Details about Patricia L. Chelley-Steeley

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

Last updated 2023-10-20. 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 Momentum profits in alternative stock market structures, Journal of Multinational Financial Management, Elsevier (2008) View citations (1) (2008)

1996

2. Exchange Controls, Macroeconomic Integration and the Interdependence of European Equity Markets
   Working Papers, Queen Mary University of London, School of Economics and Finance

Journal Articles

2024

1. Conflicting versus reinforcing private information, information aggregation, and the time series properties of asset prices
   Journal of Banking & Finance, 2024, 169, (C)

2022

2. Trading activity around chapter 11 filing
   International Review of Financial Analysis, 2022, 82, (C) View citations (1)

2016

3. Cost of capital changes, the quality of trading information and market architecture
   The British Accounting Review, 2016, 48, (4), 401-414 View citations (2)
4. Explaining turn of the year order flow imbalance
   International Review of Financial Analysis, 2016, 43, (C), 76-95

2015

5. Earnings and hindsight bias: An experimental study
   Economics Letters, 2015, 134, (C), 130-132
6. The effect of security and market order flow shocks on co-movement
   Journal of International Financial Markets, Institutions and Money, 2015, 39, (C), 136-155 View citations (1)
7. The effects of non-trading on the illiquidity ratio
   Journal of Empirical Finance, 2015, 34, (C), 204-228 View citations (4)
8. Trading Patterns and Market Integration in Overlapping Experimental Asset Markets
   Journal of Financial and Quantitative Analysis, 2015, 50, (6), 1473-1499 View citations (7)

2014

9. Portfolio size, non-trading frequency and portfolio return autocorrelation
   Journal of International Financial Markets, Institutions and Money, 2014, 33, (C), 56-77 View citations (1)

2013

10. Bid-ask spread dynamics in foreign exchange markets
    International Review of Financial Analysis, 2013, 29, (C), 119-131 View citations (1)
11. Illiquidity shocks and the comovement between stocks: New evidence using smooth transition
    Journal of Empirical Finance, 2013, 23, (C), 1-15 View citations (7)

2012

12. Evaluating spread models with a basket security
    Applied Financial Economics, 2012, 22, (4), 259-283

2011

13. Intraday patterns in London listed Exchange Traded Funds
    International Review of Financial Analysis, 2011, 20, (5), 244-251 View citations (8)

2010

14. Efficiency and the trading system: The case of SETSmm
    Journal of International Financial Markets, Institutions and Money, 2010, 20, (5), 509-518
15. The adverse selection component of exchange traded funds
    International Review of Financial Analysis, 2010, 19, (1), 65-76 View citations (6)
16. The impact of the closing call auction: an examination of effects in London
    Applied Financial Economics, 2010, 20, (4), 303-315 View citations (4)

2009

17. 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 (9)
18. Volatility changes in drachma exchange rates
    Applied Financial Economics, 2009, 19, (11), 905-916 View citations (2)

2008

19. Market quality changes in the London Stock Market
    Journal of Banking & Finance, 2008, 32, (10), 2248-2253 View citations (30)
20. Momentum profits in alternative stock market structures
    Journal of Multinational Financial Management, 2008, 18, (2), 131-144 View citations (1)
    See also Working Paper Momentum Profits in Alternative Stock Market Structures, Money Macro and Finance (MMF) Research Group Conference 2005 (2005) (2005)
21. The Microstructure of the Irish Stock Market
    Multinational Finance Journal, 2008, 12, (3-4), 279-311
22. The effects of universal futures on opening and closing returns
    Studies in Economics and Finance, 2008, 25, (4), 233-252

2006

23. Momentum profits following bull and bear markets
    Journal of Asset Management, 2006, 6, (5), 381-388 View citations (5)

2005

24. 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)
25. 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 (63)
26. Noise and the Trading Mechanism: the Case of SETS
    European Financial Management, 2005, 11, (3), 387-424 View citations (9)
27. Testing for market segmentation in the A and B share markets of China
    Applied Financial Economics, 2005, 15, (11), 791-802 View citations (2)
28. The leverage effect in the UK stock market
    Applied Financial Economics, 2005, 15, (6), 409-423 View citations (9)
29. The propensity to hedge using futures contracts: the case of potato futures contracts
    Applied Economics, 2005, 37, (18), 2143-2146

2004

30. Equity market integration in the Asia-Pacific region: A smooth transition analysis
    International Review of Financial Analysis, 2004, 13, (5), 621-632 View citations (26)
31. Momentum profits and macroeconomic factors
    Applied Economics Letters, 2004, 11, (7), 433-436 View citations (4)
32. Serial correlation in the returns of UK capitalization based portfolios
    Applied Financial Economics, 2004, 14, (13), 975-979

2003

33. 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 (6)

2001

34. OPENING RETURNS, NOISE, AND OVERREACTION
    Journal of Financial Research, 2001, 24, (4), 513-521 View citations (2)

2000

35. 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)
36. Interdependence of international equity market volatility
    Applied Economics Letters, 2000, 7, (5), 341-345 View citations (2)
37. Portfolio diversification and filter rule profits
    Applied Economics Letters, 2000, 7, (3), 171-175 View citations (1)

1999

38. Changes in the Comovement of European Equity Markets
    Economic Inquiry, 1999, 37, (3), 473-88 View citations (11)

1998

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

1996

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

1995

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