Andrew Urquhart

Andrew Urquhart
University of Southampton · Centre for Digital Finance

About

70
Publications
43,593
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
2,621
Citations

Publications

Publications (70)
Article
Media reports of a financial apocalypse facing some UK universities were rife around the onset of the covid-19 pandemic, with much of the blame for their apparently perilous monetary situation levelled at excessive borrowing. This study examines the extent to which higher education institutions in the UK have become more indebted over the past deca...
Article
Full-text available
In this paper, we forecast Bitcoin's returns and return jumps using a self-exciting process embedded in a stochastic volatility model. We show the existence of the jump clustering feature, which varies depending on the frequency of the data. In an out-of-sample setting, we use a particle filter to sample latent states and conduct one-step-ahead pro...
Article
The compensation received by UK Vice Chancellors (VCs) has been on an upward trend in recent years and attracted a lot of negative media attention. In this paper, we examine whether VCs receive the compensation they deserve. Using a panel dataset covering the academic years 2007/2008 to 2018/2019, we develop a model to predict expected VC compensat...
Article
To avert privacy breaches, scams and environmental damage, governments and central banks need to know how best to regulate this financial frontier. To avert privacy breaches, scams and environmental damage, governments and central banks need to know how best to regulate this financial frontier.
Article
This study examines intraday time series momentum in Bitcoin. Unlike stock markets, Bitcoin trades 24 h a day and therefore has not got a clear opening and closing period. Therefore, we use trading volume as a proxy for the market trading time and show that the first half-hour positively predicts the last half-hour return. We find that the first tr...
Article
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 during World War Two and the sinking of capital ships was a huge blow to the fight against the Axis p...
Article
We examine the impact on firm cash holdings of uncertainty of uncertainty, measured as the ex post volatility of economic policy uncertainty. Using the news-based index developed by Baker, Bloom, and Davis (2016) for twenty-two countries, we find that, when there is greater volatility of economic uncertainty, firms hold more cash. Our results are r...
Article
This paper studies the MAX effect, the relationship between maximum daily returns and future returns in the cryptocurrency market. The cryptocurrency market is an ideal setting for the MAX effect due to its lottery-like features (i.e., large positive skewness). Contrary to findings in other markets, we demonstrate that cryptocurrencies with higher...
Article
Full-text available
This paper investigates the relationship between the education of a CEO and firm performance and provides robust evidence that firms led by CEOs with PhDs outperform their peers. We find that CEOs with PhDs increase firm performance by 3.03% while CEOs with a PhD from a highly ranked university increase firm performance by 4.65%. Our results are ro...
Article
Full-text available
Employing a long-memory approach, we provide a study of the evolution of informational efficiency in five major Bitcoin markets and its influence on cross-market arbitrage. While all the markets are close to full informational efficiency over the whole sample period, the degree of market efficiency varies across markets and over time. The cross-mar...
Article
Full-text available
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 rules from the main five classes of technical trading rules and find significant predictability and profitability for each cl...
Article
We examine 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 theories of investor behavior, we propose and test four hypotheses to reveal the source o...
Article
Cryptocurrencies have gained a lot of attention since Bitcoin was first proposed by Satoshi Nakamoto in 2008, highlighting the potential to play a significant role in e-commerce. However, relatively little is known about cryptocurrencies, their price behaviour, how quickly they incorporate new information and their corresponding market efficiency....
Article
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 returns on event days are largely justified by the risk and the risk premium on those days. Our results...
Article
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 Bitcoin is low. We also find that behavioral factors have a...
Article
Bitcoin has received much investor attention in recent years and following this, there has been an explosion of academic studies examining this new financial asset. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest information share over 4 years’ worth of data to...
Article
Many papers in recent years have examined the benefits of adding alternative assets to traditional portfolios containing stocks and bonds. Bitcoin has emerged as a new alternative investment for investors which has attracted much attention from the media and investors alike. However relatively little is known about the investment benefits of Bitcoi...
Article
This paper contributes to the literature on cryptocurrencies, portfolio management and estimation risk by comparing the performance of naïve diversification, Markowitz diversification and the advanced Black–Litterman model with VBCs that controls for estimation errors in a portfolio of cryptocurrencies. We show that the advanced Black–Litterman mod...
Article
Full-text available
This study investigates an early warning indicator for liquidity shortages in the short‐term interbank market. To identify structural breaks and their persistence, an autoregressive two‐state regime switching model is presented. The variability in the LIBOR–OIS spread along with thresholds, which delimit four intensities, reveals regime changes con...
Article
This paper studies the effect of the Brexit vote on the intraday correlation and volatility transmission among major currencies. We find that the vote causes an increase in the correlation among the safe-haven currencies of the Swiss franc and Japanese yen as well as gold, and also find a decrease in their correlation with the directly involved cur...
Article
The recent rapid growth of algorithmic high‐frequency trading strategies makes it a very interesting time to revisit the long‐standing debates about the efficiency of stock prices and the best way to model the actions of market participants. To evaluate the evolution of stock price predictability at the millisecond timeframe and to examine whether...
Article
This paper provides a systematic review of the empirical literature based on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009. Despite astonishing price appreciation in recent years, cryptocurrencies have been subjected to accusations of pricing bubbles central to t...
Article
This paper investigates liquidity spillovers between the US and European interbank markets 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, while predicting liquidity crashes characterised by...
Article
To our knowledge, this paper is the first study on the effect of information arrival on the lead–lag relationship amongst related spot instruments. Based on a large data-set of ultra-high-frequency transaction prices time-stamped to the millisecond of the S&P500 index and its two most liquid tracking ETFs, we find that their lead–lag relationship i...
Article
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 Valencia in June 2017 and who participated in the crowdsourcing via the Overleaf platform. This pape...
Data
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, while predicting liquidity crashes characterised by c...
Article
Investor and media attention in Bitcoin has increased substantially in recently years, reflected by the incredible surge in news articles and considerable rise in the price of Bitcoin. Given the increased attention, there little is known about the behaviour of Bitcoin prices and therefore we add to the literature by studying price clustering. We fi...
Article
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 have any significant predictive power in the precious metals market through three popu...
Article
Full-text available
This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that...
Article
The predictive ability of technical trading rules has been studied in great detail however many papers group all technical trading rules together into one basket. We argue that there are two main types of technical trading rules, namely rules based on trend-following and mean reversion. Utilising high-frequency commodity ETF data, we show that mean...
Article
Full-text available
p>Bitcoin has received much investor attention in recent years and following this, there has been an explosion of academic studies examining this new financial asset. We contribute to the growing literature of Bitcoin by examining the intraday variables of the leading Bitcoin exchange with the highest information share over 4 years’ worth of data t...
Article
This paper investigates a calendar effect, namely the weekend overreaction, in spot foreign exchange markets of 8 major and 9 emerging currencies. We find that after a large price difference between Friday close and subsequent Monday open, most markets are likely to reverse in multiple horizons during the following week, which is consistent with th...
Article
Bitcoin has received much attention in the media and by investors in recent years, although there remains scepticism and a lack of understanding of this cryptocurrency. We add to the literature on Bitcoin by studying the market efficiency of Bitcoin. Through a battery of robust tests, evidence reveals that returns are significantly inefficient over...
Article
This paper provides strong evidence of time-varying return predictability of three precious metals from January 1987 to September 2014. We use three variations of the variance ratio test, the nonlinear Brock, Dechert and Schieinkman test as well as the Hurst exponent to evaluate the time-varying return predictability of precious metals to reduce th...
Article
This study examines the adaptive market hypothesis in 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 whiten the returns through an AR-GARCH process to study th...
Article
Full-text available
This study investigates an early warning indicator for liquidity shortages in the short-term interbank market. To identify structural breaks and their persistence, an autoregressive two-state regime switching model is presented. The variability in the LIBOR-OIS spread along with thresholds, which delimit four intensities, reveal regime changes cons...
Article
This paper studies liquidity risk contagion within the interbank market by assessing the long-run relationship of short-term interest rate spreads from January 2002 to December 2011. In particular, we model the interaction between the LIBOR-OIS spread, euro-dollar overnight interest swap rate and the three-month German-US bond spread and discover s...
Article
This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that...
Article
This paper treats the Blitz, the bombing of Britain during World War Two, as a natural experiment which can provide insights into the effects of investor sentiment on stock returns. The period of the Blitz is very interesting in that one of the world's major financial centres was under regular and severe air attack, as were many other industrial an...
Article
This paper studies the effect of World War Two (WWII) on the British stock market. It contributes to the literature in several ways. First, this paper thoroughly investigates the impact of historically major events on the British stock market using a variety of empirical approaches in order to ensure a comprehensive examination of the impact of WWI...
Article
Political uncertainty is increasingly seen as important to financial markets. Particularly US presidential election uncertainty is linked to uncertainty regarding future US macroeconomic policy. But what is the best vehicle to measure political uncertainty? We examine both the cointegration and causal relationships between the Iowa and Intrade pres...
Article
The seminal study by Brock, Lakonishok and LeBaron (1992) (BLL hereafter) found that the moving average rule had strong predictive power over 90 years in the DJIA, and this result was confirmed by Hudson et al. (1996) for the FT30 in the UK and Chen et al. (2009) for the TOPIX in Japan. However, according to the Adaptive Market Hypothesis, trading...
Article
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 whiten the returns through an AR-GARCH process to study th...
Article
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 the gold and silver market using three popular moving a...
Article
In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use subsample analysis as well as rolling window analysis to overcome to difficulties with each method type of analysis. We also create implied investment strategies based on each calend...
Article
This paper empirically investigates the Adaptive Market Hypothesis (AMH) in three of the most established stock markets in the world; the US, UK and Japanese markets using very long run data. Daily data is divided into five-yearly subsamples and subjected to linear and nonlinear tests to determine how the independence of stock returns has behaved o...