Professor Stuart Hyde

Back | New Search | Download VCard | View tabbed content | View all content (for printing)

Profile photo of: Professor Stuart Hyde Email: Show Email Address
Position: Professor of Finance & PGR Activity Head
Personal home page:
Academic unit: Accounting and Finance


I am a Professor of Finance and currently Postgraduate Research Director and Deputy Head of School. I joined the school in September 2000 as a lecturer in Finance, was promoted to Senior Lecturer in May 2005 and then to Professor of Finance in February 2011. I was formerly a lecturer at the University of Newcastle where I obtained my PhD. I have been a visiting research fellow at the Institute for International Integration Studies at Trinity College Dublin and a visitor at the University of Melbourne.

I am a member of the Centre for the Analysis of Investment Risk and the Centre for Growth and Business Cycle Research at Manchester. I am also a member of the American Finance Association, Financial Management Association, Eastern Finance Association, European Finance Association, European Financial Management Association and the Money, Macro and Finance Research Group. I am an Associate Editor for the Financial Review, European Journal of Finance, International Review of Financial Analysis and Research in International Business and Finance and sit on the advisory board of the British Accounting and Finance Association special interest group in Financial Markets and Institutions.

Research Interests

My principal research interests focus on a range of issues in empirical finance particularly with respect to international finance or emerging markets. I continue to work on topics related to asset pricing and return predictability specifically investigating the ability of consumption asset pricing models to either explain or predict asset return behaviour and how asset prices respond to changes in monetary policy. Alongside this work I have looked at the role of both linear and nonlinear models in forecasting asset returns and the ability of various financial and macroeconomic variables to predict returns. Currently I have a number of projects focussing on market microstructure particularly looking at price discovery, trade intensity and volume and volatility relationships in futures markets in emerging economies and commodities. My ongoing research agenda focuses on the following areas:

  • Asset pricing puzzles and return predictability.
  • Volatility linkages and spillovers, correlation and comovement.
  • Nonlinear behaviour of stock and bond markets.
  • Market microstructure.
  • Emerging markets finance.
  • Market segmentation/integration.
  • Contagion and financial crises.

Working papers

Links to current working papers are given below. For previous working papers and publications follow the publications tab or view my author pages at SSRN or Repec.

A Prospective PhD Students

Prospective students

I welcome applications from prospective PhD students interested in researching issues dealing with topics within my current research areas.

I am interested in supervising high calibre PhD students and encourage applications from those with a keen interest in any research area that overlaps with my own research interests. E.g. asset pricing, return predictability, market microstructure, nonlinearity, volatility, correlation, contagion and financial crises. More specifically, current and future topics would include:

  • Market Microstructure: Issues of price discovery, trade intensity and trading behaviour. How do different market participants operate? Is there evidence of "behavioural biases"?
  • Asset pricing and return predictability: Understanding emerging/developing markets. Are returns predictable? What is the economic value of such predictability for investors?
  • International Finance: In particular issues of contagion and financial crisis. How do these impact correlations and integration between markets, how do jumps impact returns and correlations and do they transmit across markets? What is the economic impact of such events for investors?

Applicants should have a first class/upper second class undergraduate degree and a distinction performance (>=70%) at Masters level.
Applicants should have a good background in Financial Econometrics and knowledge of software packages such as EViews, Matlab, Gauss or RATS is an advantage.

Please contact me informally via email if you wish to discuss potential supervision.

Please note: Details of available funding are provided on the MBS funding page. The funding round usually takes place in February/March.
Applications for the PhD programme at MBS are available from here.

B PhD Finance Training Programme

The first year training programme in Finance consists of the following courses:

Semester I

  • BMAN80301 Advanced Finance Theory
  • BMAN80281 Advanced Finance Research Seminar I
  • Techniques Elective / Additional Research Training

Semester II

  • BMAN80312 Advanced Corporate Finance
  • BMAN80292 Advanced Finance Research Seminar II
  • Techniques Elective / Additional Research Training

Semester I and II

  • Pilot Research paper

In addition to two core courses in each semester, students can take an elective course from a wide range of courses in Economics, Maths and Finance. Students are also required to complete training in software (e.g. Matlab, Gauss, STATA) and relevant databases and a pilot Research paper.

C Current and Previous PhD and DBA Students

Current students

  • Weiping Qin -- International asset pricing
  • Efthymios Rizopoulos -- Empirical market microstructure
  • Craig Geoffrey -- Empirical market microstructure
  • Liu Liu - Asset pricing

Previous Students

  • Ngoc Quynh Anh Nguyen - 2014 - A study of asset comovement, integration and contagion in country, style and industry portfolios (currently University of Aberdeen)
  • Iljin Sung - 2014 - Empirical estimation of market microstructure models with latent variables
  • Adeola Deji-olowe - 2013 - Essays on investor trading activity in a limit order market
  • Ike Johnson (British Commonwealth Scholar) - 2010 - Essays on the microstructure of the market pre-opening period
  • Martin Lozano Banda (Marie Curie Visiting Research Fellow, Universidad del Pais Vasco) - 2010 - Essays on estimating and testing asset pricing models (currently MBS post-doctoral researcher)
  • Lavern McFarlane (British Commonwealth Scholar) - 2009 - Essays on the role of time, volume and volatility in futures market microstructure: Evidence from the Mexican Derivatives Exchange (currently Bank of Jamaica)
  • Stig Vinther Møller (Marie Curie Visiting Research Fellow, Aarhus School of Business) - 2008 - Habit persistence, consumption based asset pricing, and time-varying expected returns (currently Aarhus School of Business)
  • Mazen Najjar (ORS Scholar) - 2007 - The relationship between stock returns and the macroeconomy: International evidence using linear and nonlinear models of open and closed economy systems (currently McKinsey & Co)
  • Jose Varas - 2006 - Explaining the behaviour of Latin American stock returns (currently Moodys)
  • James Yang - 2005 - Market segmentation and cross-border listings: Evidence from China
  • Mohamed Sherif - 2005 - Consumption asset pricing models: Empirical evidence from the UK (currently Lecturer Heriot Watt University)


International Conferences

  • Financial Management Association (Denver 2011).
  • INQUIRE Europe (Rome 2010).
  • Computational and Financial Econometrics (Limassol 2009).
  • FINISA/MCFS Conference (Melbourne 2009).
  • Eastern Finance Association (Washington DC 2009, Savannah 2011).
  • INFINITI Conference (Dublin 2007, 2008, 2010, 2012).
  • British Accounting Association Annual Conference (Blackpool 2008, Cardiff 2010).
  • Financial Management Association Europe (Barcelona 2007, Prague 2008).
  • European Finance Association (Zurich 2006).
  • European Financial Management Association (Helsinki 2003, Basel 2004, Milan 2005, Madrid 2006).
  • Emerging Markets Finance (London 2005, 2011).
  • Growth and Business Cycles in Theory and Practice (Manchester 2004).
  • Money, Macro and Finance Research Group (Durham 1997, Belfast 2001).
  • Irish Accounting and Finance Association (Cork 1999).
  • Irish Economic Associaton (Limavady 1998, Westport 1999).

Research Seminars

  • University of Melbourne, Department of Finance (2009).
  • University of Sydney, Discipline of Finance (2009).
  • University of Bristol, Department of Accounting and Finance (2008).
  • University of Aarhus, CREATES, School of Economics and Management (2007).
  • University of Strathclyde, School of Accounting and Finance (2007).
  • University of Dundee, School of Accounting and Finance (2006).
  • Dublin City University, DCU Business School (2005).
  • University of Leeds, Leeds University Business School (2008, 2005).
  • Heriot-Watt University, School of Management and Languages (2005).
  • University of Durham, Durham Business School (2005).
  • University College Dublin, Department of Banking and Finance (2004).
  • Trinity College Dublin, Institute for International Integration Studies (2004).
  • University of Aberdeen, Department of Accounting and Finance (2004).
  • University of Manchester, School of Economic Studies (2000).

Programme involvement

Specialist fields




Publication summary




Showing 28 publication(s)

Book contribution

  • Hyde, S J., Bredin, D, Nguyen, N. "Correlation dynamics between Asia-Pacific, EU and US stock returns." In International Finance Review, ed. S.-J. Kim and M. McKenzie, 39-61.Elsevier, 2007. eScholarID:3b2506 | DOI:10.1016/S1569-3767(07)00003-9

Journal article

  • Cho, S.; Hyde, S.J.; Nguyen, N. "Time-Varying Regional and Global Integration and Contagion: Evidence from Style Portfolios." International Review of Financial Analysis 42(2015) : 109-131. eScholarID:241949 | DOI:10.1016/j.irfa.2014.10.007
  • Bredin, D., Hyde, S.J., Muckley, C. "A Microstructure Analysis of the Carbon Finance Market." International Review of Financial Analysis 34(2014) : 222-234. eScholarID:223431 | DOI:10.1016/j.irfa.2014.03.003
  • Guidolin, M; Hyde, S.; McMillan, D.; Ono, S. "Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence." Oxford Bulletin of Economics and Statistics 76(2014) : 510-535. eScholarID:223435 | DOI:10.1111/obes.12035
  • Guidolin, M.; Hyde, S.J. "Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data." Quantitative Finance 14, no. 12(2014) : 2135-2153. eScholarID:241946 | DOI:10.1080/14697688.2014.926389
  • Hansen, E.; Hyde, S. "Determinantes de la exposici√≥n cambiaria de las empresas Chilenas." Economia Chilena 16, no. 3(2013) : 70-88. eScholarID:223437
  • Bowe, M., Hyde, S., MacFarlane, L. "Duration, trading volume and the price impact of trades in an emerging futures market." Emerging Markets Review 17(2013) : 89-105. eScholarID:209654 | DOI:10.1016/j.ememar.2013.08.002
  • Guidolin, M.; Hyde, S.J. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective." Journal of Banking and Finance 36(2012) : 695-716. eScholarID:135354 | DOI:10.1016/j.jbankfin.2011.10.011
  • Guidolin, M., Hyde, S. "Simple VARs cannot approximate optimal markov switching asset allocation decisions: A recursive out-of-sample assessment." Computational Statistics and Data Analysis 56(2012) : 3546-3566. eScholarID:109371 | DOI:10.1016/j.csda.2010.10.006
  • Bredin, D., Hyde, S.J. "Investigating sources of unanticipated exposure in industry stock returns." Journal of Banking & Finance 35, no. 5(2011) : 1128-1142. eScholarID:92348 | DOI:10.1016/j.jbankfin.2010.09.029
  • Hyde, S.J., Sherif, M. "Consumption asset pricing and the term structure." Quarterly Review of Economics and Finance 50(2010) : 99-109. eScholarID:78397 | DOI:10.1016/j.qref.2009.10.001
  • Engsted, T., Hyde, S.J., Moller, S. "Habit formation, surplus consumption and return predictability: International evidence." Journal of International Money and Finance 29, no. 7(2010) : 1237-1255. eScholarID:78400 | DOI:10.1016/j.jimonfin.2010.03.004
  • Bredin, D., Hyde, S.J., O'Reilly, G. "Monetary policy surprises and international bond markets." Journal of International Money and Finance 29, no. 6(2010) : 988-1002. eScholarID:78399 | DOI:10.1016/j.jimonfin.2010.02.005
  • Hyde, S.J., Sherif, M. "Tests of the conditional asset pricing model: Further evidence from the cross-section of stock returns." International Journal of Finance and Economics 15(2010) : 198-211. eScholarID:78398 | DOI:10.1002/ijfe.400
  • Bredin, D., Hyde, S J., Nitzsche, D., O'Reilly, G. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response." International Journal of Finance and Economics 14(2009) : 156-171. eScholarID:1b5021 | DOI:10.1002/ijfe.341
  • Guidolin, M., Hyde, S.J., McMillan, D., Ono, S. "Non-linear predictability in stock and bond returns: When and where is it exploitable?" International Journal of Forecasting 25, no. 2(2009) : 373-399. eScholarID:53622 | DOI:10.1016/j.ijforecast.2009.01.002
  • Guidolin, M., Hyde, S.J. "What Tames the Celtic Tiger? Portfolio Implications from a Multivariate Markov Switching Model." Applied Financial Economics 19(2009) : 463-488. eScholarID:53687 | DOI:10.1080/09603100801901604
  • Guidolin, M., Hyde, S.J. "Equity Portfolio Diversification under Time-Varying Predictability: Evidence from Ireland, the US, and the UK." Journal of Multinational Financial Management 18(2008) : 293-312. eScholarID:53442 | DOI:10.1016/j.mulfin.2008.01.004
  • Bredin, D., Hyde, S J. "Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies." European Financial Management 14(2008) : 315-346. eScholarID:1b4891 | DOI:10.1111/j.1468-036X.2007.00361.x
  • Hyde, S J. "The Response of Industry Stock Returns to Market, Exchange Rate and Interest Rate Risk." Managerial Finance 33(2007) : 693-709. eScholarID:1b9786 | DOI:10.1108/03074350710776244
  • Bredin, D, Hyde, S J., Nitzsche, D, O'Reilly, G. "UK Stock Returns and the Impact of Domestic Monetary Policy Shocks." Journal of Business, Finance & Accounting 34(2007) : 872-888. eScholarID:1b4406 | DOI:10.1111/j.1468-5957.2006.02001.x
  • Hyde, S J., Sherif, M. "Don't Break the Habit: Structural stability tests of consumption asset pricing models in the UK." Applied Economics Letters 12(2005) : 289-296. eScholarID:1b9789 | DOI:10.1080/1350485042000338662
  • Hyde, S J., Cuthbertson, K, Nitzche, D. "Resuscitating the C-CAPM: empirical evidence from France and Germany." International Journal of Finance and Economics 10, no. 4(2005) : 337-357. eScholarID:1b9787 | DOI:10.1002/ijfe.282
  • Bredin, D, Hyde, S J. "FOREX Risk: Measurement and Evaluation using Value-at-Risk." Journal of Business Finance and Accounting 31, no. 9-10(2004) : 1389-1417. eScholarID:1b8075 | DOI:10.1111/j.0306-686X.2004.00578.x
  • Cuthbertson, K, Hyde, S J. "Excess Volatility and Efficiency in French and German Stock Markets." Economic Modelling 19, no. 3(2002) : 399-418. eScholarID:1b8028 | DOI:10.1016/S0264-9993(01)00069-4
  • Cuthbertson, K, Hayes, S, Hyde, S J., Nitzsche, D. "The Industry Response to Macroeconomics Shocks in the UK, Germany and France and the Convergence Debate." Economic and Social Review 29(1998) : 383-401. eScholarID:1b8003