2014

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