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.
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
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:
- BMAN80301 Advanced Finance Theory
- BMAN80281 Advanced Finance Research Seminar I
- Techniques Elective / Additional Research Training
- BMAN80312 Advanced Corporate Finance
- BMAN80292 Advanced Finance Research Seminar II
- Techniques Elective / Additional Research Training
Semester I and II
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
- Weiping Qin -- International asset pricing
- Efthymios Rizopoulos -- Empirical market microstructure
- Craig Geoffrey -- Empirical market microstructure
- Liu Liu - Asset pricing
- 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)