All years

2017

2016

Brooks, C., Fernandez-Perez, A., 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.

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., & 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., Fuertes A.-M., and Miffre, J. 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.

Högholm, K., and Knif, J. (2016) Short Term Announcement Returns for the Bidder European Journal of Economics and Management, Vol. 3 No. 2, 29-57

Webb, R.I., Frino, A. and Mollica, A.  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. 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

2015

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.

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

2013

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.

2012

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.

2011

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.

2010

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.

2009

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.