Owain ap Gwilym : Citation Profile


Are you Owain ap Gwilym?

Bangor University

11

H index

13

i10 index

363

Citations

RESEARCH PRODUCTION:

62

Articles

9

Papers

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 15
   Journals where Owain ap Gwilym has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 21 (5.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pap39
   Updated: 2020-08-01    RAS profile: 2020-06-11    
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Relations with other researchers


Works with:

Alsakka, Rasha (10)

Verousis, Thanos (4)

Tran, Vu (4)

Williams, Gwion (3)

HASAN, IFTEKHAR (2)

Wang, Qingwei (2)

Williams, Jonathan (2)

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)

Brooks, Robert (10)

Binici, Mahir (8)

Ratha, Dilip (7)

faff, robert (7)

Ozturk, Huseyin (7)

Broto, Carmen (6)

Molina Sánchez, Luis (6)

Gallo, Raffaele (5)

Nose, Manabu (5)

Stephan, Andreas (5)

Cites to:

Alsakka, Rasha (32)

Sy, Amadou (26)

faff, robert (24)

Valenzuela, Patricio (21)

Wu, Eliza (19)

Kim, Suk-Joong (18)

Brooks, Robert (17)

Ferreira, Miguel (16)

Gomes, Pedro (15)

Afonso, Antonio (15)

Packer, Frank (13)

Main data


Where Owain ap Gwilym has published?


Journals with more than one article published# docs
Journal of Futures Markets9
The European Journal of Finance9
Journal of Business Finance & Accounting9
International Review of Financial Analysis6
Journal of International Financial Markets, Institutions and Money5
Journal of International Money and Finance4
Journal of Banking & Finance2
Finance Research Letters2
Applied Economics Letters2
Applied Financial Economics2
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 (2020 and 2019)


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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2020Effects of MiFID II on stock price formation. (2020). De Vilder, Robin ; Kleijn, Bas ; Derksen, Mike. In: Papers. RePEc:arx:papers:2003.10353.

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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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2020Corporate Yields and Sovereign Yields. (2020). Tallman, Eric ; Hale, Galina B ; Bevilaqua, Julia. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14344.

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2019Dividend Initiation Policy and the Effect on Dividend Sustainability (At Initial Public Offering Companies on the Indonesia Stock Exchange). (2019). Rustam, M ; Mustaruddin, Mustaruddin ; Hitten, Akhmad. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-05-20.

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2020Machine over Mind? Stock price clustering in the era of algorithmic trading. (2020). Kadapakkam, Palani-Rajan ; Das, Sougata . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301347.

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2020Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316.

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

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2019Do rating agencies exhibit herding behaviour? Evidence from sovereign ratings. (2019). Stewart, Chris ; Chen, Zhongfei ; Webb, Rob ; Matousek, Roman. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:57-70.

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2019Google searches and stock market activity: Evidence from Norway. (2019). Villa, Roviel ; Molnar, Peter ; Luivjanska, Katarina ; Kim, Neri. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:208-220.

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2020Price clustering in Bitcoin market—An extension. (2020). Xu, Chong ; Li, Shenghong. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305907.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2020Corporate yields and sovereign yields. (2020). Hale, Galina B ; Bevilaqua, Julia ; Tallman, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:124:y:2020:i:c:s0022199620300234.

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2019The case for a European rating agency: Evidence from the Eurozone sovereign debt crisis. (2019). Loffler, Gunter ; Guettler, Andre ; de Las, Carlos A ; Altdorfer, Marc . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:1-18.

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2019The Brexit vote and currency markets. (2019). Urquhart, Andrew ; McGroarty, Frank ; Dao, Thong M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:59:y:2019:i:c:p:153-164.

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2020Ratings matter: Announcements in times of crisis and the dynamics of stock markets. (2020). Rosati, Nicoletta ; Bellia, Mario ; Oliveira, Vasco ; Matos, Pedro Verga. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300460.

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2020The rating spillover from banks to sovereigns: An empirical investigation across the European Union. (2020). Trautwein, Hans-Michael ; Shi, Yukun ; Prokop, Jorg ; Hu, Haoshen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119302690.

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2020The effect of credit ratings on emerging market volatility. (2020). Malikane, Christopher ; Bales, Kyle. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300706.

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2020The term structure of volatility predictability. (2020). Zakamulin, Valeriy. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:723-737.

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2019Trade-size clustering and price efficiency. (2019). Chen, Tao. In: Japan and the World Economy. RePEc:eee:japwor:v:49:y:2019:i:c:p:195-203.

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2020The diabolical sovereigns/banks risk loop: A VAR quantile design. (2020). Angelini, Eliana ; Foglia, Matteo. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300050.

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2020Limit order submission risks, order choice, and tick size. (2020). Yamamoto, Ryuichi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302732.

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2020Sovereign ratings and national culture. (2020). Partington, Graham ; Dang, Huong . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:60:y:2020:i:c:s0927538x19304743.

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2019The linear and nonlinear lead–lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets. (2019). Li, Long ; Bao, SI ; Jiang, Tao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:878-893.

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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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2019Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149.

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2019The economic sources of Chinas CSI 300 spot and futures volatilities before and after the 2015 stock market crisis. (2019). Gong, Yuting ; Chen, Qiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:102-121.

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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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2019The intraday dynamics of bitcoin. (2019). Wolfe, Simon ; Urquhart, Andrew ; McGroarty, Frank ; Eross, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:49:y:2019:i:c:p:71-81.

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2019Lead-Lag relationship between Bitcoin and Ethereum: Evidence from hourly and daily data. (2019). Bin, Mohammad Syazwan ; Mohamad, Azhar ; Sifat, Imtiaz Mohammad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:306-321.

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2020Predictive power of web search behavior in five ASEAN stock markets. (2020). Thas, Hassanudin Mohd ; Sifat, Imtiaz Mohammad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307433.

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2020First-mover disadvantage - The sovereign ratings mousetrap. (2020). Klusak, Patrycja ; Kraemer, Moritz ; Vu, Huong. In: CEPS Papers. RePEc:eps:cepswp:26352.

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2019Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio. (2019). Skoura, Angeliki. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:2:p:28-:d:219048.

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2019Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. (2019). Athaley, Chaitaly ; Rastogi, Shailesh . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426.

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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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2019Do Superstitious Traders Lose Money?. (2019). Bhattacharya, Utpal ; Zhao, Jing ; Lin, Tse-Chun ; Kuo, Wei-Yu. In: HKUST IEMS Working Paper Series. RePEc:hku:wpaper:201962.

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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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2019Determinants of Sovereign Credit Ratings in Emerging Markets. (2019). Akintunde, Adeola E ; Osobajo, Oluyomi A. In: International Business Research. RePEc:ibn:ibrjnl:v:12:y:2019:i:5:p:142-166.

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2019IMPACT OF CREDIT RATINGS ON STOCK RETURNS. (2019). Mirza, Nawazish ; Bosman, Rudi ; Reddy, Krishna. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:21:y:2019:i:3d:p:1-24.

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2019Ratings matter: announcements in times of crisis and the dynamics of stock markets. (2019). Rosati, Nicoletta ; Bellia, Mario ; Oliviera, Vasco ; Matos, Pedro Verga. In: Working Papers. RePEc:jrs:wpaper:201908.

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2019The single supervision mechanism and contagion between bank and sovereign risk. (2019). Olmo, Begoa Torre ; Torreolmo, Begoa ; Azofra, Sergio Sanfilippo ; Sanfilippoazofra, Sergio ; Saiz, Maria Cantero. In: Journal of Regulatory Economics. RePEc:kap:regeco:v:55:y:2019:i:1:d:10.1007_s11149-018-09373-6.

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2019Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Wengerek, Sascha Tobias ; Uhde, Andre ; Hippert, Benjamin. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.

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2019Lower tick sizes and futures pricing efficiency: evidence from the emerging Malaysian market. (2019). Theobald, Michael ; Mandal, Anandadeep ; Taunson, Jude W ; Poshakwale, Sunil S. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:4:d:10.1007_s11156-018-0777-7.

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2020Lucky lots and unlucky investors. (2020). Chen, Tao ; Lo, Chia Chun ; Ko, Stanley Iat-Meng ; Karathanasopoulos, Andreas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:2:d:10.1007_s11156-019-00805-8.

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2018Wealth Effects of Bond Rating Announcements. (2018). Zabolotnyuk, Yuriy . In: Multinational Finance Journal. RePEc:mfj:journl:v:22:y:2018:i:3-4:p:211-254.

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2019.

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2020Investor sentiment and insurers’ financial stability: do sovereign ratings matter?. (2020). Ye, Zhiwei ; Ullah, Farid ; Shahab, Yasir ; Ahmed, Danish . In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:45:y:2020:i:2:d:10.1057_s41288-020-00160-z.

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2018Was Regulation (EC) No 1060/2009 on Credit Rating Agencies effective?. (2018). Nataf, Olivier ; Vanpee, Rosanne ; Van Pee, Rosanne ; Moor, Lieven . In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:19:y:2018:i:4:d:10.1057_s41261-017-0059-7.

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2020Drivers of Bank Default Risk: Bank Business Models, the Sovereign and Monetary Policy. (2020). Vennet, Rudi Vander ; Soenen, Nicolas. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/997.

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2019Why rating agencies disagree on sovereign ratings. (2019). Bartels, Bernhard . In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:5:d:10.1007_s00181-018-1503-y.

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2019Volatility relation between credit default swap and stock market: new empirical tests. (2019). Mateev, Miroslav. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:4:d:10.1007_s12197-018-9467-5.

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2019Illiquidity transmission from spot to futures markets. (2019). Theissen, Erik ; Korn, Olaf ; Krischak, Paolo . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1228-1249.

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2019The impact of the US stock market opening on price discovery of government bond futures. (2019). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:779-802.

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2019The evolution of price discovery in us equity and derivatives markets. (2019). Lian, Guanhua ; Kalev, Petko S ; Wallace, Damien. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1122-1136.

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2020What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91.

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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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2019Herding Behavior between Rating Agencies. (2019). Schechinger, Steffen ; Rieber, Alexander . In: Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy. RePEc:zbw:vfsc19:203580.

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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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article3
2016In Search of Concepts: The Effects of Speculative Demand on Stock Returns In: European Financial Management.
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article2
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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article5
1998Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements.(1998) In: Journal of Business Finance & Accounting.
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This paper has another version. Agregated cites: 5
article
2000Dividend Stability, Dividend Yield and Stock Returns: UK Evidence In: Journal of Business Finance & Accounting.
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article10
2000Dividend Stability, Dividend Yield and Stock Returns: UK Evidence.(2000) In: Journal of Business Finance & Accounting.
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This paper has another version. Agregated cites: 10
article
2000Dividend Stability, Dividend Yield and Stock Returns: UK Evidence.(2000) In: Journal of Business Finance & Accounting.
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This paper has another version. Agregated cites: 10
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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article6
2004The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield.(2004) In: Journal of Business Finance & Accounting.
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This paper has another version. Agregated cites: 6
article
2007The Components of Electronic Inter-Dealer Spot FX Bid-Ask Spreads In: Journal of Business Finance & Accounting.
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article3
2007The Components of Electronic Inter‐Dealer Spot FX Bid‐Ask Spreads.(2007) In: Journal of Business Finance & Accounting.
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article
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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article18
2010Split sovereign ratings and rating migrations in emerging economies In: Emerging Markets Review.
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article9
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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article13
2013Trade size clustering and the cost of trading at the London Stock Exchange In: International Review of Financial Analysis.
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article5
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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article0
2019The impact of ESMA regulatory identifiers on the quality of ratings In: International Review of Financial Analysis.
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2020Commonality in liquidity across options and stock futures markets In: Finance Research Letters.
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2010A random effects ordered probit model for rating migrations In: Finance Research Letters.
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article6
2019The European Bank Recovery and Resolution Directive: A market assessment In: Journal of Financial Stability.
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article1
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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article5
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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article7
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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article6
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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article16
2010Leads and lags in sovereign credit ratings In: Journal of Banking & Finance.
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article42
2013The impact of sovereign rating actions on bank ratings in emerging markets In: Journal of Banking & Finance.
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article32
2013Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers In: Journal of Economic Behavior & Organization.
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article32
2012Foreign exchange market reactions to sovereign credit news In: Journal of International Money and Finance.
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article19
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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article14
2015The credit signals that matter most for sovereign bond spreads with split rating In: Journal of International Money and Finance.
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article2
2018The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions 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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paper8
2010Size clustering in the FTSE-100 index futures market. In: Post-Print.
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paper4
2010Size clustering in the FTSE100 index futures market.(2010) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 4
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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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article0
2012The Causes and Extent of Split Sovereign Credit Ratings in Emerging Markets In: Emerging Markets Finance and Trade.
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article1
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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article1
2001The lead-lag relationship between the FTSE100 stock index and its derivative contracts In: Applied Financial Economics.
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article14
1999The intraday relationship between volume and volatility in LIFFE futures markets In: Applied Financial Economics.
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article15
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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article1
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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2019Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets In: The European Journal of Finance.
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2020Market reactions to the implementation of the Banking Union in Europe 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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2018Are single stock futures used as an alternative during a short‐selling ban? In: Journal of Futures Markets.
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