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
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Working Papers
2005
- 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
- Efficiency and the trading system: The case of SETSmm
Journal of International Financial Markets, Institutions and Money, 2010, 20, (5), 509-518
- The adverse selection component of exchange traded funds
International Review of Financial Analysis, 2010, 19, (1), 65-76 View citations (5)
- 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
- 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)
- Volatility changes in drachma exchange rates
Applied Financial Economics, 2009, 19, (11), 905-916 View citations (1)
2008
- Market quality changes in the London Stock Market
Journal of Banking & Finance, 2008, 32, (10), 2248-2253 View citations (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 (2005)
- The effects of universal futures on opening and closing returns
Studies in Economics and Finance, 2008, 25, (4), 233-252
2005
- 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)
- 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)
- Noise and the Trading Mechanism: the Case of SETS
European Financial Management, 2005, 11, (3), 387-424 View citations (9)
- Testing for market segmentation in the A and B share markets of China
Applied Financial Economics, 2005, 15, (11), 791-802 View citations (1)
- The leverage effect in the UK stock market
Applied Financial Economics, 2005, 15, (6), 409-423 View citations (8)
- The propensity to hedge using futures contracts: the case of potato futures contracts
Applied Economics, 2005, 37, (18), 2143-2146
- Volatility changes caused by the trading system: a Markov switching application
Applied Financial Economics Letters, 2005, 1, (6), 373-380 View citations (1)
2004
- 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)
- Momentum profits and macroeconomic factors
Applied Economics Letters, 2004, 11, (7), 433-436 View citations (3)
- Serial correlation in the returns of UK capitalization based portfolios
Applied Financial Economics, 2004, 14, (13), 975-979
2003
- 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
- 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)
- Interdependence of international equity market volatility
Applied Economics Letters, 2000, 7, (5), 341-345 View citations (2)
- Portfolio diversification and filter rule profits
Applied Economics Letters, 2000, 7, (3), 171-175
1999
- Changes in the Comovement of European Equity Markets
Economic Inquiry, 1999, 37, (3), 473-88 View citations (9)
1998
- Exchange controls and European stock market integration
Applied Economics, 1998, 30, (2), 263-267 View citations (9)
1996
- Volatility transmission in the UK equity market
The European Journal of Finance, 1996, 2, (2), 145-160
- Volatility, Leverage and Firm Size: The U.K. Evidence
The Manchester School of Economic & Social Studies, 1996, 64, 83-103 View citations (8)
1995
- Calendar effects and the pricing of risk: the UK evidence
The European Journal of Finance, 1995, 1, (3), 237-255 View citations (1)
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