Owain ap Gwilym : Citation Profile


Are you Owain ap Gwilym?

Bangor University

9

H index

8

i10 index

247

Citations

RESEARCH PRODUCTION:

50

Articles

9

Papers

RESEARCH ACTIVITY:

   22 years (1996 - 2018). See details.
   Cites by year: 11
   Journals where Owain ap Gwilym has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 19 (7.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pap39
   Updated: 2018-07-14    RAS profile: 2018-03-11    
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Relations with other researchers


Works with:

Alsakka, Rasha (10)

Verousis, Thanos (6)

Tran, Vu (3)

Williams, Gwion (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Owain ap Gwilym.

Is cited by:

Wu, Eliza (10)

Binici, Mahir (7)

Ozturk, Huseyin (7)

Broto, Carmen (6)

Molina Sánchez, Luis (6)

Gallo, Raffaele (5)

Stephan, Andreas (5)

Baum, Christopher (5)

Schäfer, Dorothea (5)

Brooks, Robert (5)

Ratha, Dilip (4)

Cites to:

Alsakka, Rasha (28)

Sy, Amadou (19)

faff, robert (18)

Valenzuela, Patricio (18)

Kim, Suk-Joong (16)

Cowan, Kevin (15)

Brooks, Robert (14)

Wu, Eliza (14)

Packer, Frank (12)

Parsley, David (11)

Ferreira, Miguel (11)

Main data


Where Owain ap Gwilym has published?


Journals with more than one article published# docs
Journal of Futures Markets8
The European Journal of Finance7
International Review of Financial Analysis5
Journal of Business Finance & Accounting5
Journal of International Financial Markets, Institutions and Money5
Journal of International Money and Finance3
Applied Financial Economics2
Journal of Banking & Finance2
Applied Economics Letters2
Emerging Markets Review2

Working Papers Series with more than one paper published# docs
Post-Print / HAL4
Working Papers / Bangor Business School, Prifysgol Bangor University (Cymru / Wales)3

Recent works citing Owain ap Gwilym (2018 and 2017)


YearTitle of citing document
2017Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective. (2017). Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:1:p:87-102.

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2018Are credit rating agencies discredited? Measuring market price effects from agency sovereign debt announcements. (2018). Miao, Evan Weicheng ; Binici, Mahir ; Hutchison, Michael M. In: BIS Working Papers. RePEc:bis:biswps:704.

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2017A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS. (2017). Pätäri, Eero ; Leivo, Timo ; Patari, Eero. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:79-168.

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2017A MODEL OF RATING OF EASTERN EUROPEAN BANKS. (2017). Lucian, Gaban ; Alin, Fetita ; ionue -Marius, Rus . In: Revista Economica. RePEc:blg:reveco:v:69:y:2017:i:3:p:42-56.

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2017A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets. (2017). Carchano, Oscar ; Pardo, Angel ; Lucia, Julio . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-53.

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2017Time-varying leads and lags across frequencies using a continuous wavelet transform approach. (2017). Funashima, Yoshito. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:24-28.

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2017Ratings based Inference and Credit Risk: Detecting likely-to-fail Banks with the PC-Mahalanobis Method. (2017). Pompella, Maurizio ; Dicanio, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:34-44.

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2018What determines the long-term correlation between oil prices and exchange rates?. (2018). Yang, Lu ; Hamori, Shigeyuki ; Cai, Xiaojing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:140-152.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2018New evidence on sovereign to corporate credit rating spill-overs. (2018). Hill, Paula ; Faff, Robert ; Bissoondoyal-Bheenick, Emawtee . In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:209-225.

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2017Psychological price barriers in frontier equities. (2017). Berk, Ales S ; Lucey, Brian M ; Dowling, Michael ; Cummins, Mark. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:1-14.

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2017The impact of sovereign rating changes on the activity of European banks. (2017). Gallo, Raffaele ; Drago, Danilo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:85:y:2017:i:c:p:99-112.

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2017The impact of sovereign rating changes on European syndicated loan spreads: The role of the rating-based regulation. (2017). Gallo, Raffaele ; Drago, Danilo . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:213-231.

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2018The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions. (2018). Abad, Pilar ; ap Gwilym, Owain ; Alsakka, Rasha. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:40-57.

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2018Do credit rating agencies provide valuable information in market evaluation of sovereign default Risk?. (2018). Binici, Mahir ; Hutchison, Michael . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:58-75.

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2017The mutual causality analysis between the stock and futures markets. (2017). Yao, Can-Zhong ; Lin, Qing-Wen . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:478:y:2017:i:c:p:188-204.

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2018Price and trade size clustering: Evidence from the national stock exchange of India. (2018). Mishra, Ajay Kumar ; Tripathy, Trilochan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:63-72.

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2017New evidence on stock market reaction to dividend announcements in India. (2017). Kumar, Satish. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:327-337.

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2017Does gold Liquidity learn from the greenback or the equity?. (2017). Smimou, K. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:461-479.

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2017Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect. (2017). Loffredo, Maria I ; Chiarucci, Riccardo ; Ruzzenenti, Franco . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:912-921.

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2017Herding Behaviour among Credit Rating Agencies. (2017). Bellot, Nicolas Jannone. In: Journal of Finance and Economics Research. RePEc:gei:jnlfer:v:2:y:2017:i:1:p:56-83.

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2017Sovereign Credit Rating Changes and Its Impact on Financial Markets of Europe during Debt Crisis Period in Greece and Ireland. (2017). Bashir, Fahad ; Sahi, Abdullah Imran ; Masood, Omar . In: International Journal of Academic Research in Accounting, Finance and Management Sciences. RePEc:hur:ijaraf:v:7:y:2017:i:4:p:146-159.

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2018One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations. (2018). Verousis, Thanos ; Sermpinis, Georgios ; Perotti, Pietro. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0632-2.

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2017Bid-Ask Spread Determination in the FX Swap Market: Competition, Collusion or a Convention?. (2017). Stenfors, Alexis. In: Working Papers in Economics & Finance. RePEc:pbs:ecofin:2017-03.

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2017Volatility Spillovers across Global Asset Classes: Evidence from Time and Frequency Domains. (2017). Wohar, Mark ; GUPTA, RANGAN ; Cunado, Juncal ; Tiwari, Aviral Kumar. In: Working Papers. RePEc:pre:wpaper:201780.

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2017The Relationship between Stock and Exchange Rates for BRICS Countries Pre - and Post - Crisis: A Mixed C - VINE Copula Model. (2017). Han, Yingying ; Zhou, Xiang. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:1:p:38-59.

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2017Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data. (2017). Kim, Sol ; Lee, Geul . In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:20:y:2017:i:03:n:s0219091517500175.

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2017IMPACT OF EUROZONE SOVEREIGN DEBT CRISIS ON CHINA AND INDIA. (2017). Tuteja, Divya ; Dua, Pami. In: The Singapore Economic Review (SER). RePEc:wsi:serxxx:v:62:y:2017:i:05:n:s021759081550099x.

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2017Why they keep missing: An empirical investigation of rational inattention of rating agencies. (2017). von Schweinitz, Gregor ; El-Shagi, Makram. In: IWH Discussion Papers. RePEc:zbw:iwhdps:12017.

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Works by Owain ap Gwilym:


YearTitleTypeCited
2015Market Impact under a New Regulatory Regime: Credit Rating Agencies in Europe In: Economic Notes.
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article0
1998Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements In: Journal of Business Finance & Accounting.
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article4
2000Dividend Stability, Dividend Yield and Stock Returns: UK Evidence In: Journal of Business Finance & Accounting.
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article9
2000Dividend Stability, Dividend Yield and Stock Returns: UK Evidence.(2000) In: Journal of Business Finance & Accounting.
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article
2004The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield In: Journal of Business Finance & Accounting.
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article5
2007The Components of Electronic Inter-Dealer Spot FX Bid-Ask Spreads In: Journal of Business Finance & Accounting.
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article3
1999Tests of Non-linearity Using LIFFE Futures Transactions Price Data. In: Manchester School.
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article0
2010The Extent and Causes of Sovereign Split Ratings In: Working Papers.
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2010Sovereign Ratings and Migrations: Emerging Markets In: Working Papers.
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2013The Impact of Sovereign Credit Signals on Bank Share Prices during the European Sovereign Debt Crisis In: Working Papers.
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2013In search of concepts : The effects of speculative demand on returns and volume In: Research Discussion Papers.
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2009Heterogeneity of sovereign rating migrations in emerging countries In: Emerging Markets Review.
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article16
2010Split sovereign ratings and rating migrations in emerging economies In: Emerging Markets Review.
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article5
2010Price clustering and underpricing in the IPO aftermarket In: International Review of Financial Analysis.
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article5
2012Rating agencies credit signals: An analysis of sovereign watch and outlook In: International Review of Financial Analysis.
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2013Trade size clustering and the cost of trading at the London Stock Exchange In: International Review of Financial Analysis.
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article4
2014Sovereign rating actions and the implied volatility of stock index options In: International Review of Financial Analysis.
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article3
2014Speculate against speculative demand In: International Review of Financial Analysis.
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2010A random effects ordered probit model for rating migrations In: Finance Research Letters.
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article6
2006Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU In: Global Finance Journal.
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article4
2002An empirical comparison of quoted and implied bid-ask spreads on futures contracts In: Journal of International Financial Markets, Institutions and Money.
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article2
2009The 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.
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article4
2013A substitution effect between price clustering and size clustering in credit default swaps In: Journal of International Financial Markets, Institutions and Money.
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article3
2015Does sovereign creditworthiness affect bank valuations in emerging markets? In: Journal of International Financial Markets, Institutions and Money.
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1998Price clustering and bid-ask spreads in international bond futures In: Journal of International Financial Markets, Institutions and Money.
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2010Leads and lags in sovereign credit ratings In: Journal of Banking & Finance.
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article29
2013The impact of sovereign rating actions on bank ratings in emerging markets In: Journal of Banking & Finance.
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article17
2013Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers In: Journal of Economic Behavior & Organization.
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2012Foreign exchange market reactions to sovereign credit news In: Journal of International Money and Finance.
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article15
2014The sovereign-bank rating channel and rating agencies downgrades during the European debt crisis In: Journal of International Money and Finance.
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article7
2015The credit signals that matter most for sovereign bond spreads with split rating In: Journal of International Money and Finance.
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2010Market structure and microstructure, in international interest rate futures markets In: Research in International Business and Finance.
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2007The characteristics and evolution of credit default swap trading. In: Post-Print.
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2008The determinants of CDS Bid-Ask Spreads. In: Post-Print.
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paper7
2010Size clustering in the FTSE-100 index futures market. In: Post-Print.
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2010Size clustering in the FTSE100 index futures market.(2010) In: Journal of Futures Markets.
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2009Volatility transmission among the CDS, equity, and bond markets. In: Post-Print.
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2009Prospective utility and time-varying optimal asset allocation for the UK: 1803-1995 In: International Journal of Behavioural Accounting and Finance.
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2012The Causes and Extent of Split Sovereign Credit Ratings in Emerging Markets In: Emerging Markets Finance and Trade.
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2005Impact of demographic and economic variables on financial policy purchase timing decisions In: Journal of the Operational Research Society.
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2018Multiple credit ratings and market heterogeneity In: Working Papers.
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1996An analysis of bid-ask spreads on American-and European-style index options In: Applied Economics Letters.
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1997Forward/forward volatilities and the term structure of implied volatility In: Applied Economics Letters.
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2001The lead-lag relationship between the FTSE100 stock index and its derivative contracts In: Applied Financial Economics.
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article7
1999The intraday relationship between volume and volatility in LIFFE futures markets In: Applied Financial Economics.
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2009The determinants of trading volume for cross-listed Euribor futures contracts In: The European Journal of Finance.
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2011Structural changes, bid-ask spread composition and tick size in inter-bank futures trading In: The European Journal of Finance.
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2011Return reversals and the compass rose: insights from high frequency options data In: The European Journal of Finance.
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2016The intraday determination of liquidity in the NYSE LIFFE equity option markets In: The European Journal of Finance.
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2016Commonality in equity options liquidity: evidence from European Markets In: The European Journal of Finance.
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2017Differences of opinion in sovereign credit signals during the European crisis In: The European Journal of Finance.
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1999Volatility forecasting in the framework of the option expiry cycle In: The European Journal of Finance.
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1998The bid‐ask spread on stock index options: An ordered probit analysis In: Journal of Futures Markets.
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2000Intra‐day volatility components in FTSE‐100 stock index futures In: Journal of Futures Markets.
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2003Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading In: Journal of Futures Markets.
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2005Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market In: Journal of Futures Markets.
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2011Open interest, cross listing, and information shocks In: Journal of Futures Markets.
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2013Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level In: Journal of Futures Markets.
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2016The Impact of a Premium‐Based Tick Size on Equity Option Liquidity In: Journal of Futures Markets.
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