Oscillations
13.3. Investor Assessments and Coherence with Actual Behaviors
13.4. Conclusions
Chapter 14: Market Sentiment and Contagion in Euro-Area Bond Markets
Abstract
14.1. Introduction
14.2. Literature Review
14.3. Data and the Setup of the Empirical Analysis
14.4. Empirical Evidence
14.5. Conclusions
Chapter 15: Regime Switching on the Relationship Between Stock Returns and Currency Values: Evidence From the 1997 Asian Crisis
Abstract
15.1. Introduction
15.2. Literature Review
15.3. Data and Methodology
15.4. Empirical Results on Mean Equations with Regime Switching
15.5. Conclusions
Chapter 16: Illiquidity, Monetary Conditions, and the Financial Crisis in the United Kingdom
Abstract
16.1. Introduction
16.2. Literature Review
16.3. Data and Variables
16.4. Methodology, Empirical Results, and Analysis
16.5. Conclusions
Chapter 17: Herding in the Athens Stock Exchange During Different Crisis Periods
Abstract
17.1. Introduction
17.2. Methodology and Data
17.3. Empirical Results
17.4. Conclusions
Chapter 18: Liquidity and Beta Herding in Emerging Equity Markets
Abstract
18.1. Introduction
18.2. Literature Review
18.3. Data and Methodology
18.4. Empirical Results
18.5. Conclusions
Chapter 19: Exchange-Traded Funds: Do They Promote or Depress Noise Trading?
Abstract
19.1. Introduction
19.2. Exchange-Traded Funds and the Noise Trader Hypothesis
19.3. Data and Methodology
19.4. Results—Discussion
19.5. Conclusions
Chapter 20: The Behavior of Individual Online Investors Before and After the 2007 Financial Crisis: Lessons From the French Case
Abstract
20.1. Introduction
20.2. Literature Review
20.3. Sample Description
20.4. An Empirical Analysis of the Trading Behavior of Our Sample
20.5. Conclusions
Section C: Behavioral Trading Strategies During Financial Crises
Chapter 21: Simple Tactical Asset Allocation Strategies on the S&P 500 and the Impact of VIX Fluctuations
Abstract
21.1. Introduction
21.2. Literature Review
21.3. The VIX: History and Description
21.4. Description of the Dataset and TAA Strategy
21.5. Results of the VIX/SPY Based TAA Strategies
21.6. Conclusions
Chapter 22: Investors’ Behavior on S&P 500 Index During Periods of Market Crashes: A Visibility Graph Approach
Abstract
22.1. Introduction
22.2. Literature Review
22.3. Visibility Graph Method for Hurst Exponent and Time Irreversibility
22.4. The Data
22.5. Methodology
22.6. Empirical Results
22.7. Conclusions
Acknowledgments
Chapter 23: Illiquidity as an Investment Style During the Financial Crisis in the United Kingdom
Abstract
23.1. Introduction
23.2. Literature Review
23.3. Data and Variables
23.4. Methodology, Empirical Results, and Analysis
23.5. Conclusions
Chapter 24: On the Pricing of Commonality Across Various Liquidity Proxies in the London Stock Exchange and the Crisis
Abstract
24.1. Introduction
24.2. Literature Review
24.3. Data and Methodology
24.4. Empirical Results and Analysis
24.5. Conclusions
Length: 514 pages
Copyright: 2017
Language: English
Publisher: Academic Press
Edition: 1 edition (July 10, 2017)
ISBN-10: 0128112522
ISBN-13: 978-0128112526