Details about Patricia L. Chelley-Steeley

Access statistics for papers by Patricia L. Chelley-Steeley.

Last updated 2014-08-08. Update your information in the RePEc Author Service.

Short-id: pch462

Working Papers

2005

1. Momentum Profits in Alternative Stock Market Structures
   Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group
   See also Journal Article in Journal of Multinational Financial Management (2008)

Journal Articles

2010

1. Efficiency and the trading system: The case of SETSmm
   Journal of International Financial Markets, Institutions and Money, 2010, 20, (5), 509-518
2. The adverse selection component of exchange traded funds
   International Review of Financial Analysis, 2010, 19, (1), 65-76 View citations (5)
3. The impact of the closing call auction: an examination of effects in London
   Applied Financial Economics, 2010, 20, (4), 303-315 View citations (3)

2009

4. Price synchronicity: The closing call auction and the London stock market
   Journal of International Financial Markets, Institutions and Money, 2009, 19, (5), 777-791 View citations (5)
5. Volatility changes in drachma exchange rates
   Applied Financial Economics, 2009, 19, (11), 905-916 View citations (1)

2008

6. Market quality changes in the London Stock Market
   Journal of Banking & Finance, 2008, 32, (10), 2248-2253 View citations (20)
7. Momentum profits in alternative stock market structures
   Journal of Multinational Financial Management, 2008, 18, (2), 131-144 View citations (1)
   See also Working Paper (2005)
8. The effects of universal futures on opening and closing returns
   Studies in Economics and Finance, 2008, 25, (4), 233-252

2005

9. Explaining volatility and serial correlation in opening and closing returns: A study of the FT-30 components
   Global Finance Journal, 2005, 16, (1), 1-15 View citations (4)
10. Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets
    Journal of International Money and Finance, 2005, 24, (5), 818-831 View citations (53)
11. Noise and the Trading Mechanism: the Case of SETS
    European Financial Management, 2005, 11, (3), 387-424 View citations (9)
12. Testing for market segmentation in the A and B share markets of China
    Applied Financial Economics, 2005, 15, (11), 791-802 View citations (1)
13. The leverage effect in the UK stock market
    Applied Financial Economics, 2005, 15, (6), 409-423 View citations (8)
14. The propensity to hedge using futures contracts: the case of potato futures contracts
    Applied Economics, 2005, 37, (18), 2143-2146
15. Volatility changes caused by the trading system: a Markov switching application
    Applied Financial Economics Letters, 2005, 1, (6), 373-380 View citations (1)

2004

16. Equity market integration in the Asia-Pacific region: A smooth transition analysis
    International Review of Financial Analysis, 2004, 13, (5), 621-632 View citations (23)
17. Momentum profits and macroeconomic factors
    Applied Economics Letters, 2004, 11, (7), 433-436 View citations (3)
18. Serial correlation in the returns of UK capitalization based portfolios
    Applied Financial Economics, 2004, 14, (13), 975-979

2003

19. The trading mechanism, cross listed stocks: a comparison of the Paris Bourse and SEAQ-International
    Journal of International Financial Markets, Institutions and Money, 2003, 13, (4), 401-417 View citations (5)

2000

20. Exchange controls and the transmission of equity market volatility: the case of the UK
    Applied Financial Economics, 2000, 10, (3), 317-322 View citations (2)
21. Interdependence of international equity market volatility
    Applied Economics Letters, 2000, 7, (5), 341-345 View citations (2)
22. Portfolio diversification and filter rule profits
    Applied Economics Letters, 2000, 7, (3), 171-175

1999

23. Changes in the Comovement of European Equity Markets
    Economic Inquiry, 1999, 37, (3), 473-88 View citations (9)

1998

24. Exchange controls and European stock market integration
    Applied Economics, 1998, 30, (2), 263-267 View citations (9)

1996

25. Volatility transmission in the UK equity market
    The European Journal of Finance, 1996, 2, (2), 145-160
26. Volatility, Leverage and Firm Size: The U.K. Evidence
    The Manchester School of Economic & Social Studies, 1996, 64, 83-103 View citations (8)

1995

27. Calendar effects and the pricing of risk: the UK evidence
    The European Journal of Finance, 1995, 1, (3), 237-255 View citations (1)