Details about Laurence Copeland

Access statistics for papers by Laurence Copeland.

Last updated 2015-11-13. Update your information in the RePEc Author Service.

Short-id: pco204

Working Papers

2021

1. The Pricing of Unexpected Volatility in the Currency Market
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section

2015

2. The CDS-bond basis puzzle in the financial sector
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)

2014

3. The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)

2013

4. Dodging the Steamroller: Fundamentals versus the Carry Trade
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (5)

2008

5. Information-Based Trade in the Shanghai StockMarket
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)
   See also Journal Article Information-based trade in the Shanghai stock market, Global Finance Journal, Elsevier (2009) View citations (3) (2009)
6. Risk Measurement and Management in a Crisis-Prone World
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
7. The Credit Risk Premium in a Disaster-Prone World
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
8. The Other Side of the Trading Story: Evidence from NYSE
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section

2007

9. Rare Disasters and the Equity Premium in a Two-Country World
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (3)

2006

10. Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    Also in Finance, University Library of Munich, Germany (2005)
11. Hedging Effectiveness in the Index Futures Market
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (5)
12. Structural Breaks in the Real Exchange Rate Adjustment Mechanism
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    See also Journal Article Structural breaks in the real exchange rate adjustment mechanism, Applied Financial Economics, Taylor & Francis Journals (2009) View citations (2) (2009)

1992

13. Reading the Message from the UK Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium
    Working Papers Series, University of Stirling, Division of Economics View citations (6)
    See also Journal Article Reading the Message from the U.K. Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium, The Manchester School of Economic & Social Studies, University of Manchester (1993) View citations (3) (1993)

Journal Articles

2013

1. The effects of the 2008 short-sales ban
   Journal of Financial Regulation and Compliance, 2013, 21, (4), 334-352

2012

2. The EU Proposals for The Regulation of Alternative Investments
   Economic Affairs, 2012, 32, (3), 32-36

2009

3. Information-based trade in the Shanghai stock market
   Global Finance Journal, 2009, 20, (2), 180-190 View citations (3)
   See also Working Paper Information-Based Trade in the Shanghai StockMarket, Cardiff Economics Working Papers (2008) View citations (1) (2008)
4. Structural breaks in the real exchange rate adjustment mechanism
   Applied Financial Economics, 2009, 19, (2), 121-134 View citations (2)
   See also Working Paper Structural Breaks in the Real Exchange Rate Adjustment Mechanism, Cardiff Economics Working Papers (2006) (2006)

2004

5. The index futures markets: Is screen trading more efficient?
   Journal of Futures Markets, 2004, 24, (4), 337-357 View citations (4)

2003

6. Volatility and Volume in Chinese Stock Markets
   Journal of Chinese Economic and Business Studies, 2003, 1, (3), 287-300 View citations (2)

2002

7. Exchange Rate Forecasting. Techniques and Applications: Imad A. Moosa, Macmillan Business, London, 2000, ISBN: 0-333-73644-3, pp. 448, [UK pound]120 (Hardback)
   International Journal of Forecasting, 2002, 18, (1), 153-154

2001

8. Default probabilities of European sovereign debt: market-based estimates
   Applied Economics Letters, 2001, 8, (5), 321-324 View citations (18)

2000

9. Forecasting the returns on UK investment trusts: a comparison
   The European Journal of Finance, 2000, 6, (3), 298-310 View citations (2)

1999

10. LIFFE cycles: intraday evidence from the FTSE-100 Stock Index futures market
    The European Journal of Finance, 1999, 5, (2), 123-139 View citations (4)

1997

11. Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100
    Journal of Business & Economic Statistics, 1997, 15, (1), 1-14 View citations (86)

1995

12. A comparison of Johansen and Phillips-Hansen cointegration tests of forward market efficiency Baillie and Bollerslev revisited
    Economics Letters, 1995, 47, (2), 131-135 View citations (10)
13. Moment condition failure in high frequency financial data: evidence from the S&P 500
    Applied Economics Letters, 1995, 2, (8), 288-290 View citations (8)
14. Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom
    Economic Journal, 1995, 105, (431), 864-80 View citations (61)

1993

15. Estimating daily seasonals in financial time series: The use of high-pass spectral filters
    Economics Letters, 1993, 43, (1), 1-4 View citations (2)
16. Reading the Message from the U.K. Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium
    The Manchester School of Economic & Social Studies, 1993, 61, 13-34 View citations (3)
    See also Working Paper Reading the Message from the UK Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium, Working Papers Series (1992) View citations (6) (1992)

1991

17. Cointegration Tests with Daily Exchange Rate Data
    Oxford Bulletin of Economics and Statistics, 1991, 53, (2), 185-98 View citations (42)

1984

18. Oil news and the petropound: Some tests
    Economics Letters, 1984, 16, (1-2), 123-127 View citations (1)
19. The pound sterling/US dollar exchange rate and the 'new'
    Economics Letters, 1984, 15, (1-2), 109-113 View citations (6)

1983

20. Public Sector Prices and the Real Exchange-Rate in the UK Recession
    Bulletin of Economic Research, 1983, 35, (2), 97-121

1977

21. Wage-Inflation, Productivity and Wage-Leadership
    The Manchester School of Economic & Social Studies, 1977, 45, (3), 258-69