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Ultra-high-frequency lead-lag relationship and information arrival

Thong Minh Dao; McGroarty, Frank; Urquhart, Andrew - In: Quantitative finance 18 (2018) 5, pp. 725-735

Persistent link: https://www.econbiz.de/10011906948

Calendar effects, market conditions and the Adaptive Market Hypothesis : evidence from long-run US data

Urquhart, Andrew; McGroarty, Frank - In: International review of financial analysis 35 (2014), pp. 154-166

Persistent link: https://www.econbiz.de/10010529613

Are stock markets really efficient? : evidence of the adaptive market hypothesis

Urquhart, Andrew; McGroarty, Frank - In: International review of financial analysis 47 (2016), pp. 39-49

Persistent link: https://www.econbiz.de/10011624040

Private information, excessive volability and intraday empirical regularities in the spot foreign exchange marktet

McGroarty, Frank; Ap Gwilym, Owain; Thomas, Stephen - 2005

Persistent link: https://www.econbiz.de/10003402636

The risk premium that never was : a fair value explanation of the volatility spread

McGee, Richard J.; McGroarty, Frank - In: European journal of operational research : EJOR 262 (2017) 1, pp. 370-380

Persistent link: https://www.econbiz.de/10011785787

The Adaptive Market Hypothesis and Stock Return Predictability : Evidence from Major Stock Indices

Urquhart, Andrew - 2015

This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also...

Persistent link: https://www.econbiz.de/10013018018

The euro and European stock market efficiency

Urquhart, Andrew - In: Applied financial economics 24 (2014) 19/21, pp. 1235-1248

Persistent link: https://www.econbiz.de/10010460186

How predictable are precious metal returns?

Urquhart, Andrew - In: The European journal of finance 23 (2017) 13/15, pp. 1390-1413

Persistent link: https://www.econbiz.de/10012014399

War and stock markets : the effect of World War Two on the British stock market

Hudson, Robert; Urquhart, Andrew - In: International review of financial analysis 40 (2015), pp. 166-177

Persistent link: https://www.econbiz.de/10011475734

Political uncertainty and sentiment : evidence from the impact of Brexit on financial markets

Hudson, Robert; Urquhart, Andrew; Zhang, Hanxiong - In: European economic review : EER 129 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012514803