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Details about Bart Frijns

E-mail:
Homepage:https://www.ou.nl/web/open-universiteit/zoek-medewerker#!user/BFR
Workplace:Faculteit Managementwetenschapen (Faculty of Management), Open Universiteit (Open University of the Netherlands), (more information at EDIRC)

Access statistics for papers by Bart Frijns.

Last updated 2020-04-02. Update your information in the RePEc Author Service.

Short-id: pfr176


Jump to Journal Articles Chapters

Working Papers

2019

  1. Noise trading and informational efficiency
    EconStor Preprints, ZBW - Leibniz Information Centre for Economics

2018

  1. The skewness of commodity futures returns
    Post-Print, HAL Downloads View citations (14)
    See also Journal Article in Journal of Banking & Finance (2018)

2017

  1. Surprise and Dispersion: Informational Impact of USDA Announcements
    2017 Annual Meeting, July 30-August 1, Chicago, Illinois, Agricultural and Applied Economics Association Downloads
    See also Journal Article in Agricultural Economics (2019)

2012

  1. Sentiment Trades and Option Prices
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
  2. Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Journal of Banking & Finance (2014)

2011

  1. Cultural Values, CEO Risk Aversion and Corporate Takeovers
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads View citations (3)

2010

  1. Behavioral heterogeneity in the option market
    Post-Print, HAL Downloads View citations (34)
    Also in LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg (2009) Downloads View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (2010)
  2. Modelling structural changes in the volatility process
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
    See also Journal Article in Journal of Empirical Finance (2011)

2009

  1. A Volatility Targeting GARCH model with Time-Varying Coefficients
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads

2007

  1. Elements of Effective Insider Trading Laws
    Working Paper Series, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation Downloads
  2. Insider trading laws what works and what doesn't
    Competition & Regulation Times, New Zealand Institute for the Study of Competition and Regulation Downloads

2004

  1. Price Discovery in Tick Time
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article in Journal of Empirical Finance (2009)

2002

  1. The Dynamics of Dealer Quoting Behavior
    Computing in Economics and Finance 2002, Society for Computational Economics

Journal Articles

2020

  1. Absence of speculation in the European sovereign debt markets
    Journal of Economic Behavior & Organization, 2020, 169, (C), 245-265 Downloads

2019

  1. Behavioural heterogeneity in wine investments
    Applied Economics, 2019, 51, (30), 3236-3255 Downloads
  2. Does increased hedging lead to decreased price efficiency? The case of VIX ETPs and VIX futures
    The Financial Review, 2019, 54, (3), 477-500 Downloads View citations (1)
  3. Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets
    International Review of Finance, 2019, 19, (3), 575-612 Downloads
  4. Properties and the predictive power of implied volatility in the New Zealand dairy market
    Journal of Futures Markets, 2019, 39, (5), 612-631 Downloads
  5. Surprise and dispersion: informational impact of USDA announcements
    Agricultural Economics, 2019, 50, (1), 113-126 Downloads
    See also Working Paper (2017)
  6. The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks
    International Review of Economics & Finance, 2019, 60, (C), 176-187 Downloads
  7. Time-varying contemporaneous spillovers during the European Debt Crisis
    Empirical Economics, 2019, 57, (2), 423-448 Downloads
  8. Turn of the Month effect in the New Zealand stock market
    New Zealand Economic Papers, 2019, 53, (3), 288-306 Downloads
  9. Volatility spillovers among oil and stock markets in the US and Saudi Arabia
    Applied Economics, 2019, 51, (4), 329-345 Downloads View citations (1)

2018

  1. A comprehensive look at the return predictability of variance risk premia
    Journal of Futures Markets, 2018, 38, (4), 425-445 Downloads
  2. Behavioural heterogeneity in the New Zealand stock market
    New Zealand Economic Papers, 2018, 52, (1), 53-71 Downloads
  3. Determinants of intraday price discovery in VIX exchange traded notes
    Journal of Futures Markets, 2018, 38, (5), 535-548 Downloads View citations (1)
  4. Herding in analysts’ recommendations: The role of media
    Journal of Banking & Finance, 2018, 91, (C), 1-18 Downloads
  5. Institutional trading and asset pricing
    Journal of Banking & Finance, 2018, 89, (C), 59-77 Downloads View citations (1)
  6. NYSE closure and global equity trading: The case of cross-listed stocks
    International Review of Financial Analysis, 2018, 60, (C), 138-150 Downloads
  7. The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares
    International Review of Financial Analysis, 2018, 56, (C), 136-152 Downloads View citations (2)
  8. The skewness of commodity futures returns
    Journal of Banking & Finance, 2018, 86, (C), 143-158 Downloads View citations (15)
    See also Working Paper (2018)
  9. Time-varying arbitrage and dynamic price discovery
    Journal of Economic Dynamics and Control, 2018, 91, (C), 485-502 Downloads View citations (1)
  10. Volatility discovery and volatility quoting on markets for options and warrants
    Journal of Futures Markets, 2018, 38, (7), 758-774 Downloads

2017

  1. Contemporaneous Spillover Effects between the U.S. and the U.K. Equity Markets
    The Financial Review, 2017, 52, (1), 145-166 Downloads
  2. Excess stock return comovements and the role of investor sentiment
    Journal of International Financial Markets, Institutions and Money, 2017, 49, (C), 74-87 Downloads View citations (6)
  3. Precious metals, oil and the exchange rate: contemporaneous spillovers
    Applied Economics, 2017, 49, (38), 3863-3879 Downloads View citations (2)
  4. When no news is good news – The decrease in investor fear after the FOMC announcement
    Journal of Empirical Finance, 2017, 41, (C), 187-199 Downloads View citations (5)

2016

  1. Asymmetries of the intraday return-volatility relation
    International Review of Financial Analysis, 2016, 48, (C), 182-192 Downloads View citations (8)
  2. Contemporaneous interactions among fuel, biofuel and agricultural commodities
    Energy Economics, 2016, 58, (C), 1-10 Downloads View citations (17)
  3. On the Intraday Relation Between the VIX and its Futures
    Journal of Futures Markets, 2016, 36, (9), 870-886 Downloads View citations (13)
  4. On the Style-Based Feedback Trading of Mutual Fund Managers
    Journal of Financial and Quantitative Analysis, 2016, 51, (3), 771-800 Downloads View citations (4)
  5. The impact of cultural diversity in corporate boards on firm performance
    Journal of Corporate Finance, 2016, 41, (C), 521-541 Downloads View citations (9)

2015

  1. Cross-listing decisions and the foreign bias of investors
    Finance Research Letters, 2015, 15, (C), 160-166 Downloads View citations (2)
  2. Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms
    Journal of Empirical Finance, 2015, 32, (C), 35-48 Downloads View citations (15)
  3. On the Role of Cultural Distance in the Decision to Cross†List
    European Financial Management, 2015, 21, (4), 706-741 Downloads View citations (1)
  4. The Informativeness of Trades and Quotes in the FTSE 100 Index Futures Market
    Journal of Futures Markets, 2015, 35, (2), 105-126 Downloads View citations (1)
  5. The determinants of price discovery: Evidence from US-Canadian cross-listed shares
    Journal of Banking & Finance, 2015, 59, (C), 457-468 Downloads View citations (5)

2014

  1. Institutional Trading and Stock Returns: Evidence from China
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2014, 17, (01), 1-26 Downloads View citations (4)
  2. Learning by doing: the role of financial experience in financial literacy
    Journal of Public Policy, 2014, 34, (1), 123-154 Downloads View citations (4)
  3. Speed, algorithmic trading, and market quality around macroeconomic news announcements
    Journal of Banking & Finance, 2014, 38, (C), 89-105 Downloads View citations (24)
    See also Working Paper (2012)

2013

  1. Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices
    Journal of Futures Markets, 2013, 33, (6), 555-572 View citations (14)
  2. Do Criminal Sanctions Deter Insider Trading?
    The Financial Review, 2013, 48, (2), 205-232 Downloads
  3. Market timing ability and mutual funds: a heterogeneous agent approach
    Quantitative Finance, 2013, 13, (10), 1613-1620 Downloads View citations (5)
  4. Uncertainty avoidance, risk tolerance and corporate takeover decisions
    Journal of Banking & Finance, 2013, 37, (7), 2457-2471 Downloads View citations (27)

2012

  1. Firm efficiency and stock returns
    Journal of Productivity Analysis, 2012, 37, (3), 295-306 Downloads View citations (7)
  2. Political crises and the stock market integration of emerging markets
    Journal of Banking & Finance, 2012, 36, (3), 644-653 Downloads View citations (13)

2011

  1. Heterogeneity and sentiment in the stock market
    International Journal of Behavioural Accounting and Finance, 2011, 2, (2), 140-151 Downloads
  2. Modeling structural changes in the volatility process
    Journal of Empirical Finance, 2011, 18, (3), 522-532 Downloads View citations (7)
    See also Working Paper (2010)

2010

  1. A cultural explanation of the foreign bias in international asset allocation
    Journal of Banking & Finance, 2010, 34, (9), 2121-2131 Downloads View citations (67)
  2. Behavioral heterogeneity in the option market
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2273-2287 Downloads View citations (47)
    See also Working Paper (2010)
  3. The dynamics of price discovery for cross-listed shares: Evidence from Australia and New Zealand
    Journal of Banking & Finance, 2010, 34, (3), 498-508 Downloads View citations (28)
  4. The information content of implied volatility: Evidence from Australia
    Journal of Futures Markets, 2010, 30, (2), 134-155 Downloads View citations (29)

2009

  1. Price discovery in tick time
    Journal of Empirical Finance, 2009, 16, (5), 759-776 Downloads View citations (11)
    See also Working Paper (2004)

2008

  1. Forecasting daily volatility with intraday data
    The European Journal of Finance, 2008, 14, (6), 523-540 Downloads View citations (5)
  2. INSIDER TRADING, REGULATION, AND THE COMPONENTS OF THE BID–ASK SPREAD
    Journal of Financial Research, 2008, 31, (3), 225-246 Downloads View citations (10)
  3. Investor sentiment, mutual fund flows and its impact on returns and volatility
    Managerial Finance, 2008, 34, (11), 772-785 Downloads View citations (11)
  4. On the determinants of portfolio choice
    Journal of Economic Behavior & Organization, 2008, 66, (2), 373-386 Downloads View citations (17)
  5. The New Zealand implied volatility index
    New Zealand Economic Papers, 2008, 42, (1), 103-125 Downloads View citations (1)
  6. The impact of corporate governance on corporate performance: Evidence from Japan
    Pacific-Basin Finance Journal, 2008, 16, (3), 236-251 Downloads View citations (20)

2006

  1. Inferring Public and Private Information from Trades and Quotes
    The Financial Review, 2006, 41, (1), 95-117 Downloads View citations (2)
  2. Nonlinear dynamics in Nasdaq dealer quotes
    Computational Statistics & Data Analysis, 2006, 51, (4), 2246-2266 Downloads View citations (5)

Chapters

2010

  1. INSIDER TRADING REGULATIONS: A THEORETICAL AND EMPIRICAL REVIEW
    Chapter 5 in Handbook On Emerging Issues In Corporate Governance, 2010, pp 55-69 Downloads
 
Page updated 2020-07-04