All Outputs (4)

Future directions in international financial integration research: a crowdsourced perspective. (2017)
Journal Article
LUCEY, B.M., VIGNE, S.A., BALLESTER, L. et al. 2018. Future directions in international financial integration research: a crowdsourced perspective. International review of financial analysis [online], 55, pages 35-49. Available from: https://doi.org/10.1016/j.irfa.2017.10.008

This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of... Read More about Future directions in international financial integration research: a crowdsourced perspective..

Asymmetry in spillover effects: evidence for international stock index futures markets. (2017)
Journal Article
YAROVAYA, L., BRZESZCZYNSKI, J. and LAU, C.K.M. 2017. Asymmetry in spillover effects: Evidence for international stock index futures markets. International review of financial analysis [online], 53, pages 94-111. Available from: https://doi.org/10.1016/j.irfa.2017.07.007

The paper investigates the asymmetry in return and volatility spillovers across futures markets with non-overlapping stock exchange trading hours. The transmission of positive and negative return and volatility shocks is analysed for 104 channels of... Read More about Asymmetry in spillover effects: evidence for international stock index futures markets..

International stock return co-movements and trading activity. (2017)
Journal Article
SHENG, X., BRZESZCZYŃSKI, J. and IBRAHIM, B. 2017. International stock return co-movements and trading activity. Finance research letters [online], 23, pages 12-18. Available from: https://doi.org/10.1016/j.frl.2017.06.006

This paper analyses return co-movements across eight major international stock markets while considering the nature of motives to trade for a given daily price change. Daily volume as an information signal is dissected into quintiles and its interact... Read More about International stock return co-movements and trading activity..

Central bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland. (2017)
Journal Article
BRZESZCZYNSKI, J., GAJDKA, J. and ALI, M.K. 2017. Central bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland. Argumenta oeconomica [online], 2(39), pages 21-53. Available from: https://doi.org/10.15611/aoe.2017.2.02

We analyze the impact of monetary policy communication of the National Bank of Poland (NBP), i.e. the NBP announcements of interest rates changes and the release of new macroeconomic figures, on the Polish financial market in its two main segments: t... Read More about Central bank communication and the impact of public announcements of new monetary policy data on the reaction of foreign exchange and stock markets: evidence from Poland..