• Crossing the Tasman: determinants of price discovery for Australia-New Zealand cross-listed shares

      Gilbert, A; Frijns, B; Tourani, A (Institute of Global Finance, Australian School of Business, 2013)
      Price discovery is the process by which markets incorporate new information. In this study, we investigate the price discovery for 19 stocks cross-listed on the NZX and the ASX between 1998 and 2012. We observe strong ...
    • Do criminal sanctions deter insider trading?

      Gilbert, A; Frijns, B; Tourani Rad, A (Wiley, 2013)
      Many developed markets have taken what appears to be a tough stance on illegal insider trading through the use of criminal sanctions. Although criminal sanctions represent a much greater penalty than civil sanctions, the ...
    • Market timing ability and mutual funds: a heterogeneous agent approach

      Frijns, B; Gilbert, A; Zwinkels, RCJ (Taylor & Francis, 2013)
      This paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain ...
    • On Intraday Relation Between the Vix and Its Futures

      Frijns, B; Tourani Rad, A; Webb, R (John Wiley & Sons, 2014)
      We study the intraday dynamics of the VIX and VIX futures for the period January 2, 2008 to December 31, 2014. Considering first the results of a Vector Autoregression (VAR) using daily data, we observe that there is some ...
    • Regulation and market efficiency: the impact of criminal sanctions for insider trading on transaction costs

      Gilbert, A; Frijns, B; Tourani-Rad, A (Bruce McKay on behalf of the Institute of Finance Professionals NZ, ©2004-Auckland, N.Z., 2011)
    • The Skewness of Commodity Futures Returns

      Fernandez Perez, A; Frijns, B; Fuertes, AM; Miffre, J (Elsevier, 2017)
      This article studies the relation between the skewness of commodity futures returns and expected returns. A trading strategy that takes long positions in commodity futures with the most negative skew and shorts those with ...
    • The cross-listing decision and the home bias in international equity investments

      Dodd, O; Frijns, B (The Indonesian Financial Management Association (IFMA), 2013)
      This paper examines the relationship between the choice of the destination market for cross-listing and the home bias of investors. We use two measures of home bias, the domestic bias (the degree of overinvestment in the ...
    • The impact of NYSE closure on global market liquidity

      Dodd, O; Frijns, B (Auckland Centre for Financial research, Auckland University of Technology, 2013)
      This paper examines the impact of NYSE closure on equity trading of cross-listed and non-cross-listed stocks. We argue that the US equity market is an important source of information and its closure will affect liquidity ...