Research
Listed below are some of the research areas that we are currently investigating. For more information click on each area:
Financial market integration
- Effects of financial liberalisation on financial integration
- Impact of financial liberalisation on economic growth
- Impact of market integration on security prices and the cost of capital
- Impact of market integration on market volatility and correlation
- Market integration and contagion effects during crises
Cross-border dual listing of securities
- Role of specialist trading in the price discovery process
- Impact of company announcements on the behaviour of ADRs and the underlying securities
Foreign exchange markets
- Analysis of the roles played by customer and interbank order flows in the determination of foreign exchange rates
- High-frequency linkages between exchange rates
- Interaction of foreign exchange and capital markets
- Interaction between black and official exchange rate markets
- Pricing currency risk in international markets
- The effects of macro announcements on the term structure and the real exchange rates
Capital markets
- Impact of derivative markets on market quality of the cash market
- Forecasting stock market volatility and correlation
- Stock, bond and foreign exchange market dynamics
Microstructure issues
- Customer and interbank order flows and foreign exchange markets
- Effects of various regulations, such as price limits, margin requirements, security transaction taxes on the behaviour of stock markets
- Trading systems and effects on stock market behaviour
Behaviour finance
- Efficiency of stock markets
- Effects of company news
- Effects of infrequent trading and slow adjustment to current information
- Effects of insider trading
- Effect of styles in emerging markets
- Herding in emerging markets
Banking
- Valuation, performance, competition and efficiency of banks
- International credit risk exposure of banks
- International banking & currency crises
- Multinational banking & Interest rate risk
- International FX volatility & the risk for financial institutions
- Management of Multinational banks & financial conglomerates
Corporate governance
- Effectiveness of corporate governance
- Impact on the cost of equity capital
- Impact on the development of capital markets
Pension reform and financial markets
- Effect of pension savings and financial market development
- Relative responsibilities of state, companies and individuals (the three pillars) in pension provision
- Comparative analysis of pension models in emerging markets
- Impact of socio-economic changes on traditional systems of pension provision
- Developments of appropriate financial instruments in emerging markets e.g. annuities
- Custodial security and corporate governance issues
- Profitability of pension rights as workers move jobs
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