14
H index
19
i10 index
651
Citations
Owain ap Gwilym : Citation Profile
Bangor University | RESEARCH PRODUCTION: 66 Articles 10 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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28 years (1996 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Owain ap Gwilym. | Is cited by:
| Cites to:
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Main data
Where Owain ap Gwilym has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 4 |
| Working Papers / Bangor Business School, Prifysgol Bangor University (Cymru / Wales) | 3 |
Recent works citing Owain ap Gwilym (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2025 | High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads. (2025). Li, Guanlin ; Chen, Xiyan ; Liu, Yingzheng. In: Papers. RePEc:arx:papers:2501.03171. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Why do banks use credit default swaps (CDS)? A systematic review. (2024). , Tabassum ; Yameen, Mohammad. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:201-231. Full description at Econpapers || Download paper |
| 2024 | Excess cash and equity option liquidity. (2024). Deng, Min ; Nguyen, Minh. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:2:p:401-433. Full description at Econpapers || Download paper |
| 2024 | Price clustering on cryptocurrency order books at a US-based exchange. (2024). Han, Seungoh. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s221463502400008x. Full description at Econpapers || Download paper |
| 2024 | Discrepancy and cross-regional bias in sovereign credit ratings: Analyzing the role of public debt. (2024). Nguimkeu, Pierre ; Tatoutchoup, Didier ; ben Hmiden, Oussama ; Avele, Donatien. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004121. Full description at Econpapers || Download paper |
| 2024 | The spillover and contagion effects of sovereign risk on stock markets. (2024). Simo-Kengne, Beatrice Desiree ; Gnagne, Pascal Xavier ; Manguzvane, Mathias Mandla. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002785. Full description at Econpapers || Download paper |
| 2024 | Bail-in in action. (2024). Marques-Ibanez, David ; Scardozzi, Giulia ; Santilli, Gianluca. In: Economics Letters. RePEc:eee:ecolet:v:241:y:2024:i:c:s0165176524002489. Full description at Econpapers || Download paper |
| 2024 | Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness. (2024). Jareo, Francisco ; Escribano, Ana ; Esparcia, Carlos. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002199. Full description at Econpapers || Download paper |
| 2024 | Environmental performance and credit ratings: A transatlantic study. (2024). Lazar, Emese ; Wang, Shixuan ; Pan, Jingqi ; Hu, Haoshen. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924005672. Full description at Econpapers || Download paper |
| 2024 | An study of liquidity shock, financial market participation on hollowing behavior of controlling shareholder. (2024). Gui, Zhou ; Lu, Xiaoyu. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013314. Full description at Econpapers || Download paper |
| 2024 | Capital price distortion, financial leverage, and credit risk in commercial banks. (2024). Sun, Guanglin ; Li, Mengding ; An, Jin ; He, Guiqian ; Ma, Baolin. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012297. Full description at Econpapers || Download paper |
| 2024 | Structural shifts in bank credit ratings. (2024). Sifodaskalakis, Emmanouil ; Ioannidis, Christos ; Ballis, Antonis. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000573. Full description at Econpapers || Download paper |
| 2024 | Does being a responsible bank pay off? Evidence from the COVID-19 pandemic. (2024). Ongena, Steven ; Yildiz, Yilmaz ; Kara, Alper. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924001025. Full description at Econpapers || Download paper |
| 2024 | Credit rating downgrades and systemic risk. (2024). Skouralis, Alexandros ; Kladakis, George. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001701. Full description at Econpapers || Download paper |
| 2024 | Politicians’ connections and sovereign credit ratings. (2024). Alsakka, Rasha ; Uymaz, Yurtsev ; Klusak, Patrycja. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s104244312400088x. Full description at Econpapers || Download paper |
| 2024 | The myth of tightening credit rating standards in the market for corporate debt. (2024). Staneva, Viktoriya ; Krystyniak, Karolina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000426. Full description at Econpapers || Download paper |
| 2024 | Analyst distance and credit rating consistency. (2024). Loffler, Gunter ; Guettler, Andre ; Altdorfer, Marc. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000421. Full description at Econpapers || Download paper |
| 2024 | Misreaction, hedging pressure, and its effect on the futures market. (2024). Yuan, Shu-Fang ; Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001902. Full description at Econpapers || Download paper |
| 2024 | The determinants of Turkish CDS volatility: An ARDL approach covering COVID period. (2024). Sunal, Onur ; Yaci, Filiz. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000930. Full description at Econpapers || Download paper |
| 2024 | Transmission process and determinants of sovereign credit contagions: Global evidence. (2024). Lien, Donald ; Chen, Chun-Da. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:552-567. Full description at Econpapers || Download paper |
| 2024 | Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096. Full description at Econpapers || Download paper |
| 2024 | Basel liquidity regulation and credit risk market perception: Evidence from large European banks. (2024). Veller, Andrea ; Cavezzali, Elisa ; Rigoni, Ugo ; Simion, Giorgia. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000205. Full description at Econpapers || Download paper |
| 2024 | Volatility spillover across spot and futures markets: Evidence from dual financial system. (2024). Elsayed, Ahmed ; Asutay, Mehmet ; Jusoh, Hashim Bin ; Elalaoui, Abdelkader O. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002666. Full description at Econpapers || Download paper |
| 2024 | How do EU banks funding costs respond to the CRD IV? An assessment based on the Banking Union directives database. (2024). Tonzer, Lena ; Zgherea, Cristina ; Sfrappini, Eleonora ; Krause, Thomas. In: IWH Discussion Papers. RePEc:zbw:iwhdps:289797. Full description at Econpapers || Download paper |
Works by Owain ap Gwilym:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Market Impact under a New Regulatory Regime: Credit Rating Agencies in Europe In: Economic Notes. [Full Text][Citation analysis] | article | 4 |
| 2016 | In Search of Concepts: The Effects of Speculative Demand on Stock Returns In: European Financial Management. [Full Text][Citation analysis] | article | 4 |
| 1998 | Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 5 |
| 2000 | Dividend Stability, Dividend Yield and Stock Returns: UK Evidence In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 15 |
| 2004 | The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 9 |
| 2007 | The Components of Electronic Inter‐Dealer Spot FX Bid‐Ask Spreads In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 1 |
| 1999 | Tests of non‐linearity using LIFFE futures transactions price data In: Manchester School. [Full Text][Citation analysis] | article | 0 |
| 2010 | The Extent and Causes of Sovereign Split Ratings In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Sovereign Ratings and Migrations: Emerging Markets In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | The Impact of Sovereign Credit Signals on Bank Share Prices during the European Sovereign Debt Crisis In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | In search of concepts : The effects of speculative demand on returns and volume In: Research Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Does the disclosure of unsolicited sovereign rating status affect bank ratings? In: The British Accounting Review. [Full Text][Citation analysis] | article | 9 |
| 2022 | The impact of regulatory reforms on European bank behaviour: A dynamic structural estimation In: European Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2009 | Heterogeneity of sovereign rating migrations in emerging countries In: Emerging Markets Review. [Full Text][Citation analysis] | article | 21 |
| 2010 | Split sovereign ratings and rating migrations in emerging economies In: Emerging Markets Review. [Full Text][Citation analysis] | article | 11 |
| 2010 | Price clustering and underpricing in the IPO aftermarket In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 6 |
| 2012 | Rating agencies credit signals: An analysis of sovereign watch and outlook In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 16 |
| 2013 | Trade size clustering and the cost of trading at the London Stock Exchange In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 8 |
| 2014 | Sovereign rating actions and the implied volatility of stock index options In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 4 |
| 2014 | Speculate against speculative demand In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 5 |
| 2019 | The impact of ESMA regulatory identifiers on the quality of ratings In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 4 |
| 2020 | Commonality in liquidity across options and stock futures markets In: Finance Research Letters. [Full Text][Citation analysis] | article | 4 |
| 2010 | A random effects ordered probit model for rating migrations In: Finance Research Letters. [Full Text][Citation analysis] | article | 7 |
| 2019 | The European Bank Recovery and Resolution Directive: A market assessment In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 22 |
| 2022 | Regulating rating agencies: A conservative behavioural change In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 4 |
| 2023 | Deal! Market reactions to the agreement on the EU Covid-19 recovery fund In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 1 |
| 2006 | Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU In: Global Finance Journal. [Full Text][Citation analysis] | article | 9 |
| 2002 | An empirical comparison of quoted and implied bid-ask spreads on futures contracts In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 4 |
| 2009 | The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 17 |
| 2013 | A substitution effect between price clustering and size clustering in credit default swaps In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 8 |
| 2015 | Does sovereign creditworthiness affect bank valuations in emerging markets? In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 11 |
| 2022 | Does competition improve sovereign credit rating quality? In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 4 |
| 1998 | Price clustering and bid-ask spreads in international bond futures In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 21 |
| 2010 | Leads and lags in sovereign credit ratings In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 64 |
| 2013 | The impact of sovereign rating actions on bank ratings in emerging markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 54 |
| 2013 | Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 55 |
| 2012 | Foreign exchange market reactions to sovereign credit news In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 36 |
| 2014 | The sovereign-bank rating channel and rating agencies downgrades during the European debt crisis In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 33 |
| 2015 | The credit signals that matter most for sovereign bond spreads with split rating In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 7 |
| 2018 | The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 10 |
| 2024 | The evolution and determinants of the non-performing loan burden in Italian banking In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 1 |
| 2010 | Market structure and microstructure, in international interest rate futures markets In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 1 |
| 2007 | The characteristics and evolution of credit default swap trading. In: Post-Print. [Citation analysis] | paper | 6 |
| 2008 | The determinants of CDS Bid-Ask Spreads. In: Post-Print. [Citation analysis] | paper | 9 |
| 2010 | Size clustering in the FTSE-100 index futures market. In: Post-Print. [Citation analysis] | paper | 7 |
| 2010 | Size clustering in the FTSE100 index futures market.(2010) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2009 | Volatility transmission among the CDS, equity, and bond markets. In: Post-Print. [Citation analysis] | paper | 14 |
| 2009 | Prospective utility and time-varying optimal asset allocation for the UK: 1803-1995 In: International Journal of Behavioural Accounting and Finance. [Full Text][Citation analysis] | article | 0 |
| 2012 | The Causes and Extent of Split Sovereign Credit Ratings in Emerging Markets In: Emerging Markets Finance and Trade. [Full Text][Citation analysis] | article | 4 |
| 2011 | Explaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
| 2005 | Impact of demographic and economic variables on financial policy purchase timing decisions In: Journal of the Operational Research Society. [Full Text][Citation analysis] | article | 0 |
| 2002 | Evidence on Trading Mechanisms In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2018 | Multiple credit ratings and market heterogeneity In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1996 | An analysis of bid-ask spreads on American-and European-style index options In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1997 | Forward/forward volatilities and the term structure of implied volatility In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2001 | The lead-lag relationship between the FTSE100 stock index and its derivative contracts In: Applied Financial Economics. [Full Text][Citation analysis] | article | 15 |
| 1999 | The intraday relationship between volume and volatility in LIFFE futures markets In: Applied Financial Economics. [Full Text][Citation analysis] | article | 19 |
| 2009 | The determinants of trading volume for cross-listed Euribor futures contracts In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 2011 | Structural changes, bid-ask spread composition and tick size in inter-bank futures trading In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
| 2011 | Return reversals and the compass rose: insights from high frequency options data In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | The intraday determination of liquidity in the NYSE LIFFE equity option markets In: The European Journal of Finance. [Full Text][Citation analysis] | article | 2 |
| 2016 | Commonality in equity options liquidity: evidence from European Markets In: The European Journal of Finance. [Full Text][Citation analysis] | article | 2 |
| 2017 | Differences of opinion in sovereign credit signals during the European crisis In: The European Journal of Finance. [Full Text][Citation analysis] | article | 7 |
| 2019 | Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets In: The European Journal of Finance. [Full Text][Citation analysis] | article | 5 |
| 2020 | Market reactions to the implementation of the Banking Union in Europe In: The European Journal of Finance. [Full Text][Citation analysis] | article | 7 |
| 1999 | Volatility forecasting in the framework of the option expiry cycle In: The European Journal of Finance. [Full Text][Citation analysis] | article | 13 |
| 2023 | Technical analysis as a sentiment barometer and the cross-section of stock returns In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 1998 | The bid‐ask spread on stock index options: An ordered probit analysis In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 2000 | Intra‐day volatility components in FTSE‐100 stock index futures In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
| 2003 | Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 15 |
| 2005 | Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 6 |
| 2011 | Open interest, cross listing, and information shocks In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
| 2013 | Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level In: Journal of Futures Markets. [Citation analysis] | article | 3 |
| 2016 | The Impact of a Premium‐Based Tick Size on Equity Option Liquidity In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
| 2018 | Are single stock futures used as an alternative during a short‐selling ban? In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 5 |
| In: . [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team