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Details about Owain ap Gwilym

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Homepage:http://www.bangor.ac.uk/business/staff/owain_ap_gwilym.php.en
Workplace:Bangor Business School, Bangor University, (more information at EDIRC)

Access statistics for papers by Owain ap Gwilym.

Last updated 2016-08-10. Update your information in the RePEc Author Service.

Short-id: pap39


Jump to Journal Articles

Working Papers

2013

  1. In search of concepts: The effects of speculative demand on returns and volume
    Research Discussion Papers, Bank of Finland Downloads
  2. The Impact of Sovereign Credit Signals on Bank Share Prices during the European Sovereign Debt Crisis
    Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales) Downloads

2010

  1. Size clustering in the FTSE-100 index futures market
    Post-Print, HAL
    See also Journal Article in Journal of Futures Markets (2010)
  2. Sovereign Ratings and Migrations: Emerging Markets
    Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales) Downloads
  3. The Extent and Causes of Sovereign Split Ratings
    Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales) Downloads

2009

  1. Volatility transmission among the CDS, equity, and bond markets
    Post-Print, HAL View citations (6)

2008

  1. The determinants of CDS Bid-Ask Spreads
    Post-Print, HAL View citations (7)

2007

  1. The characteristics and evolution of credit default swap trading
    Post-Print, HAL View citations (4)

Journal Articles

2016

  1. The Impact of a Premium‐Based Tick Size on Equity Option Liquidity
    Journal of Futures Markets, 2016, 36, (4), 397-417 Downloads

2015

  1. Does sovereign creditworthiness affect bank valuations in emerging markets?
    Journal of International Financial Markets, Institutions and Money, 2015, 36, (C), 113-129 Downloads
  2. Market Impact under a New Regulatory Regime: Credit Rating Agencies in Europe
    Economic Notes, 2015, 44, (2), 275-308 Downloads
  3. The credit signals that matter most for sovereign bond spreads with split rating
    Journal of International Money and Finance, 2015, 53, (C), 174-191 Downloads View citations (1)

2014

  1. Sovereign rating actions and the implied volatility of stock index options
    International Review of Financial Analysis, 2014, 34, (C), 101-113 Downloads View citations (2)
  2. Speculate against speculative demand
    International Review of Financial Analysis, 2014, 34, (C), 212-221 Downloads
  3. The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis
    Journal of International Money and Finance, 2014, 49, (PB), 235-257 Downloads View citations (4)

2013

  1. A substitution effect between price clustering and size clustering in credit default swaps
    Journal of International Financial Markets, Institutions and Money, 2013, 24, (C), 139-152 Downloads View citations (2)
  2. Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
    Journal of Futures Markets, 2013, 33, (1), 55-76 View citations (1)
  3. Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers
    Journal of Economic Behavior & Organization, 2013, 85, (C), 144-162 Downloads View citations (22)
  4. The impact of sovereign rating actions on bank ratings in emerging markets
    Journal of Banking & Finance, 2013, 37, (2), 563-577 Downloads View citations (15)
  5. Trade size clustering and the cost of trading at the London Stock Exchange
    International Review of Financial Analysis, 2013, 27, (C), 91-102 Downloads View citations (3)

2012

  1. Foreign exchange market reactions to sovereign credit news
    Journal of International Money and Finance, 2012, 31, (4), 845-864 Downloads View citations (15)
  2. Rating agencies' credit signals: An analysis of sovereign watch and outlook
    International Review of Financial Analysis, 2012, 21, (C), 45-55 Downloads View citations (9)
  3. The Causes and Extent of Split Sovereign Credit Ratings in Emerging Markets
    Emerging Markets Finance and Trade, 2012, 48, (1), 4-24 Downloads
    Also in Emerging Markets Finance and Trade, 2012, 48, (1), 4-24 (2012) Downloads

2011

  1. Open interest, cross listing, and information shocks
    Journal of Futures Markets, 2011, 31, (8), 755-778 Downloads View citations (1)
  2. Return reversals and the compass rose: insights from high frequency options data
    The European Journal of Finance, 2011, 17, (9-10), 883-896 Downloads
  3. Structural changes, bid-ask spread composition and tick size in inter-bank futures trading
    The European Journal of Finance, 2011, 17, (4), 285-306 Downloads

2010

  1. A random effects ordered probit model for rating migrations
    Finance Research Letters, 2010, 7, (3), 140-147 Downloads View citations (5)
  2. Leads and lags in sovereign credit ratings
    Journal of Banking & Finance, 2010, 34, (11), 2614-2626 Downloads View citations (33)
  3. Market structure and microstructure, in international interest rate futures markets
    Research in International Business and Finance, 2010, 24, (3), 253-266 Downloads
  4. Price clustering and underpricing in the IPO aftermarket
    International Review of Financial Analysis, 2010, 19, (2), 89-97 Downloads View citations (5)
  5. Size clustering in the FTSE100 index futures market
    Journal of Futures Markets, 2010, 30, (5), 432-443 Downloads View citations (1)
    See also Working Paper (2010)
  6. Split sovereign ratings and rating migrations in emerging economies
    Emerging Markets Review, 2010, 11, (2), 79-97 Downloads View citations (6)

2009

  1. Heterogeneity of sovereign rating migrations in emerging countries
    Emerging Markets Review, 2009, 10, (2), 151-165 Downloads View citations (23)
  2. Prospective utility and time-varying optimal asset allocation for the UK: 1803-1995
    International Journal of Behavioural Accounting and Finance, 2009, 1, (2), 95-110 Downloads
  3. The determinants of trading volume for cross-listed Euribor futures contracts
    The European Journal of Finance, 2009, 15, (1), 89-102 Downloads
  4. The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (2), 387-401 Downloads View citations (5)

2007

  1. The Components of Electronic Inter-Dealer Spot FX Bid-Ask Spreads
    Journal of Business Finance & Accounting, 2007, 34, (9-10), 1635-1650 Downloads View citations (5)

2006

  1. Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU
    Global Finance Journal, 2006, 17, (1), 23-49 Downloads View citations (5)

2005

  1. Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
    Journal of Futures Markets, 2005, 25, (5), 419-442 Downloads

2004

  1. The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield
    Journal of Business Finance & Accounting, 2004, 31, (9-10), 1355-1387 Downloads View citations (4)

2003

  1. Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading
    Journal of Futures Markets, 2003, 23, (7), 647-659 Downloads

2002

  1. An empirical comparison of quoted and implied bid-ask spreads on futures contracts
    Journal of International Financial Markets, Institutions and Money, 2002, 12, (1), 81-99 Downloads View citations (2)

2001

  1. The lead-lag relationship between the FTSE100 stock index and its derivative contracts
    Applied Financial Economics, 2001, 11, (4), 385-393 Downloads View citations (5)

2000

  1. Dividend Stability, Dividend Yield and Stock Returns: UK Evidence
    Journal of Business Finance & Accounting, 2000, 27, (3-4), 261-281 Downloads View citations (6)
    Also in Journal of Business Finance & Accounting, 2000, 27, (3&4), 261-281 (2000) Downloads View citations (9)
  2. Intra‐day volatility components in FTSE‐100 stock index futures
    Journal of Futures Markets, 2000, 20, (5), 425-444 Downloads View citations (1)

1999

  1. Tests of Non-linearity Using LIFFE Futures Transactions Price Data
    Manchester School, 1999, 67, (2), 167-86 Downloads
  2. The intraday relationship between volume and volatility in LIFFE futures markets
    Applied Financial Economics, 1999, 9, (6), 593-604 Downloads View citations (10)
  3. Volatility forecasting in the framework of the option expiry cycle
    The European Journal of Finance, 1999, 5, (1), 73-94 Downloads View citations (8)

1998

  1. Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements
    Journal of Business Finance & Accounting, 1998, 25, (7&8), 921-944 Downloads View citations (2)
  2. Price clustering and bid-ask spreads in international bond futures
    Journal of International Financial Markets, Institutions and Money, 1998, 8, (3-4), 377-391 Downloads View citations (12)
  3. The bid‐ask spread on stock index options: An ordered probit analysis
    Journal of Futures Markets, 1998, 18, (4), 467-485 Downloads

1997

  1. Forward/forward volatilities and the term structure of implied volatility
    Applied Economics Letters, 1997, 4, (5), 325-328 Downloads

1996

  1. An analysis of bid-ask spreads on American-and European-style index options
    Applied Economics Letters, 1996, 3, (7), 445-449 Downloads
 
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