Below you can find the details of some of the recent publications of PhD students from the Finance Department at UTS.
Alfeus, M. and Schlogl, E., 2019, “On Spread Option Pricing Using Two-Dimensional Fourier Transform”, International Journal of Theoretical and Applied Finance, 22(5).
Bohmann, M., Michayluk, D., Patel, V. and Walsh, K., 2019, "Liquidity and earnings in event studies: Does data granularity matter?", Pacific-Basin Finance Journal, 54, pp. 118-131.
Cheng, B., Nikitopoulos Sklibosios, C. and Schlogl, E., 2019, "Interest rate risk in long-dated commodity options positions: To hedge or not to hedge?", Journal of Futures Markets, 39(1), pp. 109-127.
Chiarella, C., Di Guilmi, C. and Zhi, T., 2019, "“Animal Spirits” and Bank’s Lending Behaviour, A Disequilibrium Approach", Studies in Nonlinear Dynamics & Econometrics, forthcoming.
Foley, S, Karlsen, J. and Putnins, T., 2019, "Sex, drugs, and bitcoin: How much illegal activity is financed through cryptocurrencies?", Review of Financial Studies, 32(5), pp. 1798-1853.
Luong, T. M., Pieters, R., Scheule, H. and Wu, E., 2019, "The Impact of Government Guarantees on Banks' Wholesale Funding Costs and Risk-taking: Evidence from a Natural Experiment", Pacific-Basin Finance Journal, forthcoming.
Cheng, B., Nikitopoulos Sklibosios, C. and Schlogl, E., 2018, "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?", Journal of Banking and Finance, 95, pp. 148-166.
Su, F. and Zhang, J., 2018, "Global price discovery in the Australian dollar market and its determinants", Pacific-Basin Finance Journal, 38, pp. 35-55.
Bui, C,, Scheule, H. and Wu, E., 2017, "The value of bank capital buffers in maintaining financial system resilience", Journal of Financial Stability, 33, pp. 23-40.
Lo, D., 2017, "On the limit order behaviour of retail and non-retail investors", Pacific-Basin Finance Journal, 44, pp. 1-12.
Michayluk, D. M. and Patel, V., 2016, "Return predictability following different drivers of large price changes", International Review of Financial Analysis, 45, pp. 202-214.
Bugeja, M., Patel, V. and Walter, T. S., 2015, "The microstructure of Australian takeover announcements", Australian Journal of Management, 40(1), pp. 161-188.