Details about Ben R. Marshall

Access statistics for papers by Ben R. Marshall.

Last updated 2021-07-11. Update your information in the RePEc Author Service.

Short-id: pma2568

Working Papers

2009

1. Doing the Hokey-Tokey in asset markets
   Competition & Regulation Times, New Zealand Institute for the Study of Competition and Regulation

Journal Articles

2018

1. Do liquidity proxies measure liquidity accurately in ETFs?
   Journal of International Financial Markets, Institutions and Money, 2018, 55, (C), 94-111 View citations (10)
2. Market volatility, liquidity shocks, and stock returns: Worldwide evidence
   Pacific-Basin Finance Journal, 2018, 49, (C), 164-199 View citations (11)
3. Peer effects, personal characteristics and asset allocation
   Journal of Banking & Finance, 2018, 90, (C), 76-95 View citations (16)
4. Politics and liquidity
   Journal of Financial Markets, 2018, 38, (C), 1-13 View citations (8)
5. Stock market liquidity and trading activity: Is China different?
   International Review of Financial Analysis, 2018, 56, (C), 32-51 View citations (23)

2017

6. Time series momentum and moving average trading rules
   Quantitative Finance, 2017, 17, (3), 405-421 View citations (29)

2016

7. Does institutional shareholder activism stimulate corporate information flow?
   Journal of Banking & Finance, 2016, 70, (C), 105-117 View citations (4)
8. Transaction costs in an illiquid order-driven market
   Accounting and Finance, 2016, 56, (4), 917-933

2015

9. Cultural Stock Price Clustering in the Chinese Equity Market
   Chinese Economy, 2015, 48, (6), 449-467 View citations (1)
10. Frontier market transaction costs and diversification
    Journal of Financial Markets, 2015, 24, (C), 1-24 View citations (20)

2014

11. Against the tide: the commencement of short selling and margin trading in mainland China
    Accounting and Finance, 2014, 54, (4), 1319-1355 View citations (27)
12. Is there momentum or reversal in weekly currency returns?
    Journal of International Money and Finance, 2014, 45, (C), 38-60 View citations (10)
13. Sell the rumour, buy the fact?
    Accounting and Finance, 2014, 54, (1), 237-249 View citations (7)
14. The Permanent Portfolio
    Applied Financial Economics, 2014, 24, (16), 1083-1089 View citations (2)
15. The announcement and implementation reaction to China's margin trading and short selling pilot programme
    International Journal of Managerial Finance, 2014, 10, (3), 368-384 View citations (3)

2013

16. ETF arbitrage: Intraday evidence
    Journal of Banking & Finance, 2013, 37, (9), 3486-3498 View citations (27)
17. Liquidity commonality in commodities
    Journal of Banking & Finance, 2013, 37, (1), 11-20 View citations (50)
18. Liquidity measurement in frontier markets
    Journal of International Financial Markets, Institutions and Money, 2013, 27, (C), 1-12 View citations (25)

2012

19. Commodity Liquidity Measurement and Transaction Costs
    The Review of Financial Studies, 2012, 25, (2), 599-638 View citations (109)
20. Time Diversification in Developed and Emerging Markets
    Journal of Emerging Market Finance, 2012, 11, (2), 115-144

2010

21. The Other January Effect: Evidence against market efficiency?
    Journal of Banking & Finance, 2010, 34, (10), 2413-2424 View citations (3)

2009

22. How quickly is temporary market inefficiency removed?
    The Quarterly Review of Economics and Finance, 2009, 49, (3), 917-930 View citations (8)
23. Is technical analysis profitable on US stocks with certain size, liquidity or industry characteristics?
    Applied Financial Economics, 2009, 19, (15), 1213-1221 View citations (3)
24. Regulation and target takeover returns: Is there a link?
    Pacific-Basin Finance Journal, 2009, 17, (4), 395-412 View citations (7)
25. What is the relationship between investor protection legislation and target takeover returns? Evidence from Europe
    Journal of Multinational Financial Management, 2009, 19, (4), 291-305 View citations (4)

2008

26. Are candlestick technical trading strategies profitable in the Japanese equity market?
    Review of Quantitative Finance and Accounting, 2008, 31, (2), 191-207 View citations (21)
27. Can commodity futures be profitably traded with quantitative market timing strategies?
    Journal of Banking & Finance, 2008, 32, (9), 1810-1819 View citations (54)
28. Does intraday technical analysis in the U.S. equity market have value?
    Journal of Empirical Finance, 2008, 15, (2), 199-210 View citations (37)
29. Investment returns under right- and left-wing governments in Australasia
    Pacific-Basin Finance Journal, 2008, 16, (3), 252-267 View citations (7)

2007

30. Market timing with candlestick technical analysis
    Journal of Financial Transformation, 2007, 20, 18-25 View citations (3)
31. Takeover motives in a weak regulatory environment surrounding a market shock: a case study of New Zealand with a comparison of Gondhalekar and Bhagwat’s (2003) US findings
    Review of Quantitative Finance and Accounting, 2007, 29, (1), 53-67 View citations (2)

2006

32. Candlestick technical trading strategies: Can they create value for investors?
    Journal of Banking & Finance, 2006, 30, (8), 2303-2323 View citations (46)
33. Financial Distress Prediction in China
    Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2006, 09, (02), 317-336 View citations (9)
34. Is the CRISMA technical trading system profitable?
    Global Finance Journal, 2006, 17, (2), 271-281 View citations (2)
35. Liquidity and stock returns: Evidence from a pure order-driven market using a new liquidity proxy
    International Review of Financial Analysis, 2006, 15, (1), 21-38 View citations (12)

2005

36. Is technical analysis profitable on a stock market which has characteristics that suggest it may be inefficient?
    Research in International Business and Finance, 2005, 19, (3), 384-398 View citations (6)
37. Is the 52-week high momentum strategy profitable outside the US?
    Applied Financial Economics, 2005, 15, (18), 1259-1267 View citations (34)

2003

38. Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market
    International Review of Financial Analysis, 2003, 12, (2), 173-188 View citations (29)