Dimitrios Tsoukalas
Purdue University Calumet
Network
Latest external collaboration on country level. Dive into details by clicking on the dots.
Publication
Featured researches published by Dimitrios Tsoukalas.
Managerial Finance | 2003
Dimitrios Tsoukalas
This study examines the relationships between macroeconomic factors and stock prices in Cyprus. Estimating a reduced form Vector Autoregressive model (VAR) we determine Granger causality between stock returns and the predictor variables. We find strong evidence of predictability (which implies inefficiency) in stock returns, which is similar to the pattern observed in developed stock markets. In common with prior studies in this area, we cannot use our results as evidence of market inefficiency or deficiencies in the asset‐pricing model.
Management Research News | 1999
Dimitrios Tsoukalas; Shomir Sil
Draws together existing research on capital markets to understand how dividend/price ration and dividend growth predict movements in share prices. Analyses data from the UK stock market from January 1995 to December 1996 to test out two hypotheses ‐ the first, that there are no significant lag effects from stock price determinants (dividend/price ratio or dividend growth) to real stock returns; the second being the “information hypothesis” of dividends, which predicts that unexpected changes in dividend payments (for example, an increase in dividend payout ratio) may “signal” changes in future returns to investors, thereby leading to higher returns. Points out that this second hypothesis is consistent with the efficient market hypothesis. Analyses the movements in stock returns using Granger causality tests and finds that dividend/price ratio predicts real stock returns for the UK stock market, and that there is a strong relationship between real stock returns and dividend yields. Argues that this is consistent with the “information hypothesis”.
Management Research News | 2005
Dimitrios Tsoukalas
This article focuses on dividend innovations as a determinant of predict ability and volatility of returns in three major stock markets, the U.S., U.K., and Japan. All results are based on vector autoregressive (VAR) and auto regressive conditional heteroscedastic (ARCH) approaches, with monthly sampled data. We find that in all three markets dividend‐price ratios and/or dividend growth rates predict returns. Moreover, there is persistence in the variance of stock returns attributed to the innovations related to the same variables.
Managerial Finance | 2000
Dimitrios Tsoukalas
This study examines predicability and volatility in three major stock markets, (the US, UK, and Japan) using the Vector Autoregressive Approach and the Multivariate Autoregressive Conditional Heteroskedastic‐in‐mean (ARCH‐M) approach. We find that in the three markets: a) stock returns are predictable, and b) there is persistence in the variance of stock returns, and c) predictability and persistence are attributed to common sources of information.
Managerial Finance | 2003
Dimitrios Tsoukalas; Musa Darayseh; Elaine Waples
We test for the presence of non‐linear dynamics in real stock return, in the American, British, and Japanese equity markets. Evidence on non‐linearities will have important implications for financial analysts. The results provide evidence of nonlinear structure in stock returns, in the three markets, suggesting that linear models, such as Ordinary Least Squares or Vector Autoregressive (VAR), may not always be appropriate for analyzing data.
Management Research News | 1999
Dimitrios Tsoukalas
Looks at the stock returns of the two major stock markets in the USA, and the UK and concludes that there is evidence of strong predictability and volatility within the indexes caused by similar sources. Suggests that this has implications for the global pricing of securities and the regulatory policies of the markets.
Journal of Applied Business Research | 2010
Oana Ariana Batori; Dimitrios Tsoukalas; Paolo Miranda
International Business & Economics Research Journal (IBER) | 2011
Dimitrios Tsoukalas
Journal of Business & Economics Research | 2011
Dimitrios Tsoukalas; Musa Darayseh; Radian Abuizam
Journal of Applied Business Research | 2011
Dimitrios Tsoukalas