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Outputs (52)

Naval Disasters, World War Two and the British Stock Market (2021)
Journal Article
Hudson, R., & Urquhart, A. (2022). Naval Disasters, World War Two and the British Stock Market. Research in international business and finance, 59, Article 101556. https://doi.org/10.1016/j.ribaf.2021.101556

This paper studies investor sentiment by examining the impact on the British stock market of naval disasters. Since the British Empire was a world power and its navy was held in great regard, Britain was dependent on control of the sea for survival d... Read More about Naval Disasters, World War Two and the British Stock Market.

Economic policy uncertainty and cross-border mergers and acquisitions (2021)
Journal Article
Gregoriou, A., Nguyen, B. D., Nguyen, T. D., Le, H., & Hudson, R. (2021). Economic policy uncertainty and cross-border mergers and acquisitions. International review of financial analysis, 78, Article 101911. https://doi.org/10.1016/j.irfa.2021.101911

We examine the impact of policy uncertainty on cross-border mergers and acquisitions (M&As). Using a sample of 23 countries worldwide over the period from 2003 to 2016, we provide evidence that when a country has high policy uncertainty, the volume o... Read More about Economic policy uncertainty and cross-border mergers and acquisitions.

Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk (2021)
Journal Article
Amini, S., Hudson, R., Urquhart, A., & Wang, J. (in press). Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk. The European journal of finance, https://doi.org/10.1080/1351847X.2021.1900888

We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to con... Read More about Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk.

The implications of liquidity ratios: Evidence from Pakistan stock exchange limited (2020)
Journal Article
Ahmed, R., ullah, S., Hudson, R., & Gregoriou, A. (in press). The implications of liquidity ratios: Evidence from Pakistan stock exchange limited. Quarterly Review of Economics and Finance, https://doi.org/10.1016/j.qref.2020.12.006

In this paper we test two recently developed liquidity measures the Return-to-Turnover (hereafter RtoTR) proposed by Florackis et al. (2011) and Return-to-Volume (hereafter RtoV) recommended by Amihud, 2002, for 386 companies listed on the Pakistani... Read More about The implications of liquidity ratios: Evidence from Pakistan stock exchange limited.

Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets (2020)
Journal Article
Hudson, R., Urquhart, A., & Zhang, H. (2020). Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets. European Economic Review, 129, Article 103523. https://doi.org/10.1016/j.euroecorev.2020.103523

This paper investigates whether the impact of Brexit on financial markets is consistent with rational asset pricing models using 34 financial indices. Our results indicate that, whilst Brexit events affect both the risk and returns of stocks, the ret... Read More about Political uncertainty and sentiment: Evidence from the impact of Brexit on financial markets.

Market frictions and the geographical location of global stock exchanges. Evidence from the S&P Global Index (2020)
Journal Article
Hudson, R., & Gregoriou, A. (in press). Market frictions and the geographical location of global stock exchanges. Evidence from the S&P Global Index. Journal of Economic Studies, https://doi.org/10.1108/JES-03-2020-0091

We examine the impact of trading costs on investor average holding periods for the S&P global 1200 index. We report overwhelming evidence that global equity indices cannot be pooled. When we differentiate between stock indices based on their geograph... Read More about Market frictions and the geographical location of global stock exchanges. Evidence from the S&P Global Index.

Stock liquidity and return distribution: Evidence from the London Stock Exchange (2020)
Journal Article
Wang, A., Hudson, R., Rhodes, M., Zhang, S., & Gregoriou, A. (2020). Stock liquidity and return distribution: Evidence from the London Stock Exchange. Finance research letters, Article 101539. https://doi.org/10.1016/j.frl.2020.101539

We investigate the relationship between liquidity and the distribution of returns, for all listed firms on the London Stock Exchange between 2002-2018. We find a strong relationship between the distribution of returns, as measured by skewness and kur... Read More about Stock liquidity and return distribution: Evidence from the London Stock Exchange.

An empirical study of the cross market efficiency of the index options market: A case study from the Italian derivatives market (2020)
Journal Article
El Kalak, I., & Hudson, R. (2020). An empirical study of the cross market efficiency of the index options market: A case study from the Italian derivatives market. Review of accounting & finance, https://doi.org/10.1108/RAF-11-2016-0184

© 2020, Emerald Publishing Limited. Purpose: This study aims to examine the cross-market efficiency of the FTSE/MIB index options contracts traded on the Italian derivatives market (IDEM) during a period including the financial crisis between 1st Oct... Read More about An empirical study of the cross market efficiency of the index options market: A case study from the Italian derivatives market.

Technical trading and cryptocurrencies (2019)
Journal Article
Hudson, R., & Urquhart, A. (2019). Technical trading and cryptocurrencies. Annals of Operations Research, https://doi.org/10.1007/s10479-019-03357-1

© 2019, The Author(s). This paper carries out a comprehensive examination of technical trading rules in cryptocurrency markets, using data from two Bitcoin markets and three other popular cryptocurrencies. We employ almost 15,000 technical trading ru... Read More about Technical trading and cryptocurrencies.