Details about Owain ap Gwilym

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Short-id: pap39

Working Papers

2018

1. Multiple credit ratings and market heterogeneity
   Working Papers, Swansea University, School of Management

2013

2. In search of concepts: The effects of speculative demand on returns and volume
   Bank of Finland Research Discussion Papers, Bank of Finland
3. 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) View citations (2)

2010

4. Size clustering in the FTSE-100 index futures market
   Post-Print, HAL View citations (1)
   See also Journal Article Size clustering in the FTSE100 index futures market, Journal of Futures Markets, John Wiley & Sons, Ltd. (2010) View citations (6) (2010)
5. Sovereign Ratings and Migrations: Emerging Markets
   Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales) View citations (3)
6. The Extent and Causes of Sovereign Split Ratings
   Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales) View citations (1)

2009

7. Volatility transmission among the CDS, equity, and bond markets
   Post-Print, HAL View citations (14)

2008

8. The determinants of CDS Bid-Ask Spreads
   Post-Print, HAL View citations (9)

2007

9. The characteristics and evolution of credit default swap trading
   Post-Print, HAL View citations (7)

Journal Articles

2024

1. The evolution and determinants of the non-performing loan burden in Italian banking
   Pacific-Basin Finance Journal, 2024, 84, (C) View citations (1)

2023

2. Deal! Market reactions to the agreement on the EU Covid-19 recovery fund
   Journal of Financial Stability, 2023, 67, (C) View citations (1)
3. Technical analysis as a sentiment barometer and the cross-section of stock returns
   Quantitative Finance, 2023, 23, (11), 1617-1636

2022

4. Does competition improve sovereign credit rating quality?
   Journal of International Financial Markets, Institutions and Money, 2022, 76, (C) View citations (4)
5. Regulating rating agencies: A conservative behavioural change
   Journal of Financial Stability, 2022, 60, (C) View citations (4)
6. The impact of regulatory reforms on European bank behaviour: A dynamic structural estimation
   European Economic Review, 2022, 150, (C)

2020

7. Commonality in liquidity across options and stock futures markets
   Finance Research Letters, 2020, 32, (C) View citations (3)
8. Market reactions to the implementation of the Banking Union in Europe
   The European Journal of Finance, 2020, 26, (7-8), 640-665 View citations (8)

2019

9. Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets
   The European Journal of Finance, 2019, 25, (13), 1211-1233 View citations (5)
10. The European Bank Recovery and Resolution Directive: A market assessment
    Journal of Financial Stability, 2019, 44, (C) View citations (23)
11. The impact of ESMA regulatory identifiers on the quality of ratings
    International Review of Financial Analysis, 2019, 66, (C) View citations (4)

2018

12. Are single stock futures used as an alternative during a short‐selling ban?
    Journal of Futures Markets, 2018, 38, (1), 66-82 View citations (5)
13. The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions
    Journal of International Money and Finance, 2018, 85, (C), 40-57 View citations (11)

2017

14. Differences of opinion in sovereign credit signals during the European crisis
    The European Journal of Finance, 2017, 23, (10), 859-884 View citations (8)
15. Does the disclosure of unsolicited sovereign rating status affect bank ratings?
    The British Accounting Review, 2017, 49, (2), 194-210 View citations (9)

2016

16. Commonality in equity options liquidity: evidence from European Markets
    The European Journal of Finance, 2016, 22, (12), 1204-1223 View citations (3)
17. In Search of Concepts: The Effects of Speculative Demand on Stock Returns
    European Financial Management, 2016, 22, (3), 427-449 View citations (4)
18. The Impact of a Premium‐Based Tick Size on Equity Option Liquidity
    Journal of Futures Markets, 2016, 36, (4), 397-417 View citations (3)
19. The intraday determination of liquidity in the NYSE LIFFE equity option markets
    The European Journal of Finance, 2016, 22, (12), 1164-1188 View citations (2)

2015

20. Does sovereign creditworthiness affect bank valuations in emerging markets?
    Journal of International Financial Markets, Institutions and Money, 2015, 36, (C), 113-129 View citations (11)
21. Market Impact under a New Regulatory Regime: Credit Rating Agencies in Europe
    Economic Notes, 2015, 44, (2), 275-308 View citations (4)
22. The credit signals that matter most for sovereign bond spreads with split rating
    Journal of International Money and Finance, 2015, 53, (C), 174-191 View citations (9)

2014

23. Sovereign rating actions and the implied volatility of stock index options
    International Review of Financial Analysis, 2014, 34, (C), 101-113 View citations (5)
24. Speculate against speculative demand
    International Review of Financial Analysis, 2014, 34, (C), 212-221 View citations (5)
25. 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 View citations (36)

2013

26. 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 View citations (8)
27. Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
    Journal of Futures Markets, 2013, 33, (1), 55-76 View citations (4)
28. Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers
    Journal of Economic Behavior & Organization, 2013, 85, (C), 144-162 View citations (57)
29. The impact of sovereign rating actions on bank ratings in emerging markets
    Journal of Banking & Finance, 2013, 37, (2), 563-577 View citations (57)
30. Trade size clustering and the cost of trading at the London Stock Exchange
    International Review of Financial Analysis, 2013, 27, (C), 91-102 View citations (8)

2012

31. Foreign exchange market reactions to sovereign credit news
    Journal of International Money and Finance, 2012, 31, (4), 845-864 View citations (40)
32. Rating agencies' credit signals: An analysis of sovereign watch and outlook
    International Review of Financial Analysis, 2012, 21, (C), 45-55 View citations (17)
33. The Causes and Extent of Split Sovereign Credit Ratings in Emerging Markets
    Emerging Markets Finance and Trade, 2012, 48, (1), 4-24 View citations (4)

2011

34. Explaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities
    Journal of Asset Management, 2011, 12, (1), 11-29
35. Open interest, cross listing, and information shocks
    Journal of Futures Markets, 2011, 31, (8), 755-778 View citations (5)
36. Return reversals and the compass rose: insights from high frequency options data
    The European Journal of Finance, 2011, 17, (9-10), 883-896
37. Structural changes, bid-ask spread composition and tick size in inter-bank futures trading
    The European Journal of Finance, 2011, 17, (4), 285-306 View citations (1)

2010

38. A random effects ordered probit model for rating migrations
    Finance Research Letters, 2010, 7, (3), 140-147 View citations (8)
39. Leads and lags in sovereign credit ratings
    Journal of Banking & Finance, 2010, 34, (11), 2614-2626 View citations (71)
40. Market structure and microstructure, in international interest rate futures markets
    Research in International Business and Finance, 2010, 24, (3), 253-266 View citations (1)
41. Price clustering and underpricing in the IPO aftermarket
    International Review of Financial Analysis, 2010, 19, (2), 89-97 View citations (7)
42. Size clustering in the FTSE100 index futures market
    Journal of Futures Markets, 2010, 30, (5), 432-443 View citations (6)
    See also Working Paper Size clustering in the FTSE-100 index futures market, Post-Print (2010) View citations (1) (2010)
43. Split sovereign ratings and rating migrations in emerging economies
    Emerging Markets Review, 2010, 11, (2), 79-97 View citations (13)

2009

44. Heterogeneity of sovereign rating migrations in emerging countries
    Emerging Markets Review, 2009, 10, (2), 151-165 View citations (29)
45. 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
46. The determinants of trading volume for cross-listed Euribor futures contracts
    The European Journal of Finance, 2009, 15, (1), 89-102 View citations (1)
47. 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 View citations (18)

2007

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

2006

49. International Evidence on the Payout Ratio, Earnings, Dividends, and Returns
    Financial Analysts Journal, 2006, 62, (1), 36-53
50. 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 View citations (10)

2005

51. Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market
    Journal of Futures Markets, 2005, 25, (5), 419-442 View citations (6)
52. Impact of demographic and economic variables on financial policy purchase timing decisions
    Journal of the Operational Research Society, 2005, 56, (9), 1051-1062

2004

53. 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 View citations (9)

2003

54. Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading
    Journal of Futures Markets, 2003, 23, (7), 647-659 View citations (15)

2002

55. 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 View citations (4)

2001

56. The lead-lag relationship between the FTSE100 stock index and its derivative contracts
    Applied Financial Economics, 2001, 11, (4), 385-393 View citations (15)

2000

57. Dividend Stability, Dividend Yield and Stock Returns: UK Evidence
    Journal of Business Finance & Accounting, 2000, 27, (3‐4), 261-281 View citations (16)
58. Intra‐day volatility components in FTSE‐100 stock index futures
    Journal of Futures Markets, 2000, 20, (5), 425-444 View citations (1)

1999

59. Tests of non‐linearity using LIFFE futures transactions price data
    Manchester School, 1999, 67, (2), 167-186
60. The intraday relationship between volume and volatility in LIFFE futures markets
    Applied Financial Economics, 1999, 9, (6), 593-604 View citations (19)
61. Volatility forecasting in the framework of the option expiry cycle
    The European Journal of Finance, 1999, 5, (1), 73-94 View citations (13)

1998

62. 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 View citations (5)
63. Price clustering and bid-ask spreads in international bond futures
    Journal of International Financial Markets, Institutions and Money, 1998, 8, (3-4), 377-391 View citations (23)
64. The bid‐ask spread on stock index options: An ordered probit analysis
    Journal of Futures Markets, 1998, 18, (4), 467-485

1997

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

1996

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

Chapters

2002

1. Evidence on Trading Mechanisms
   Palgrave Macmillan View citations (1)