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Publications

by alumni of

Swansea University → School of Management

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

2024

  1. Pham, Tho & Schaefer, Daniel & Singleton, Carl, 2024, "Unequal Hiring Wages and Their Impact on the Gender Pay Gap," IZA Discussion Papers, IZA Network @ LISER, number 17285, Sep.

2023

  1. Tho Pham & Oleksandr Talavera & Zhuangchen Wu, 2023, "Labor Markets during War Time: Evidence from Online Job Ads," Discussion Papers, Department of Economics, University of Birmingham, number 23-03, Mar.

2021

  1. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021, "The Voice of Monetary Policy," Discussion Papers, Department of Economics, University of Birmingham, number 21-02, Feb.
  2. Tho Pham & Oleksandr Talavera & Geoffrey Wood & Shuxing Yin, 2021, "Quality of working environment and corporate financial distress," Discussion Papers, Department of Economics, University of Birmingham, number 21-04, Apr.
  3. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021, "Central Bank Communication on Social Media: What, To Whom, and How?," Discussion Papers, Department of Economics, University of Birmingham, number 21-05, Apr.

2020

  1. Oleksandr Faryna & Tho Pham & Oleksandr Talavera & Andriy Tsapin, 2020, "Wage Setting and Unemployment: Evidence from Online Job Vacancy Data," Discussion Papers, Department of Economics, University of Birmingham, number 20-03, Feb.

2019

  1. Mustafa Caglayan & Tho Pham & Oleksandr Talavera & Xiong Xiong, 2019, "Asset mispricing in loan secondary markets," Discussion Papers, Department of Economics, University of Birmingham, number 19-07, Jul.
  2. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2019, "Conference Presentations and Academic Publishing," Discussion Papers, Department of Economics, University of Birmingham, number 19-10, Oct.

2018

  1. Vu Tran & Rasha Alsakka & Owain ap Gwilym, 2018, "Multiple credit ratings and market heterogeneity," Working Papers, Swansea University, School of Management, number 2018-26, Mar.
  2. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2018, "Social Media, Sentiment and Public Opinions: Evidence from #Brexit and #USElection," NBER Working Papers, National Bureau of Economic Research, Inc, number 24631, May.
  3. Tho Pham & Oleksandr Talavera & Mao Zhang, 2018, "Self-employment, financial development and well-being: Evidence from China, Russia and Ukraine," Working Papers, Swansea University, School of Management, number 2018-03, Jan.
  4. Tho Pham & Oleksandr Talavera & Andriy Tsapin, 2018, "Shock propaganda, asset quality and lending behaviour," Working Papers, Swansea University, School of Management, number 2018-04, Jan.
  5. Tho Pham & Oleksandr Talavera & Andriy Tsapin, 2018, "Shock Contagion, Asset Quality and Lending Behavior," Working Papers, National Bank of Ukraine, number 01/2018, Jan.
  6. Tho Pham & Oleksandr Talavera & Andriy Tsapin, 2018, "Branch Network Structure and Lending Behaviour," Working Papers, National Bank of Ukraine, number 03/2018, Aug.

2017

  1. Tho Pham & Oleksandr Talavera, 2017, "Discrimination, social capital, and financial constraints: The case of Vietnam," WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER), number wp-2017-67.

2016

  1. Pham, Tho & Talavera, Oleksandr & Yang, Junhong, 2016, "Multimarket Competition and Profitability: Evidence from Ukrainian banking," MPRA Paper, University Library of Munich, Germany, number 72376, Jul.

2013

  1. Gwion Williams & Rasha Alsakka & Owain ap Gwilym, 2013, "The Impact of Sovereign Credit Signals on Bank Share Prices during the European Sovereign Debt Crisis," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 13007, Oct.
  2. Gwilym, Owain Ap & Wang, Qvigwei & Hasan, Iftekhar & Xie, Ru, 2013, "In search of concepts: The effects of speculative demand on returns and volume," Bank of Finland Research Discussion Papers, Bank of Finland, number 10/2013.

2010

  1. Rasha Alsakka & Owain ap Gwilym, 2010, "The Extent and Causes of Sovereign Split Ratings," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 10008.
  2. Rasha Alsakka & Owain ap Gwilym, 2010, "Sovereign Ratings and Migrations: Emerging Markets," Working Papers, Bangor Business School, Prifysgol Bangor University (Cymru / Wales), number 10009, Mar.
  3. O. Gwilym & L. Meng, 2010, "Size clustering in the FTSE-100 index futures market," Post-Print, HAL, number hal-00569087.

2009

  1. L. Meng & O. Gwilym & J. Varas, 2009, "Volatility transmission among the CDS, equity, and bond markets," Post-Print, HAL, number halshs-00487331.

2008

  1. L. Meng & O. Gwilym, 2008, "The determinants of CDS Bid-Ask Spreads," Post-Print, HAL, number hal-00487025, DOI: 10.3905/jod.2008.710898.

2007

  1. L. Meng & O. Ap Gwilym, 2007, "The characteristics and evolution of credit default swap trading," Post-Print, HAL, number hal-00325165.

Journal articles

2025

  1. Gorodnichenko, Yuriy & Pham, Tho & Talavera, Oleksandr, 2025, "Central bank communication on social media: What, to whom, and how?," Journal of Econometrics, Elsevier, volume 249, issue PC, DOI: 10.1016/j.jeconom.2024.105869.

2024

  1. Pancotto, Livia & ap Gwilym, Owain & Williams, Jonathan, 2024, "The evolution and determinants of the non-performing loan burden in Italian banking," Pacific-Basin Finance Journal, Elsevier, volume 84, issue C, DOI: 10.1016/j.pacfin.2024.102306.

2023

  1. Pancotto, Livia & ap Gwilym, Owain & Molyneux, Philip, 2023, "Deal! Market reactions to the agreement on the EU Covid-19 recovery fund," Journal of Financial Stability, Elsevier, volume 67, issue C, DOI: 10.1016/j.jfs.2023.101157.
  2. Wenjie Ding & Khelifa Mazouz & Owain ap Gwilym & Qingwei Wang, 2023, "Technical analysis as a sentiment barometer and the cross-section of stock returns," Quantitative Finance, Taylor & Francis Journals, volume 23, issue 11, pages 1617-1636, November, DOI: 10.1080/14697688.2023.2244991.
  3. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2023, "The Voice of Monetary Policy," American Economic Review, American Economic Association, volume 113, issue 2, pages 548-584, February, DOI: 10.1257/aer.20220129.
  4. Pham, Tho & Talavera, Oleksandr & Wu, Zhuangchen, 2023, "Labor markets during war time: Evidence from online job advertisements," Journal of Comparative Economics, Elsevier, volume 51, issue 4, pages 1316-1333, DOI: 10.1016/j.jce.2023.06.002.

2022

  1. Jones, Laurence & Alsakka, Rasha & ap Gwilym, Owain & Mantovan, Noemi, 2022, "The impact of regulatory reforms on European bank behaviour: A dynamic structural estimation," European Economic Review, Elsevier, volume 150, issue C, DOI: 10.1016/j.euroecorev.2022.104280.
  2. Jones, Laurence & Alsakka, Rasha & ap Gwilym, Owain & Mantovan, Noemi, 2022, "Regulating rating agencies: A conservative behavioural change," Journal of Financial Stability, Elsevier, volume 60, issue C, DOI: 10.1016/j.jfs.2022.100999.
  3. Vu, Huong & Alsakka, Rasha & ap Gwilym, Owain, 2022, "Does competition improve sovereign credit rating quality?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 76, issue C, DOI: 10.1016/j.intfin.2021.101478.
  4. Pham, Tho & Talavera, Oleksandr & Tsapin, Andriy, 2022, "Branch network structure, authority and lending behaviour," Economic Systems, Elsevier, volume 46, issue 4, DOI: 10.1016/j.ecosys.2022.101040.
  5. Pham, Tho & Talavera, Oleksandr & Wood, Geoffrey & Yin, Shuxing, 2022, "Quality of working environment and corporate financial distress," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102449.
  6. Faryna, Oleksandr & Pham, Tho & Talavera, Oleksandr & Tsapin, Andriy, 2022, "Wage and unemployment: Evidence from online job vacancy data," Journal of Comparative Economics, Elsevier, volume 50, issue 1, pages 52-70, DOI: 10.1016/j.jce.2021.05.003.

2021

  1. Tho Pham & Oleksandr Talavera & Andriy Tsapin, 2021, "Shock contagion, asset quality and lending behaviour: The case of war in Eastern Ukraine," Kyklos, Wiley Blackwell, volume 74, issue 2, pages 243-269, May, DOI: 10.1111/kykl.12261.
  2. Gorodnichenko, Yuriy & Pham, Tho & Talavera, Oleksandr, 2021, "Conference presentations and academic publishing," Economic Modelling, Elsevier, volume 95, issue C, pages 228-254, DOI: 10.1016/j.econmod.2020.12.017.
  3. Gorodnichenko, Yuriy & Pham, Tho & Talavera, Oleksandr, 2021, "Social media, sentiment and public opinions: Evidence from #Brexit and #USElection," European Economic Review, Elsevier, volume 136, issue C, DOI: 10.1016/j.euroecorev.2021.103772.
  4. Mustafa Caglayan & Tho Pham & Oleksandr Talavera, 2021, "Dollarization, Pass-through, and Domestic Lending: Evidence from Turkish Banking," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 57, issue 11, pages 3190-3201, September, DOI: 10.1080/1540496X.2019.1678146.

2020

  1. Benzennou, Bouchra & ap Gwilym, Owain & Williams, Gwion, 2020, "Commonality in liquidity across options and stock futures markets," Finance Research Letters, Elsevier, volume 32, issue C, DOI: 10.1016/j.frl.2019.01.008.
  2. Livia Pancotto & Owain ap Gwilym & Jonathan Williams, 2020, "Market reactions to the implementation of the Banking Union in Europe," The European Journal of Finance, Taylor & Francis Journals, volume 26, issue 7-8, pages 640-665, May, DOI: 10.1080/1351847X.2019.1661264.
  3. Caglayan, Mustafa & Pham, Tho & Talavera, Oleksandr & Xiong, Xiong, 2020, "Asset mispricing in peer-to-peer loan secondary markets," Journal of Corporate Finance, Elsevier, volume 65, issue C, DOI: 10.1016/j.jcorpfin.2020.101769.
  4. Tho Pham & Oleksandr Talavera & Junhong Yang, 2020, "Multimarket competition and profitability: evidence from Ukrainian banks," Oxford Economic Papers, Oxford University Press, volume 72, issue 2, pages 517-545.

2019

  1. Klusak, Patrycja & Alsakka, Rasha & ap Gwilym, Owain, 2019, "The impact of ESMA regulatory identifiers on the quality of ratings," International Review of Financial Analysis, Elsevier, volume 66, issue C, DOI: 10.1016/j.irfa.2019.06.004.
  2. Pancotto, Livia & ap Gwilym, Owain & Williams, Jonathan, 2019, "The European Bank Recovery and Resolution Directive: A market assessment," Journal of Financial Stability, Elsevier, volume 44, issue C, DOI: 10.1016/j.jfs.2019.100689.
  3. Vu Tran & Rasha Alsakka & Owain ap Gwilym, 2019, "Investors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets," The European Journal of Finance, Taylor & Francis Journals, volume 25, issue 13, pages 1211-1233, September, DOI: 10.1080/1351847X.2019.1586743.

2018

  1. Abad, Pilar & Alsakka, Rasha & ap Gwilym, Owain, 2018, "The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions," Journal of International Money and Finance, Elsevier, volume 85, issue C, pages 40-57, DOI: 10.1016/j.jimonfin.2018.03.005.
  2. Bouchra Benzennou & Owain ap Gwilym & Gwion Williams, 2018, "Are single stock futures used as an alternative during a short‐selling ban?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 38, issue 1, pages 66-82, January, DOI: 10.1002/fut.21849.
  3. Pham, Tho & Talavera, Oleksandr & Zhang, Mao, 2018, "Self-employment, financial development, and well-being: Evidence from China, Russia, and Ukraine," Journal of Comparative Economics, Elsevier, volume 46, issue 3, pages 754-769, DOI: 10.1016/j.jce.2018.07.006.
  4. Pham, Tho & Talavera, Oleksandr, 2018, "Discrimination, Social Capital, and Financial Constraints: The Case of Viet Nam," World Development, Elsevier, volume 102, issue C, pages 228-242, DOI: 10.1016/j.worlddev.2017.10.005.

2017

  1. Klusak, Patrycja & Alsakka, Rasha & Gwilym, Owain ap, 2017, "Does the disclosure of unsolicited sovereign rating status affect bank ratings?," The British Accounting Review, Elsevier, volume 49, issue 2, pages 194-210, DOI: 10.1016/j.bar.2016.08.004.
  2. Rasha Alsakka & Owain ap Gwilym & Huong Vu, 2017, "Differences of opinion in sovereign credit signals during the European crisis," The European Journal of Finance, Taylor & Francis Journals, volume 23, issue 10, pages 859-884, August, DOI: 10.1080/1351847X.2016.1177565.

2016

  1. Owain Ap Gwilym & Iftekhar Hasan & Qingwei Wang & Ru Xie, 2016, "In Search of Concepts: The Effects of Speculative Demand on Stock Returns," European Financial Management, European Financial Management Association, volume 22, issue 3, pages 427-449, June, DOI: 10.1111/eufm.12067.
  2. Thanos Verousis & Owain ap Gwilym & XiaoHua Chen, 2016, "The intraday determination of liquidity in the NYSE LIFFE equity option markets," The European Journal of Finance, Taylor & Francis Journals, volume 22, issue 12, pages 1164-1188, September, DOI: 10.1080/1351847X.2015.1019642.
  3. Thanos Verousis & Owain ap Gwilym & Nikolaos Voukelatos, 2016, "Commonality in equity options liquidity: evidence from European Markets," The European Journal of Finance, Taylor & Francis Journals, volume 22, issue 12, pages 1204-1223, September, DOI: 10.1080/1351847X.2016.1188836.
  4. Thanos Verousis & Owain ap Gwilym & Nikolaos Voukelatos, 2016, "The Impact of a Premium‐Based Tick Size on Equity Option Liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 4, pages 397-417, April.

2015

  1. Rasha Alsakka & Owain ap Gwilym & Patrycja Klusak & Vu Tran, 2015, "Market Impact under a New Regulatory Regime: Credit Rating Agencies in Europe," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 44, issue 2, pages 275-308, July.
  2. Williams, Gwion & Alsakka, Rasha & ap Gwilym, Owain, 2015, "Does sovereign creditworthiness affect bank valuations in emerging markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 36, issue C, pages 113-129, DOI: 10.1016/j.intfin.2015.02.001.
  3. Vu, Huong & Alsakka, Rasha & Gwilym, Owain ap, 2015, "The credit signals that matter most for sovereign bond spreads with split rating," Journal of International Money and Finance, Elsevier, volume 53, issue C, pages 174-191, DOI: 10.1016/j.jimonfin.2015.01.005.

2014

  1. Tran, Vu & Alsakka, Rasha & ap Gwilym, Owain, 2014, "Sovereign rating actions and the implied volatility of stock index options," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 101-113, DOI: 10.1016/j.irfa.2014.05.010.
  2. ap Gwilym, O. & Kita, A. & Wang, Q., 2014, "Speculate against speculative demand," International Review of Financial Analysis, Elsevier, volume 34, issue C, pages 212-221, DOI: 10.1016/j.irfa.2014.03.001.
  3. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014, "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, volume 49, issue PB, pages 235-257, DOI: 10.1016/j.jimonfin.2014.03.012.

2013

  1. Verousis, Thanos & ap Gwilym, Owain, 2013, "Trade size clustering and the cost of trading at the London Stock Exchange," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 91-102, DOI: 10.1016/j.irfa.2012.08.007.
  2. Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013, "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 24, issue C, pages 139-152, DOI: 10.1016/j.intfin.2012.11.011.
  3. Williams, Gwion & Alsakka, Rasha & ap Gwilym, Owain, 2013, "The impact of sovereign rating actions on bank ratings in emerging markets," Journal of Banking & Finance, Elsevier, volume 37, issue 2, pages 563-577, DOI: 10.1016/j.jbankfin.2012.09.021.
  4. Alsakka, Rasha & ap Gwilym, Owain, 2013, "Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 144-162, DOI: 10.1016/j.jebo.2011.12.007.
  5. Owain ap Gwilym & Thanos Verousis, 2013, "Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 33, issue 1, pages 55-76, January.

2012

  1. Alsakka, Rasha & ap Gwilym, Owain, 2012, "Rating agencies' credit signals: An analysis of sovereign watch and outlook," International Review of Financial Analysis, Elsevier, volume 21, issue C, pages 45-55, DOI: 10.1016/j.irfa.2011.10.002.
  2. Alsakka, Rasha & ap Gwilym, Owain, 2012, "Foreign exchange market reactions to sovereign credit news," Journal of International Money and Finance, Elsevier, volume 31, issue 4, pages 845-864, DOI: 10.1016/j.jimonfin.2012.01.007.
  3. Rasha Alsakka & Owain ap Gwilym, 2012, "The Causes and Extent of Split Sovereign Credit Ratings in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 48, issue 1, pages 4-24, January.

2011

  1. Andrew Clare & Owain ap Gwilym & James Seaton & Stephen Thomas, 2011, "Explaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities," Journal of Asset Management, Palgrave Macmillan, volume 12, issue 1, pages 11-29, April, DOI: 10.1057/jam.2009.36.
  2. Frank McGroarty & Owain ap Gwilym & Stephen Thomas, 2011, "Structural changes, bid-ask spread composition and tick size in inter-bank futures trading," The European Journal of Finance, Taylor & Francis Journals, volume 17, issue 4, pages 285-306, DOI: 10.1080/1351847X.2010.481465.
  3. Thanos Verousis & Owain ap Gwilym, 2011, "Return reversals and the compass rose: insights from high frequency options data," The European Journal of Finance, Taylor & Francis Journals, volume 17, issue 9-10, pages 883-896, November, DOI: 10.1080/1351847X.2010.538524.
  4. Samir Aguenaou & Owain Ap Gwilym & Mark Rhodes, 2011, "Open interest, cross listing, and information shocks," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 31, issue 8, pages 755-778, August.

2010

  1. Al-Sakka, Rasha & ap Gwilym, Owain, 2010, "Split sovereign ratings and rating migrations in emerging economies," Emerging Markets Review, Elsevier, volume 11, issue 2, pages 79-97, June.
  2. ap Gwilym, Owain & Verousis, Thanos, 2010, "Price clustering and underpricing in the IPO aftermarket," International Review of Financial Analysis, Elsevier, volume 19, issue 2, pages 89-97, March.
  3. Alsakka, Rasha & ap Gwilym, Owain, 2010, "A random effects ordered probit model for rating migrations," Finance Research Letters, Elsevier, volume 7, issue 3, pages 140-147, September.
  4. Alsakka, Rasha & ap Gwilym, Owain, 2010, "Leads and lags in sovereign credit ratings," Journal of Banking & Finance, Elsevier, volume 34, issue 11, pages 2614-2626, November.
  5. McGroarty, Frank & ap Gwilym, Owain & Thomas, Steve, 2010, "Market structure and microstructure, in international interest rate futures markets," Research in International Business and Finance, Elsevier, volume 24, issue 3, pages 253-266, September.
  6. Owain ap Gwilym & Lei Meng, 2010, "Size clustering in the FTSE100 index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 30, issue 5, pages 432-443, May.

2009

  1. Al-Sakka, Rasha & ap Gwilym, Owain, 2009, "Heterogeneity of sovereign rating migrations in emerging countries," Emerging Markets Review, Elsevier, volume 10, issue 2, pages 151-165, June.
  2. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2009, "The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 2, pages 387-401, April.
  3. Ian McManus & Owain Ap Gwilym & Stephen Thomas, 2009, "Prospective utility and time-varying optimal asset allocation for the UK: 1803-1995," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, volume 1, issue 2, pages 95-110.
  4. Owain ap Gwilym & Samir Aguenaou & Mark Rhodes, 2009, "The determinants of trading volume for cross-listed Euribor futures contracts," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 1, pages 89-102, DOI: 10.1080/13518470802423148.

2007

  1. Frank McGroarty & Owain ap Gwilym & Stephen Thomas, 2007, "The Components of Electronic Inter‐Dealer Spot FX Bid‐Ask Spreads," Journal of Business Finance & Accounting, Wiley Blackwell, volume 34, issue 9‐10, pages 1635-1650, November, DOI: 10.1111/j.1468-5957.2007.02051.x.

2006

  1. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006, "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, volume 17, issue 1, pages 23-49, September.
  2. Owain ap Gwilym & James Seaton & Karina Suddason & Stephen Thomas, 2006, "International Evidence on the Payout Ratio, Earnings, Dividends, and Returns," Financial Analysts Journal, Taylor & Francis Journals, volume 62, issue 1, pages 36-53, January, DOI: 10.2469/faj.v62.n1.4057.

2005

  1. L C Thomas & S Thomas & L Tang & O Ap Gwilym, 2005, "Impact of demographic and economic variables on financial policy purchase timing decisions," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, volume 56, issue 9, pages 1051-1062, September, DOI: 10.1057/palgrave.jors.2601981.
  2. Owain Ap Gwilym & Ian Mcmanus & Stephen Thomas, 2005, "Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 25, issue 5, pages 419-442, May.

2004

  1. Ian McManus & Owain Ap Gwilym & Stephen Thomas, 2004, "The Role of Payout Ratio in the Relationship Between Stock Returns and Dividend Yield," Journal of Business Finance & Accounting, Wiley Blackwell, volume 31, issue 9‐10, pages 1355-1387, November, DOI: 10.1111/j.0306-686X.2004.00577.x.

2003

  1. Owain ap Gwilym & Evamena Alibo, 2003, "Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 7, pages 647-659, July.

2002

  1. ap Gwilym, Owain & Thomas, Stephen, 2002, "An empirical comparison of quoted and implied bid-ask spreads on futures contracts," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 12, issue 1, pages 81-99, February.

2001

  1. Owain Ap Gwilym & Mike Buckle, 2001, "The lead-lag relationship between the FTSE100 stock index and its derivative contracts," Applied Financial Economics, Taylor & Francis Journals, volume 11, issue 4, pages 385-393, DOI: 10.1080/096031001300313947.

2000

  1. Owain ap Gwilym & Gareth Morgan & Stephen Thomas, 2000, "Dividend Stability, Dividend Yield and Stock Returns: UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, volume 27, issue 3‐4, pages 261-281, April, DOI: 10.1111/1468-5957.00313.
  2. Alan E.H. Speight & David G. McMillan & Owain ap Gwilym, 2000, "Intra‐day volatility components in FTSE‐100 stock index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 20, issue 5, pages 425-444, May.

1999

  1. O. Ap Gwilym & C. Brooks & A. Clare & S. Thomas, 1999, "Tests of non‐linearity using LIFFE futures transactions price data," Manchester School, University of Manchester, volume 67, issue 2, pages 167-186, March, DOI: 10.1111/1467-9957.00140.
  2. Owain Ap Gwilym & David McMillan & Alan Speight, 1999, "The intraday relationship between volume and volatility in LIFFE futures markets," Applied Financial Economics, Taylor & Francis Journals, volume 9, issue 6, pages 593-604, DOI: 10.1080/096031099332041.
  3. Owain Ap Gwilym & Mike Buckle, 1999, "Volatility forecasting in the framework of the option expiry cycle," The European Journal of Finance, Taylor & Francis Journals, volume 5, issue 1, pages 73-94, DOI: 10.1080/135184799337190.

1998

  1. M. Buckle & O. Ap Gwilym & S.H. Thomas & M.S. Woodhams, 1998, "Intraday Empirical Regularities in Interest Rate and Equity Index Futures Markets, and the Effect of Macroeconomic Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, volume 25, issue 7‐8, pages 921-944, September, DOI: 10.1111/1468-5957.00219.
  2. ap Gwilym, Owain & Clare, Andrew & Thomas, Stephen, 1998, "Price clustering and bid-ask spreads in international bond futures," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 8, issue 3-4, pages 377-391, December.
  3. Owain Ap. Gwilym & Andrew Clare & Stephen Thomas, 1998, "The bid‐ask spread on stock index options: An ordered probit analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 18, issue 4, pages 467-485, June.

1997

  1. Owain Ap Gwilym & Mike Buckle, 1997, "Forward/forward volatilities and the term structure of implied volatility," Applied Economics Letters, Taylor & Francis Journals, volume 4, issue 5, pages 325-328, DOI: 10.1080/758532602.

1996

  1. Owain Ap Gwilym & Mike Buckle, 1996, "An analysis of bid-ask spreads on American-and European-style index options," Applied Economics Letters, Taylor & Francis Journals, volume 3, issue 7, pages 445-449, DOI: 10.1080/758540803.

Chapters

2002

  1. Owain ap Gwilym, 2002, "Evidence on Trading Mechanisms," Palgrave Macmillan Books, Palgrave Macmillan, chapter 5, "Transparency and Fragmentation", DOI: 10.1057/9781403907073_5.

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