Bitcoin has received enormous attention both by the media and investors alike. But why has Bitcoin received such attention? This paper answers this question by examining the relationship between investor attention and Bitcoin fundamentals and finds that realized volatility and volume are both...

We show that expected returns on US stocks and all major stock world market indices are non-linearly dependent on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. This property can be captured by a...

This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil periods. We show that an endogenous model with time-varying transition probabilities is effective in describing the propagation of liquidity shocks within the interbank market,...

We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association with Bitcoin price crash risk, indicating that when economic uncertainty is high, the crash risk of...

This paper studies intraday time-series momentum (ITSM) in an international setting by employing high-frequency data of 16 developed markets. We show that ITSM is economically sizable and statistically significant both in- and out-of-sample in most countries. Based on existing theories of...

This paper investigates the impact of Brexit events on the behaviour of 34 financial indices from 1st January 2012 to 26th April 2017. Our focus is to evaluate whether the impact of Brexit on financial markets is consistent with rational asset pricing models. The empirical research uses a...

The compensation received by UK Vice Chancellors (VCs) has been on an upward trend in re- cent years and attracted a lot of negative media attention. In this paper, we examine whether VC compensation is excessive. Using a panel dataset covering the academic years 2007/2008 to 2016/2017, we...

Previous research has identified that investors place more emphasis on technical analysis than fundamental analysis, however the research has largely been confined to daily data and stock market indices. This paper studies whether intraday technical trading rules produce significant payoffs in...