Academic research

Our members have expertise in a range of finance fields.

Recent publications

2023

  • Ali, S., & Badshah, I. (2023). The drivers of anti-herding behaviour in the US hedge fund industry and its implications on expected returns. Journal of Economic Behavior and Organization. https://doi.org/10.2139/ssrn.4010287
  • Ali, S., Badshah, I., and Demirer, R. (2023). Anti-Herding by Hedge Funds, Idiosyncratic Volatility and Expected Returns. Available at SSRN: https://ssrn.com/abstract=4010287
  • Dodd, O., Frijns, B., Indriawan, I., & Pascual, R. (2023). US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks. Journal of Empirical Finance, 72, 301-320. https://doi.org/10.1016/j.jempfin.2023.03.012
  • Fernandez-Perez, A., and López, R., (2023) “The effect of macroeconomic news announcements on the implied volatility of commodities: the role of survey releases”. Journal of Futures Markets, forthcoming. https://doi.org/10.1002/fut.22444
  • Nguyen, Q. M., Do, H. X., Molchanov, A., Nguyen, L., & Nguyen, N. H. (2023). Asymmetric trading responses to credit rating announcements from issuer‐ versus investor‐paid rating agencies. Journal of Business Finance & Accounting. https://doi.org/10.1111/jbfa.12686
  • Nguyen, Q. M., Do, H. X., Molchanov, A., Nguyen, L., & Nguyen, N. H. (2023). Political similarities in credit ratings. International Review of Financial Analysis, 86, 102515. https://doi.org/10.1016/j.irfa.2023.102515
  • Phung, T. M., Tran, Q. N., Nguyen‐Hoang, P., Nguyen, N. H., & Nguyen, T. H. (2023). The role of learning motivation on financial knowledge among Vietnamese college students. Journal of Consumer Affairs, 57(1), 529-563. https://doi.org/10.1111/joca.12511
  • Tran, Q. N., Phung, T. M., Nguyen, N. H., & Nguyen, T. H. (2023). Financial knowledge matters entrepreneurial decisions: A survey in the COVID-19 pandemic. Journal of the Knowledge Economy. https://doi.org/10.1007/s13132-023-01137-8

2022

  • Ali, S., Badshah, I., Demirer, R., & Hegde, P. (2022). Economic Policy Uncertainty and Institutional Investment Returns: The Case of New Zealand. Pacific-Basin Finance Journal.
  • Andersen, A., Garel, A., Gilbert, A., Tourani-Rad, A. (2022) "Disentangling Director Attributes: Human capital versus social capital of directors". Journal of Risk and Financial Management.
  • Bahadar, S., Nadeem, M., & Zaman, R. (2022). Toxic chemical releases and idiosyncratic return volatility: A prospect theory perspective. Accounting & Finance.
  • Bahadar, S., & Zaman, R. (2022). COVID-19 and CSR disclosure: evidence from New Zealand. China Accounting and Finance Review
  • Chakravarty, S., Hegde, P. (2022) Firm size and the effectiveness of busy boards in an emerging economy. Global Finance Journal, https://doi.org/10.1016/j.gfj.2022.100718.
  • Dai, B., Marshall, B., Nguyen, N.H., and Nuttawat, V. (2022). Lottery stocks and stop loss rules. Global Finance Journal.
  • Do, H.X., Nguyen, N.H., and Nguyen, Q.M.P.  Multinationals and stock return comovement, Global Finance Journal, forthcoming.
  • Do, H.X., Nguyen, L., Nguyen, N.H., and Nguyen, Q.M.P. LGBT, investor trading behaviour, and return comovement, Journal of Economic Behaviour and Organization, forthcoming.
  • Dodd, O., Frijns, B., and Garel, A. (2022) “Cultural diversity in the boardroom and corporate social performance” International Review of Financial Analysis, forthcoming.
  • Dodd, O., Fernandez-Perez, A., and Sosvilla-Rivero, S., (2022) “Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine”. Applied Economic Letters, forthcoming.
  • Dodd, O.; Zheng, B. Does Board Cultural Diversity Contributed by Foreign Directors Improve Firm Performance? Evidence from Australia. Journal of Risk and Financial Management 2022, 15, 332. https://doi.org/10.3390/jrfm15080332
  • Fernandez-Perez, A., Garel, A., and Indriawan, I., (2022). In the mood for sustainable funds? Economic Letters.
  • Fernandez-Perez, A., Fuertes, A.-M. and Miffre, J. (2022). Understanding the Negative Pricing of the NYMEX WTI Crude Oil May 2020 Futures Contract. The Energy Journal, forthcoming.Fernandez-Perez, A., Indriawan, I., Tse, Y., and Xu, Y. (2022) “Cross-asset time-series momentum: Crude oil options and global stock markets”. Journal of Banking and Finance, forthcoming. [A* in ABDC].
  • Hegde, P., Liao, S., Ma, R., and Nguyen, N.H. CEO Marital Status and Insider Trading. British Journal of Management forthcoming.
  • Indriawan, I., Jiao, F., Tse, Y. (2022). Price discovery between forward-looking SOFR and LIBOR, Finance Research Letters, https://doi.org/10.1016/j.frl.2022.102797.
  • Ma R, Marshall BR, Nguyen HT, Nguyen NH, Visaltanachoti N. (2022) “Climate events and return comovement” Journal of Financial Markets.
  • Scott, A. Financial abuse in a banking context: Why and how financial institutions can respond. Journal of Business Ethics, forthcoming.
  • Thakerngkiat, N., Nguyen, H.T., Nguyen, N.H., and Visaltanachoti, N., Does fear spur default risk? International Review of Economics and Finance forthcoming.
  • Wanjiao Jia, Ting Yang, and Xin Zhang. “The Rise of Robots and the Fall of Cost Stickiness: Evidence from Chinese Manufacturers”. Accounting and Finance, forthcoming.
  • Zaman, R., Atawnah, N., Nadeem, M., Bahadar, S., & Shakri, I. H. (2022). Do liquid assets lure managers? Evidence from corporate misconduct. Journal of Business Finance & Accounting.

2021

  • Ali, S., Badshah, I., Demirer, R. (2021). "Value-at-risk and the cross-section of emerging market hedge fund returns". Global Finance Journal,2021,100693, https://doi.org/10.1016/j.gfj.2021.100693.
  • Alba, J. and Wang, P. (2021). “Trilemma, Dilemma or 2.5-Lemma in the Transmission of Monetary Policy: Evidence from a Markov-Switching Panel Data Model”. Applied Economics, forthcoming
  • Andrada-Felix, J., Fernandez-Perez, A., Fernandez-Rodriguez, F., Sosvilla-Rivero, S. (2021). "Time connectedness of fear". Empirical Economics
  • Andrada-Félix, J., Fernandez-Perez, A., and Sosvilla-Rivero, S. (2021). “Stress spillovers among financial markets: Evidence from Spain”. Journal of Risk and Financial Management, Vol. 14, 527. https://doi.org/10.3390/jrfm14110527
  • Bai, M., Hou, G., Truong, C., Nguyen, T. (2021). ‘Drought risk and capital structure dynamics’ accepted for publication in Accounting and Finance
  • Czar, K., Gilbert, A. and Scott, A. (2021).  "Life lessons: leaving home and financial capability of young adults". Journal of consumer affairs, forthcoming.
  • Da Fonseca, J. and Malevergne, Y. (2021). “A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy”, Journal of Economic Dynamics & Control. https://doi.org/10.1016/j.jedc.2021.104137
  • Dai, B., Marshall, B., Nguyen, N.H., Visaltanachoti, N. "Do Stop-loss Rules Add Value in International Equity Market Allocation?".  Applied Economics forthcoming. https://doi.org/10.1016/j.jfineco.2021.08.014
  • Edmans, A., Fernandez-Perez, A., Garel, A., and Indriawan, I. “Music sentiment and stock returns around the World”. Journal of Financial Economics, forthcoming.
  • Fernandez-Perez, A., Frijns, B., Gallatullina, I., and Tourani-Rad., A. (2021) “Profit margin hedging for dairy farms: Evidence from New Zealand”. Journal of Commodity Markets, forthcoming.
  • Fernandez-Perez, A., Fuertes, A.-M. and Miffre, J. (2021) “The Risk Premia of Energy Futures”. Energy Economics, forthcoming.
  • Gilbert, A., Poyser, A., Scott, A. (2021) “Indigenous investments: Are they different? Lessons from Iwi ” is now published in Volume 46, Issue 2 of Australian Journal of Management
  • Indriawan, I., Jiao, F., & Tse, Y. (2021). The SOFR and the Fed’s influence over market interest rates. Economics Letters, 110095. https://doi.org/10.1016/j.econlet.2021.110095
  • Liao, S.  (2021). The effect of credit shocks in the context of labour market frictions, Journal of Banking and Finance
  • Ma, R., Marshall, B., Nguyen, N.H., Visaltanachoti, N. ‘Does Bitcoin liquidity resemble liquidity of other financial assets?’ forthcoming in the Australian Journal of Management
  • Marshall, B., Nguyen, J.H., Nguyen, N.H., Visaltanachoti, N. (2021). Does a change in the information environment affect labour adjustment costs? International Review of Financial Analysis
  • Marshall, B. R., Nguyen, H. T., Nguyen, N. H., Visaltanachotin, N., & Young, M. (2021). Do climate risks matter for green investment? Journal of International Financial Markets, Institutions and Money, 101438. https://doi.org/10.1016/j.intfin.2021.101438
  • Marshall, B., Nguyen, N.H., Visaltanachoti, N. Beta estimation in New Zealand. Pacific-Basin Finance Journal, https://doi.org/10.1016/j.pacfin.2021.101671
  • Phung, T.M.T., Tran, N.Q., Nguyen, H.N., Nguyen, H.T., 2021. Financial Decision-Making Power and Risk Taking. Economics Letters
  • Phung, T.M.T., Nguyen-Hoang, P., Nguyen, N.H., Cao, D.K., Nguyen, H.T.  "Aspirations for careers in state-owned enterprises: Evidence from a low middle-income country". International Journal of Public Administration forthcoming
  • Zeng, H., Marshall, B., Nguyen, N., and Visaltanachoti, N. (2021).  Are Individual Stock Returns Predictable?  Australian Journal of Management

2020

Awards

Our members have also been awarded best paper at a number of conferences/events:

  • New Zealand Finance Colloquium - Two NZX Best Paper Awards on 12 February 2021
  • Accounting and Finance Association of Australia and New Zealand Conference
  • Financial Management Association Asia
  • International Corporate Conference on Corporate Governance
  • INFINZ
  • New Zealand Econometric Study Group Meeting

Previous publications by year

  • Andrada-Félix, J., Fernandez-Perez, A., and Sosvilla-Rivero, S. (2018) “Fear connectedness among asset classes”. Applied Economics, Vol. 50, pp. 4234-4249.
  • Baule, R., Frijns, B. and Tieves, M. (2018). “Volatility Discovery and Volatility Quoting on Markets for Options and Warrants”, Journal of Futures Markets 38, 758-774.
  • Byun, S.-J., Frijns, B. and Roh, T.-Y. (2018). “A Comprehensive Look at the Return Predictability of Variance Risk Premia”, Journal of Futures Markets 38, 425-445 (ABDC – A).
  • Chen, H., Chen J., Frijns, B., and Indriawan, I. (2018). “Turn of the Month Effect in the New Zealand Stock Market”, New Zealand Economic Papers, forthcoming.
  • Da Fonseca, J., and Gottschalk, K. (2018): "The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities: Evidence from Asia-Pacific Markets", International Review of Finance. DOI: 10.1111/irfi.12237.
  • Da Fonseca, J and Ignatieva, K. (2018) “Volatility Spillovers and Connectedness Among Credit Default Swap Sector Indexes”, Applied Economics, Volume 50, Issue 36, 3923-3936, 2018. DOI: 10.1080/00036846.2018.1430344
  • Dutta, A., J. Knif, J. Kolari, and S. Pynnönen, (2018). A robust and powerful test of abnormal stock returns in long-horizon event studies, Journal of Empirical Finance, Vol. 47, 1-24.  http://ssrn.com/abstract=2292356
  • Dodd, O. and Frijns, B. (2018). “NYSE Closure and Global Equity Trading: The Case of Cross-listed Stocks”, International Review of Financial Analysis, forthcoming.
  • Fernandez-Perez, A., Frijns, B., Indriawan, I., and Tourani-Rad, A. (2018). “Surprise and Dispersion: Informational Impact of USDA Announcements”. Agricultural Economics, forthcoming.
  • Fernandez-Perez, A., Frijns, B., Gallatullina, I., and Tourani-Rad, A. (2018) “Determinants of Intraday Price Discovery in VIX Exchange Traded Notes”. Journal of Futures Markets, Vol. 38, pp. 535–548 [A in ABDC]
  • Fernandez-Perez, A., Frijns, B., Fuertes A.-M., and Miffre, J. (2018). “The Skewness of Commodity Futures Returns”. Journal of Banking and Finance, Vol. 86, pp. 143–158. [A* in ABDC]
  • Finta, M., Frijns, B. and Tourani-Rad, A. (2018). “Volatility spillovers among oil and stock markets in the US and Saudi Arabia”, Applied Economics, forthcoming.
  • Finta, M., Frijns, B. and Tourani-Rad, A. (2018). “Time-varying Contemporaneous Spillovers during the European Debt Crisis”, Empirical Economics, forthcoming.
  • Frijns, B., Indriawan, I., Otsubo, Y. and Tourani-Rad, A. (2018). "The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks". International Review of Economics and Finance, forthcoming.
  • Frijns, B. and Indriawan, I. (2018). “On the Ability of New Zealand Actively Managed Funds to Generate Outperformance in their Domestic Equity Allocations”, Pacific Accounting Review, forthcoming.
  • Frijns, B. and Huynh, T. (2018). “Herding in analysts' recommendations: The role of media”, Journal of Banking and Finance 91, 1-18.
  • Frijns, B. and Zwinkels, R. (2018). “Time-Varying Arbitrage and Dynamic Price Discovery”. Journal of Economic Dynamics and Control 91, 485-502.
  • Frijns, B., Indriawan, I., Tourani-Rad, A. and Tse, Y. (2018). “Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets”, International Review of Finance, forthcoming.
  • Frijns, B., Huynh, T., Tourani-Rad, A. and Westerholm, J. (2018). “Institutional Trading and Asset Pricing”, Journal of Banking and Finance 89, 59-77.
  • Frijns, B. and Indriawan, I. (2018). “Behavioural Heterogeneity in the New Zealand Stock Market”, New Zealand Economic Papers 52, 53-71.
  • Frijns, B., Indriawan, I. and Tourani-Rad, A. (2018). “The Interactions between Price Discovery, Liquidity and Algorithmic Trading for US-Canadian Cross-Listed Shares”, International Review of Financial Analysis 56, 136-152.
  • Högholm, K., J. Knif, G. Koutmos, and S. Pynnönen (2018). Asymmetric performance characteristics of US and European large- cap mutual funds, Multinational Finance Journal, (Forthcoming)
  • Song, S., Sun, Q. and Zhang, X. (2018). Do IPOs Affect the Market Price? Evidence from China. Journal of Financial and Quantitative Analysis 53(3): 1-26.
  • Tang, X., Hu, F., Wang, P. , (2018). “Out‐of‐sample equity premium prediction: A scenario analysis approach”, Journal of Forecasting, Volume 37, Issue 5, 604 – 626.
  • Webb, R.I., Song, W. and Ryu, D. (2018). “Volatility Dynamics under an Endogenous Markov-Switching Framework:  A Cross-Market Approach,” Quantitative Finance, Vol. 18, No. 9,  2018, pp.1559-1571.--SSCI
  • Yuanpeng, L., Sun, Q. and Tian, S. (2018). The Impact of IPO Approval on the Price of Existing Stocks, Journal of Corporate Finance 50: 109-127.
  • Badshah,I., Frijns, B., Knif, J. and Tourani-Rad, A. (2017). Asymmetries of the Intraday Return-Volatility Relation: International Review of Financial Analysis, Vol. 48. 182-192.
  • Chen, J. and Chen, Y., Frijns, B. (2017). Evaluating the Tracking Performance and Tracking Error of New Zealand Exchange Traded Funds: Pacific Accounting Review, forthcoming.
  • Da Fonseca, J and Xu, Y (2017) Higher Moment Risk Premiums for the Crude Oil Market: A Downside and Upside Conditional Decomposition: Energy Economics, Volume 67, 410-422. DOI:10.1016/j.eneco.2017.08.024
  • Da Fonseca, J and Zaatour, R. “Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model”, Journal of Futures Markets, Volume 37, Issue 3, 260-285, (2017). DOI: 10.1002/fut.21800
  • Fernandez-Perez, A., Frijns, B. and Tourani-Rad, A. (2017). Precious Metals, Oil and the Exchange Rate: Contemporaneous Spillovers: Applied Economics, forthcoming.
  • Fernandez-Perez, A., Fuertes A.-M., and Miffre, J. (2017). Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing: Review of Finance, Vol. 21, pp. 1159-1188. [FT50 Research Rank; A* in ABDC]
  • Finta, M., Frijns, B. and Tourani-Rad, A. (2017) Contemporaneous Spillover Effects between the US and the UK Equity Markets: Financial Review, 52, 145-166.
  • Frijns, B., Verschoor, W. and Zwinkels, R. (2017). Excess Stock Return Comovements and the Role of Investor Sentiment Journal of International Financial Markets: Institutions & Money, forthcoming.
  • Garel, A. and Petit-Romec, A. (2017). Bank capital in the crisis: It's not just how much you have but who provides it: Journal of Banking & Finance, Vol 75, pp 152-166.
  • Garel, A. (2017). When ownership structure matters: A review of the effects of investor horizon on corporate policies: Journal of Economic Surveys, Forthcoming (2017).
  • Gilbert, A., and Scott, A. (2017). Short and Sweet or Just Short? The Readability of Product Disclosure StatementsApplied Finance Letters 6, 27-37.
  • Dye, J., Gilbert, A., and Pacheco, G., (2017). Does integration lead to lower costs of equity? Australian Journal of Management 42, 86-112.
  • Lehnert, T., Bams, D. and Blanchard, G. (2017). Volatility Measures and Value-at-Risk: International Journal of Forecasting, 33 (4), 848-863
  • Lehnert, T. and Lin, Y. (2017).  Skewness Term Structure Tests: Applied Mathematical Finance, 23 (6), 484-504.
  • Lehnert, T. and Abed Masrorkhah, S. (2017).  Press Freedom and Jumps in Stock Markets: Economic Systems, 41 (1), 151-162.
  • Lehnert, T., Kräussl, R. and Rinne, K. (2017) The Search for Yield: Implications to Alternative Investments: Journal of Empirical Finance, 44, 227-236.
  • Lehnert, T., Bams, D., Blanchard, G. and I. Honarvar,  (2017) Does Oil and Gold Price Uncertainty matter for the Stock Market?: Journal of Empirical Finance, 44, 270-285.
  • Wang, T., Ma, C. and Sun, Q. (2017) The interaction between security lending market and security trading market: Pacific Basin Finance Journal, 46(B): 309-322.
  • Webb, R.I., Frino, A., Mollica, V. and Zhang, T. (2017). “The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities,” Pacific Basin Finance Journal, Vol., 45, October 2017, pp. 91-102.--SSCI
  • Webb, R.I., Fung, J. and Chan, W. (2017) . “Do Derivative Markets Contain Useful Information for Signaling ‘Hot Money’ Flows?” Asia-Pacific Journal of Financial Studies, Vol. 46, Issue 3, June 2017, pages 491-527.--SSCI
  • Chakravarty, S., and Rutherford, L., (2017).    Do busy directors influence the cost of debt? An examination through the lens of takeover vulnerability. Journal of Corporate Finance, 43, 429-443.
  • Chakravarty, S., and Pylypiv, M., (2017). Microfinance: What Do We Know? Where Do We Go?, Annals of Corporate Governance: Vol. 2: No. 3, pp 171-289.
  • Badshah, I., B. Frijns, J. Knif, and A. Tourani-Rad, 2016, Asymmetries of the intraday return-volatility relation, International Review of Financial Analysis, Vol. 48. 182-192
  • Da Fonseca. J. and Zaatour, R. (2016). Correlation and Lead-Lag Relationships in a Hawkes Microstructure Model, forthcoming Journal of Futures Markets. DOI: 10.1002/fut.21800
  • Da Fonseca, J. (2016). On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models, European Journal of Operational Research, Volume 254, Issue 3, 889-894.  DOI: 10.1016/j.ejor.2016.04.042
  • Da Fonseca, J., Ignatieva, K., and Ziveyi, J. (2016). Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, Energy Economics, Volume 56, 215-228.  DOI: 10.1016/j.eneco.2016.03.022
  • Da Fonseca, J. and Martini, C. (2016). The alpha-Hypergeometric Stochastic Volatility Model, Stochastic Processes and their Applications, 126(5), 1472-1502. DOI: 10.1016/j.spa.2015.11.010
  • Dodd, O. and Gilbert, A. (2016). The Impact of Cross-listing on the Home Market’s Information Environment and Stock Price Efficiency. The Financial Review, forthcoming.
  • Fernandez-Perez, A., Brooks, C., Miffre, J., and Nneji, O. (2016). Commodity Risk Factors and the Cross-Section of Equity Returns, The British Accounting Review, Vol. 48, pp 134-150.
  • Fernandez-Perez, A., Fuertes A.M. and Miffre, J. (2016) Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing, Review of Finance, forthcoming.
  • Fernandez-Perez, A., Frijns, B. and Tourani-Rad, A. (2016). Contemporaneous interactions among fuel, biofuel and agricultural commodities, Energy Economics 58, 1–10.
  • Fernandez-Perez, A., Frijns, B. and Tourani-Rad, A. (2016). When No News is Good News – The decrease in Investor Fear after the FOMC announcement, Journal of Empirical Finance, forthcoming.
  • Fernandez-Perez, A., Fuertes A.-M. and Miffre, J. (2016). Is Idiosyncratic Volatility Priced in Commodity Futures Markets? International Review of Financial Analysis, 46, 219–226.
  • Frijns, B., Dodd, O. and Cimerova, H. (2016). The Impact of Cultural Diversity in Corporate Boards on Firm Performance, Journal of Corporate Finance, forthcoming.
  • Frijns, B. and Indriawan, I. (2016). Behavioural heterogeneity in the New Zealand Stock Market, New Zealand Economic Papers, forthcoming.
  • Frijns, B., Gilbert, A. and Zwinkels, R.C.J. (2016). On the Style-based Feedback Trading of Mutual Fund Managers, Journal of Financial and Quantitative Analysis 51, 771-800.
  • Frijns, B., Finta, M. and Tourani-Rad, A. (2016). Contemporaneous Spillover Effects between the US and the UK Equity Markets, Financial Review, forthcoming.
  • Frijns, B. and Tourani-Rad, A. (2016). The Long-Run Performance of the New Zealand Stock Markets: 1899-2013, Pacific Accounting Review 28, 59-70.
  • Knif, J. and Högholm, K. (2016). Short Term Announcement Returns for the Bidder European Journal of Economics and Management, Vol. 3 No. 2, 29-57
  • Lehnert, T. (2016).  Mutual Funds, Price Pressure and Index Options”, 2016, Journal of Derivatives, 24 (1), 30–46.
  • Lehnert, T., Kräussl, R. and Senulyte, S. (2016).  Euro Crash Risk, Journal of Empirical Finance, 38, 417-428.
  • Lehnert, T., Lin, Y. and Martelin, N. (2016).  Stein’s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?, Journal of Derivatives, 23 (3), 22-35.
  • Lehnert, T.,  Kräussl, R. and Stefanova, D. (2016).  The European Sovereign Debt Crisis: What have we learned?”, Journal of Empirical Finance, 38, 363-373.
  • Lehnert, T.,  Kräussl, R. and Martelin, N. (2016).  Is there a bubble in the art market?”, Journal of Empirical Finance, 35, 99-109.
  • Webb, R.I., Frino, A. and Mollica, A.  (2016). The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities,” Pacific Basin Finance Journal, forthcoming 2017.
  • Webb, R.I., Ryu, D. and Han, J. (2016). The Price Impact of Futures Trades and their Intraday Seasonality, Emerging Markets Review, Vol. 26, pp. 80-98.---SSCI
  • Webb, R.I. (2016). Recent Advances in the Literature:  Asia Pacific Derivatives Markets, Asia Pacific Journal of Financial Studies, Vol. 45, No. 1, February, pp.34-47.--SSCI
  • Webb, R.I., Ryu, D. and Song, W. (2016). Overseas market shocks and VKOSPI dynamics: A Markov-switching approach,” Finance Research Letters, Vol. 16, February, pp. 275-282.--SSCI
  • Webb, R.I., Frijns, B. and Tourani-Rad, A. (2016). On the Intraday Relation between the VIX and its Futures,” Journal of Futures Markets, Volume 36, Issue 9, September, Pages: 870–886.--SSCI
  • Webb, R.I., Yang, J. and Zhang, J. (2016). Price Jump Risk in the U.S. Housing Market, Journal of Real Estate Finance and Economics, July 2016, Volume 53, Issue 1, pp. 29-49.  (Published online 26 July 2015).--SSCI
  • Zwinkels, R.C.J., Gong, M. and Lin, M. (2016). Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns, Journal of Financial Econometrics, forthcoming.
  • Zwinkels, R.C.J. and Salzman, D. (2016). Behavioural Real Estate, Journal of Real Estate Literature, forthcoming.
  • Zwinkels, R.C.J. and Cox, R. (2016). Mortgage Insurance Adoption in the Netherlands, Real Estate Economics, forthcoming.
  • Zwinkels, R.C.J., Kouwenberg, R., Markiewicz, A. and Verhoeks, R. (2016). Model Uncertainty and Exchange Rate Forecasting, Journal of Financial and Quantitative Analysis, forthcoming.
  • Zwinkels, R.C.J., Pieterse-Bloem, M., Qian, Z. and Verschoor, W. (2016). Time-Varying Importance of Country and Industry Factors in European Corporate Bonds, Journal of Empirical Finance 38(A): 429-448.
  • Chen, Y., Wang, S.S., Li, W., Sun, Q. and Tonge, W.H.S.  (2015). Institutional environment, firm ownership, and IPO first-day returns: Evidence from China. Journal of Corporate Finance 32.150-168.
  • Da Fonseca, J. and Wang, P. (2015) A Joint Analysis of Market Indexes in Credit Default Swap, Volatility and Stock Market”, Applied Economics. DOI: 10.1080/00036846.2015.1109036
  • Da Fonseca, J. and Ziveyi, J. (2015) Valuing Variable Annuity Guarantees on Multiple Asset, Scandinavian Actuarial Journal. DOI: 10.1080/03461238.2015.1102167
  • Da Fonseca, J., Gnoatto, A. and Grasselli, M. (2015) Analytic Pricing of Volatility-Equity Options within Wishart-Based Stochastic Volatility Models, Operations Research Letters, 43(6), 601-607, (2015). DOI: 10.1016/j.orl.2015.09.006
  • Dodd, O., & Frijns, B. (2015). Cross-Listing Decisions and the Foreign Bias of Investors. Finance Research Letters, forthcoming.
  • Dodd, O., Louca, C., & Paudyal, K. (2015). The Determinants of Foreign Trading Volume of Stocks Listed in Multiple Markets. Journal of Economics and Business, 79, 38-61.
  • Dodd, O., Frijns, B. & Gilbert, A. (2015). On the Role of Cultural Distance in the Decision to Cross-List. European Financial Management, 21 (4), 706-741.
  • Fernandez-Perez, A., Fernández-Rodríguez, F. and Andrada-Félix, J. (2015). Fixed Income Technical Strategies Based on the Prediction of Parameters in the Nelson and Siegel Model. SERIEs (Journal of the Spanish Economic Association), 6, 207-245.
  • Frijns, B., Gilbert, A. and Tourani-Rad, A. (2015) The Determinants of Price Discovery: Evidence from US-Canadian Cross-listed Shares, Journal of Banking and Finance 59, 457-468.
  • Frijns, B., I. Indriawan and Tourani-Rad, A. (2015). Macroeconomic News Announcements and Price Discovery: Evidence from Canadian-US cross-listed firms, Journal of Empirical Finance 32, 35-48.
  • Frijns, B. and Y. Tse (2015). On the Informativeness of Trades and Quotes in the FTSE 100 Index Market, Journal of Futures Markets 35, 105-126.
  • Frijns, B., A. Gilbert and A. Tourani-Rad (2015). On the Performance of KiwiSaver Funds, Pacific Accounting Review 27, 266-281.
  • Fuertes A.-M., Miffre, J. and Fernandez-Perez, A. (2015). Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility. Journal of Futures Markets, 35, 274–297.
  • Kumar, S. (2015). Is the U.S. Consumer Credit Asymmetric? Forthcoming in Scottish Journal of Political Economy
  • Kumar, S. (2015). Regional Integration, Capital Mobility and Financial Intermediation Revisited: Application of GETS Procedure in Panel Data,” Journal of International Financial Markets, Institutions and Money, Vol.36, pp.1-17
  • Lehnert, T., Bekkour, L., Jin, X., Rasmouki, F. and Wolff, C. (2015).  Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency, Journal of Empirical Finance, 33, 67-83.
  • Lehnert, T., Otsubo, Y. and Grammatikos, T. (2015). Market Perceptions of US and European Policy Actions around the Subprime Crisis, Journal of International Financial Markets, Institutions & Money, 37, 99-113.
  • Miffre, J. and Fernandez-Perez, A. (2015). The Case for Long-Short Commodity Investing: Performance, Volatility and Diversification Benefits. Journal of Alternative Investments, 18, 92–104.
  • Miffre, J., Fuertes A.-M. and Fernandez-Perez, A. (2015). Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing. Review of Finance, forthcoming.
  • Zwinkels, R.C.J., Kouwenberg, R., Markiewicz, A., and Verhoeks, R. (2015). Model Uncertainty and Exchange Rate Forecasting, Journal of Financial and Quantitative Analysis, forthcoming.
  • Zwinkels, R.C.J., Frijns, B., Gilbert, A. (2015). On the Style-Based Feedback Trading of Mutual Fund Managers, Journal of Financial and Quantitative Analysis, forthcoming.
  • Zwinkels, R.C.J., Kouwenberg, R. (2015). Endogenous Price Bubbles in a Multi-Agent System of the Housing Market, PLOS One, 10(6): e129070.
  • Zwinkels, R.C.J., Eichholtz, P., and Huisman, R. (2015). Fundamentals or Trend? A Long-Term Perspective on House Prices, Applied Economics 47(10): 1050-1059.
  • Bai, M., & Qin, Y. (2014). Short-Sales Constraints and Liquidity Change: Cross-Sectional Evidence from the Hong Kong Market. Pacific-Basin Finance Journal, 26, 98-122
  • Li, B., Sun, Q. and Wang, C. (2014). Liquidity, liquidity risk, and stock returns: Evidence from Japan. European Financial Management 20:1, 126–151.
  • Chiarella, C.,  Da Fonseca, J. and Grasselli, M. (2014). Pricing Range Notes within Wishart Affine Models. Insurance: Mathematics and Economics 58, 193–203.
  • Da Fonseca, J. and K. Gottschalk, (2014).  Cross-Hedging Strategies between CDS Spreads and Option Volatility during Crises. Journal of International Money and Finance, forthcoming.
  • Da Fonseca, J. and R. Zaatour (2014). Clustering and Mean Reversion in a Hawkes Microstructure Model, Journal of Futures Markets, forthcoming.
  • Fernandez-Perez, A. and Fuertes A.-M., Miffre, J., (2014). Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility. Journal of Futures Markets, forthcoming.
  • Fernandez-Perez, A., Fernández-Rodríguez, F. and Sosvilla-Rivero, S. (2014). The Term Structure of Interest Rates as Predictor of Stock Returns: Evidence for the IBEX 35 during a Bear Market. International Review of Economics & Finance, 31, 32-33.
  • Fernandez-Perez, A., Andrada-Félix, J., and Fernández-Rodríguez, F. (2014). La Estructura Temporal de los Tipos de Interés: estrategias de negociación en renta fija. Cuadernos de Economía, forthcoming.
  • Frijns, B. and Tourani-Rad, A. (2014). On the Performance of KiwiSaver Funds. Pacific Accounting Review, forthcoming.
  • Frijns, B., Indriawan, I. and Tourani-Rad, A. (2014). Macroeconomic News Announcements and Price Discovery: Evidence from Canadian-U.S. cross-listed firms. Journal of Empirical Finance, forthcoming.
  • Frijns, B. and Y. Tse (2014). On the Informativeness of Trades and Quotes in the FTSE 100 Index Market. Journal of Futures Markets, forthcoming.
  • Frijns, B., Gilbert, A. and Tourani-Rad, A. (2014). Crossing the Tasman: Determinants of price discovery for Australia- New Zealand cross-listed shares.  Pacific Accounting Review 26, 177-195.
  • Frijns, B., Lai, Q. and Tourani-Rad, A. (2014), “Institutional Trading and Stock Returns: Evidence from China”, Review of Pacific Basin Financial Markets and Policies 17 (ABDC-B; ERA-B).
  • Frijns, B., Gilbert, A. and Tourani-Rad, A. (2014), “Financial Literacy: the Importance of Financial Experience”, Journal of Public Policy 34, 123-154. (ABDC – B; ERA - A).
  • Högholm, K., Knif, J. and Koutmos, G. (2014). Asymmetric dynamic linkages between returns on banks and other industry portfolio returns, in Contributions to Mathemtics, Statistics, Econometrics, and Finance, Essays in the Honour of Professor Seppo Pynnönen, Acta Wasaensia 296, 209-230.
  • Högholm, K., Knif, J. and Romar, T. (2014). Short-term value cration for the bidder: Evidence from Finland, in Contributions to Mathemtics, Statistics, Econometrics, and Finance, Essays in the Honour of Professor Seppo Pynnönen, Acta Wasaensia 296, 307-328.
  • Knif, J., Kolari, J. and Pynnönen, S. (2014). Market conditions and time-varying conditional correlations, Applied Finance Letters, 3:1, 22-27.
  • Knif, J., and Pape, B. (2014). Contributions to Mathematics, Statistics, Econometrics, and Finance, Essays in the Honour of Professor Seppo Pynnönen, Acta Wasaensia 296, Statistics 7, 412
  • Knif, J., Koutmos, D. and Koutmos, G. (2014). Hedge Funds: Market timing and the dynamics of systematic risk, in Contributions to Mathematics, Statistics, Econometrics, and Finance, Essays in the Honour of Professor Seppo Pynnönen, Acta Wasaensia 296, 255-266.
  • Lehnert, T., Amadori, M.C. and Bekkour, L (2014). The Relative  Informational  Efficiency of Stocks, Options and Credit Default  Swaps? The Journal of Risk Finance, 15:5, 510-532.
  • Lehnert, T. and Busch, T. (2014). The Impact  of  Policy Responses  on Stock Liquidity? Applied Economics Letters, 21:12, 842-845.
  • Scholtus, M., van Dijk, D. and Frijns, B. (2014), “Speed, Algorithmic Trading and Market Quality around Macroeconomic News Announcements”, Journal of Banking and Finance 38, 89-105. (ABDC – A*; ERA – A*).
  • Webb, R.I. (2014). Yesterday’s Tomorrows:  Past Visions of Future Financial Markets.  Applied Finance Letters, 3:1, 2-9
  • Webb, R.I. (2014). The Origin, Nature and Role of SROs in Contemporary Derivative Markets.  Review of Futures Markets, 23:2.
  • Webb, R.I., Frino, A. and Mollica, A. (2014). The Impact of Co-location of Securities Exchanges' and Traders' Computer Servers on Market Liquidity. Journal of Futures Markets 34:1, 20-33.
  • Dong, Y., Liu, Z., Shen, Z. and Sun, Q. (2014). Political patronage and capital structure in China. Emerging Markets Finance and Trade 50:3, 102-125.
  • Shen, Z., Chen, L. and Sun, Q. (2014) Do Chinese IPOs Really Underperform in the Long Run? The Journal of Portfolio Management. SPECIAL CHINA ISSUE 2014
  • Badshah, I. (2013). Quantile regression analysis of the asymmetric return-volatility relation. Journal of Futures Markets 33, 235-265.
  • Badshah, I., B. Frijns and A. Tourani-Rad (2013). Contemporanous spill-over among equity, gold, and exchange rate implied volatility indices. Journal of Futures Markets 33, 555-572.
  • Bai, M. (2013). Short-Sales Constraints and Liquidity Change: Cross-Sectional Evidence from the Hong Kong Market. Pacific-Basin Finance Journal, forthcoming.
  • Bai, M. and Y. Qin (2013). Foreign Ownership Restriction and Momentum —Evidence from Emerging Markets. International Review of Finance, forthcoming.
  • Dirk G. Baur, 2013, The Degree and Structure of Dependence – A Quantile Regression Approach, Journal of Banking & Finance, forthcoming.
  • Da Fonseca, J., A. Gnoatto and M. Grasselli (2013). A flexible matrix Libor model with smiles. Journal of Economic Dynamics and Control 37, 774-793.
  • Da Fonseca, J., M. Grasselli and F. Ielpo (2013). Estimating the Wishart Affine Stochastic Correlation Model using the Empirical Characteristic Function. Studies in Nonlinear Dynamics & Econometrics 18:3, 53-289.
  • Da Fonseca, J. and K. Gottschalk,  (2013). A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface. Journal of Futures Markets 33, 494-517.
  • Da Fonseca, J. and R. Zaatour, (2013) Hawkes Process: Fast Calibration, Application to Trade Clustering and Diffusive Limit, Journal of Futures Markets, 34:6, 548-579
  • Dodd, O., B. Frijns and A. Gilbert (2013). Cultural Determinants of the Cross-listing Decision. European Financial Management, forthcoming.
  • Frijns, B., A. Gilbert, T. Lehnert and A. Tourani-Rad (2013). Uncertainty Avoidance, Risk Tolerance and Corporate Takeover Decisions. Journal of Banking and Finance 37, 2457-2471.
  • Frijns, B., A. Gilbert and A. Tourani-Rad (2013). Do criminal sanctions deter insider trading? Financial Review 48, 205-232.
  • Frijns, B., A. Gilbert and R. Zwinkels (2013). Market timing ability and mutual funds: A heterogeneous agenst approach. Quantitative Finance 13, 1613-1620.
  • Gulati, A., J. Knif and J. Kolari, 2013, Exchange rate shocks and firm competitiveness in small, export-oriented countries: The case of Finland. Multinational Finance Journal, 17, 1/2, 1-47.
  • Koerniadi, H., C. Krishnamurti and A. Tourani-Rad (2013). Corporate governance and risk-taking in New Zealand. Australian Journal of Management, forthcoming.
  • Spronk, R., W. Verschoor and R. Zwinkels (2013). Carry trade and foreign exchange rate puzzles. European Economic Review 60, 17-31.
  • Sun, Q., W. Tong and Y. Wu (2013). Overseas listing as a policy tool: Evidence from China's H-shares. Journal of Banking and Finance 37, 1460-1474.
  • Sun, Q., W. Tong and X. Zhang (2013). How cross-listings from an emerging economy affect the host market. Journal of Banking and Finance 37, 2229-2245.
  • Ter Ellen, S., W. Verschoor and R. Zwinkels (2013). Dynamic expectation formation in the foreign exchange market. Journal of International Money and Finance, forthcoming.
  • Verschoor, W. and R. Zwinkels (2013). Do foreign exchnage fund managers behave like heterogeneous agents? Quantitative Finance 13, 1125-1134.
  • Armstrong, W., J. Knif, J. Kolari and S. Pynnönen, 2012, Exchange risk and universal returns: A test of international arbitrage pricing theory, Pacific-Basin Finance Journal, 20, 1, 24-40.
  • Baur, D. G., Dimpfl, T. and Jung, R. C. (2012). Stock return autocorrelations revisited: A quantile regression approach. Journal of Empirical Finance 19, 254-256.
  • Baur, D. G. (2012). Financial contagion and the real economy. Journal of Banking & Finance 36, 2680-2692.
  • Elliot, R. and G. Lian (2012). Pricing variance and volatility swaps in a stochastic volatility model with regime switching - Discrete observations case.Quantitative Finance, forthcoming.
  • Frijns, B., D. Margaritis and M. Psillaki (2012). Firm efficiency and stock returns. Journal of Productivity Analysis 37, 295-306.
  • Frijns, B., A. Tourani-Rad and I. Indriawan (2012). Political crises and the stock market integration of emerging markets. Journal of Banking and Finance 36, 644-653.
  • Huisman, R., N. van der Sar and R. Zwinkels (2012). A new measurement method of investor overconfidence, Economics Letters 114, 69 - 71.
  • Jongen, R., W. Verschoor, C. Wolff and R. Zwinkels (2012).  Explaining dispersion in the foreign exchange market: A heterogeneous agent approach. Journal of Economic Dynamics and Control 36, 719-735.
  • Liu, M.-H., D. Margaritis and A. Tourani-Rad (2012).  Risk appetite, carry trade and exchange rates. Global Finance Journal, forthcoming.
  • Liu, X., D. Margaritis and P. Wang (2012). Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors.Journal of Empirical Finance 19, 483-496.
  • Koerniadi, H. and A. Tourani-Rad (2012). The role of accruals as a signal in earnings and dividend announcements: NZ evidence. Journal of Applied Accounting Research, forthcoming.
  • Zhu, S. and G. Lian (2012). An analytical pricing formula for VIX futures and its applications. Journal of Futures Markets 32, 166-190.
  • Chi, J., Q. Sun and M. Young (2011). Performance and characteristics of acquiring firms in the Chinese stock markets. Emerging Market Review 12, 152-170.
  • Frijns, B., T. Lehnert and R. Zwinkels (2011). Modeling structural changes in the volatility process. Journal of Empirical Finance 18, 522-532.
  • Högholm, K., J. Knif, G. Koutmos and S. Pynnönen (2011). Distributional asymmetry of loadings on market co-moments. Journal of International Financial Markets, Institutions & Money 21, 851-866.
  • Högholm, K., J. Knif and S. Pynnönen (2011). Cross-distributional robustness of weekday effects: Evidence from European equity-index returns. European Journal of Finance 17, 377-390.
  • Högholm, K., J. Knif and S. Pynnönen (2011). Common and local asymmetry and day-of-the-week effects among EU equity markets. Quantitative Finance 11, 219-227.
  • Huang, J., Y. Shen and Q. Sun (2011). Nonnegotiable shares, controlling shareholders, and dividend payments in China. Journal of Corporate Finance 17, 122-133.
  • Koutmos, G. and J. Knif (2011). Exchange rate exposure in the pre- and post-euro periods: Evidence from Finland. European Journal of Finance 17, 661-674.
  • Liu, M.-H., D. Margaritis, and A. Tourani-Rad (2011). Asymmetric information and price competition in small business lending. Journal of Banking and Finance 35, 2189-2196.
  • Zhu, S. and G. Lian (2011). A closed-form exact solution approach for pricing variance swaps with stochastic volatility. Mathematical Finance 21, 233-256.
  • Andonov, A., Bardong F., and Lehnert T. (2010). TIPS, inflation expectations and the financial crisis, Financial Analysts Journal 66, 27-39.
  • Baur, D. G. and McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking and Finance 34, 1886-1898.
  • Baur, D. G. & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold.Financial Review 45, 217-229.
  • Beugelsdijk, S. and B. Frijns (2010). A cultural explanation of the foreign bias in international asset allocation. Journal of Banking and Finance 34, 2121-2131.
  • Beugelsdijk, S. and R. Zwinkels (2010). Gravity equations; workhorse or Trojan horse in explaining trade and FDI patterns across time and space?International Business Review 19, 102 - 115.
  • De Jong, E., W. Verschoor and R. Zwinkels (2010). Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS. Journal of International Money and Finance 29, 1652-1669.
  • Frijns, B., T. Lehnert and R. Zwinkels (2010). Behavioral heterogeneity in the option market. Journal of Economic Dynamics and Control 34, 2273-2287.
  • Frijns, B., A. Gilbert and A. Tourani-Rad (2010). Price discovery, cross-listings and exchange rates: Evidence from Australia and New Zealand. Journal of Banking and Finance 34, 498-508.
  • Frijns, B., C. Tallau and A. Tourani-Rad (2010), The information content of implied volatility: Evidence from Australia. Journal of Futures Markets 30, 134-155.
  • Gupta, K., Locke, S. and Scrimgeour, F. (2010) International comparison of returns from conventional, industrial and 52-week high momentum strategies.Journal of International Financial Markets, Institutions & Money 20, 423-435.
  • Liu, M.-H., D. Margaritis, and A. Tourani-Rad (2010). Is there an asymmetry in the response of diesel and petrol prices to crude oil price changes? Evidence from New Zealand. Energy Economics 32, 926-932.
  • Sun, Q. and W. Tong (2010). Risk and January effect.Journal of Banking and Finance 34, 965-974.
  • Ter Ellen, S. and R. Zwinkels (2010). Oil price dynamics: A behavioral finance approach with heterogeneous agents. Energy Economics 32, 1427 – 1434.
  • Chong, B. and M.-H. Liu (2009). Islamic banking: Interest-free or interest based? Pacific Basin Finance Journal 17, 125-144.
  • De Jong, E., W. Verschoor and R. Zwinkels (2009). Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis. Journal of Economic Dynamics and Control 33, 1929-1944.
  • De Jong, E., W. Verschoor and R. Zwinkels (2009). A heterogeneous route to the EMS crisis. Applied Economic Letters 16, 929 - 932.
  • Frijns, B. and P. Schotman (2009). Price discovery in tick time. Journal of Empirical Finance 16, 759-776.
  • Högholm, K., and J. Knif (2009). The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland. Global Finance Journal 20, 67-79.
  • Liu, M.-H., D. Margaritis, and A. Tourani-Rad (2009). Monetary policy and rigidity of interest rates in China.Applied Financial Economics 19, 647-657.
  • Locke, S. and K. Gupta, (2009). Applicability of contrarian strategy in the Bombay stock exchange.Journal of Emerging Market Finance 8, 165-189 (2009).
  • Marshall, B., Q. Sun, and M. Young (2009). Is technical analysis profitable on U.S. stocks with certain size, liquidity or industry characteristics? Applied Financial Economics 19, 1213-1221.
  • Sun, Q., W. Tong, and Y. Yan (2009). Market liberalization within a country. Journal of Empirical Finance , 16,  18-41.

Our researchers

Members of the centre are leading in their fields of expertise.

Our people

Applied Finance Letters

Applied Finance Letters is an open access journal publishing mainly empirical research with implications and relevance for academia and finance industry.

AFL website