Article

Hu, Yitong, Shen, Dehua and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2023) Attention allocation and cryptocurrency return co-movement: evidence from the stock market. International Review of Economics & Finance, 88. pp. 1173-1185. ISSN 1059-0560 doi: https://doi.org/10.1016/j.iref.2023.07.068

Jahanshahloo, Hossein, Irresberger, Felix and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2023) Bitcoin under the microscope. The British Accounting Review. 101237. ISSN 1095-8347 doi: https://doi.org/10.1016/j.bar.2023.101237

Feng, Hao, Gao, Da, Duan, Kun and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2023) Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework. International Review of Financial Analysis. 102756. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2023.102756

Chen, Jian, Clements, Michael P. ORCID: https://orcid.org/0000-0001-6329-1341 and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2023) Modelling price and variance jump clustering using the marked Hawkes process. Journal of Financial Econometrics. ISSN 1479-8417 doi: https://doi.org/10.1093/jjfinec/nbad007

Li, Yi, Lucey, Brian and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2023) Can altcoins act as hedges or safe-havens for Bitcoin? Finance Research Letters, 52. 103360. ISSN 1544-6131 doi: https://doi.org/10.1016/j.frl.2022.103360

Duan, Kun and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2023) The instability of stablecoins. Finance Research Letters, 52. 103573. ISSN 1544-6123 doi: https://doi.org/10.1016/j.frl.2022.103573

Akanksha, Jalan, Matkovskyy, Roman, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Yarovaya, Larisa (2023) The role of interpersonal trust in cryptocurrency adoption. Journal of International Financial Markets, Institutions and Money, 83. 101715. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2022.101715 (In Press)

Huang, Yingying, Duan, Kun and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2023) Time-varying dependence between Bitcoin and green financial assets: a comparison between pre- and post-COVID-19 periods. Journal of International Financial Markets, Institutions and Money, 82. 101687. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2022.101687

Li, Yi, Zhang, Wei, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Wang, Pengfei (2023) The unintended consequence of social media criticisms: an earnings management perspective. European Journal of Finance, 29 (1). pp. 33-57. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2022.2097885

Bantis, Evripidis, Clements, Michael P. ORCID: https://orcid.org/0000-0001-6329-1341 and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2022) Forecasting GDP growth rates in the United States and Brazil using Google Trends. International Journal of Forecasting. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2022.10.003

Jalan, Akanksha, Matkovskyy, Roman and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2022) Demand elasticities of Bitcoin and Ethereum. Economics Letters, 220. 110877. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2022.110877

Bell, Adrian R. ORCID: https://orcid.org/0000-0003-4531-0072, Brooks, Chris ORCID: https://orcid.org/0000-0002-2668-1153 and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2022) Why have UK universities become more indebted over time? International Review of Economics and Finance, 82. pp. 771-783. ISSN 1059-0560 doi: https://doi.org/10.1016/j.iref.2022.08.008

Li, Yi, Zhang, Wei, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Zhang, Pengfei (2022) The role of media coverage in bubble formation: evidence from the Bitcoin market. Journal of International Financial Markets, Institutions and Money, 80. 101629. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2022.101629

Lucey, Brian, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Zhang, Hanxiong (2022) UK Vice Chancellor compensation: do they get what they deserve? The British Accounting Review, 54 (4). 101108. ISSN 0890-8389 doi: https://doi.org/10.1016/j.bar.2022.101108

Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2022) Under the hood of the Ethereum blockchain. Finance Research Letters, 47 (Part A). 102628. ISSN 1544-6123 doi: https://doi.org/10.1016/j.frl.2021.102628

Shen, Dehua, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Wang, Pengfei (2022) Bitcoin intraday time-series momentum. Financial Review, 57 (2). pp. 319-344. ISSN 1540-6288 doi: https://doi.org/10.1111/fire.12290

Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Lucey, Brian (2022) Crypto and digital currencies — nine research priorities. Nature, 604 (7904). pp. 36-39. ISSN 0028-0836 doi: https://doi.org/10.1038/d41586-022-00927-5

Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Wang, Pengfei (2022) No cryptocurrency experience required: managerial characteristics in cryptocurrency fund performance. Review of Corporate Finance, 3 (4). ISSN 2046-9136 (In Press)

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Li, Zeming, Sakkas, Athanasios and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2022) Intraday time series momentum: global evidence and links to market characteristics. Journal of Financial Markets, 57. 100619. ISSN 1386-4181 doi: https://doi.org/10.1016/j.finmar.2021.100619

Hudson, Robert and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2022) Naval disasters, World War Two and the British stock market. Research in International Business and Finance, 59. 101556. ISSN 0275-5319 doi: https://doi.org/10.1016/j.ribaf.2021.101556

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Li, Yi, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243, Wang, Pengfei and Zhang, Wei (2021) MAX momentum in the cryptocurrency market. International Review of Financial Analysis, 77. 101829. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2021.101829

Goodell, John W., Goyal, Abhinav and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2021) Uncertainty of uncertainty and firm cash holdings. Journal of Financial Stability, 56. 100922. ISSN 1572-3089 doi: https://doi.org/10.1016/j.jfs.2021.100922

Duan, Kun, Li, Zeming, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Ye, Jinqiang (2021) Dynamic efficiency and arbitrage potential in Bitcoin: a long-memory approach. International Review of Financial Analysis, 75. 101725. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2021.101725

Hudson, Robert and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2021) Technical trading and cryptocurrencies. Annals of Operations Research, 297. pp. 191-220. ISSN 0254-5330 doi: https://doi.org/10.1007/s10479-019-03357-1

Manahov, Viktor and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2021) The efficiency of bitcoin: a strongly typed genetic programming approach to smart electronic bitcoin markets. International Review of Financial Analysis, 73. 101629. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2020.101629

Amini, Shima, Hudson, Robert, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Wang, Jian (2021) Nonlinearity everywhere: implications for empirical finance, technical analysis and value at risk. European Journal of Finance, 27 (13). pp. 1326-1349. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2021.1900888

Jalan, Akanksha, Matkovskyy, Roman and Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 (2021) What effect did the introduction of Bitcoin futures have on the Bitcoin spot market? European Journal of Finance, 27 (13). pp. 1251-1281. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2020.1869992

Shen, Dehua, Urquhart, Andrew ORCID: https://orcid.org/0000-0001-8834-4243 and Wang, Pengfei (2020) Forecasting the volatility of Bitcoin: the importance of jumps and structural breaks. European Financial Management, 26 (5). pp. 1294-1323. ISSN 1468-036X doi: https://doi.org/10.1111/eufm.12254

Zhang, Hanxiong and Urquhart, Andrew (2020) Do momentum and reversal strategies work in commodity futures? A comprehensive study. Review of Behavioural Finance, 12 (4). pp. 375-409. ISSN 1940-5979 doi: https://doi.org/10.1108/RBF-05-2019-0067

Hudson, Robert, Urquhart, Andrew and Zhang, Hanxiong (2020) Political uncertainty and sentiment: evidence from the impact of Brexit on financial markets. European Economic Review, 129. 103523. ISSN 0014-2921 doi: https://doi.org/10.1016/j.euroecorev.2020.103523

Platanakis, Emmanouil and Urquhart, Andrew (2020) Should investors include bitcoin in their portfolios? A portfolio theory approach. The British Accounting Review, 52 (4). 100837. ISSN 0890-8389 doi: https://doi.org/10.1016/j.bar.2019.100837

Kalyvas, Antonios, Papakyriakou, Panayiotis, Sakkas, Athanasios and Urquhart, Andrew (2020) What drives Bitcoin’s price crash risk? Economics Letters, 191. 108777. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2019.108777

Shen, Dehua, Urquhart, Andrew and Wang, Pengfei (2020) A three-factor pricing model for cryptocurrencies. Finance Research Letters, 34. 101248. ISSN 1544-6123 doi: https://doi.org/10.1016/j.frl.2019.07.021

Katsiampa, Paraskevi, Moutsianas, Konstantinos and Urquhart, Andrew (2019) Information demand and cryptocurrency market activity. Economics Letters, 185. 108714. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2019.108714

Eross, A., MCGroarty, F., Urquhart, Andrew and Wolfe, S. (2019) The intraday dynamics of bitcoin. Research in International Business and Finance, 49. pp. 71-81. ISSN 0275-5319 doi: https://doi.org/10.1016/j.ribaf.2019.01.008

Urquhart, Andrew and Zhang, Hanxiong (2019) Is Bitcoin a hedge or safe haven for currencies? An intraday analysis. International Review of Financial Analysis, 63. pp. 49-57. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2019.02.009

Platanakis, Emmanouil and Urquhart, Andrew (2019) Portfolio management with cryptocurrencies: the role of estimation risk. Economics Letters, 177. pp. 76-80. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2019.01.019

Eross, Andrea, Urquhart, Andrew and Wolfe, Simon (2019) An early warning indicator for liquidity shortages in the interbank market. International Journal of Finance & Economics, 24 (3). pp. 1300-1312. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1719

Dao, Thong M., McGroarty, Frank and Urquhart, Andrew (2019) The Brexit vote and currency markets. Journal of International Financial Markets, Institutions and Money, 59. pp. 153-164. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2018.11.004

Corbet, Shaen, Lucey, Brian, Urquhart, Andrew and Yarovaya, Larisa (2019) Cryptocurrencies as a financial asset: a systematic analysis. International Review of Financial Analysis, 62. pp. 182-199. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2018.09.003

Shen, Dehua, Urquhart, Andrew and Wang, Pengfei (2019) Does Twitter predict Bitcoin? Economics Letters, 174. pp. 118-122. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2018.11.007

Manahov, Viktor, Hudson, Robert and Urquhart, Andrew (2019) High frequency trading from an evolutionary perspective: financial markets as adaptive systems. International Journal of Finance and Economics, 24 (2). pp. 943-962. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1700

Eross, Andrea, Urquhart, Andrew and Wolfe, Simon (2019) Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets. European Journal of Finance, 25 (1). pp. 35-53. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2018.1462840

Zhang, H. and Urquhart, Andrew (2019) Pairs trading across mainland China and Hong Kong stock markets. International Journal of Finance & Economics, 24 (2). pp. 698-726. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1687

Urquhart, Andrew and Zhang, Hanxiong (2019) The performance of technical trading rules in Socially Responsible Investments. International Review of Economics and Finance, 63. pp. 397-411. ISSN 1059-0560 doi: https://doi.org/10.1016/j.iref.2019.05.002

Platanakis, Emmanouil, Sutcliffe, Charles and Urquhart, Andrew (2018) Optimal vs naïve diversification in cryptocurrencies. Economics Letters, 171. pp. 93-96. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2018.07.020

Urquhart, Andrew (2018) What causes the attention of Bitcoin? Economics Letters, 166. pp. 40-44. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2018.02.017

Dao, Thong Minh, McGroarty, Frank and Urquhart, Andrew (2018) Ultra-high-frequency lead–lag relationship and information arrival. Quantitative Finance, 18. pp. 725-735. ISSN 1469-7696 doi: https://doi.org/10.1080/14697688.2017.1414484

Batten, Jonathan A., Lucey, Brian M., McGroarty, Frank, Peat, Maurice and Urquhart, Andrew (2018) Does intraday technical trading have predictive power in precious metal markets? Journal of International Financial Markets, Institutions and Money, 52. pp. 102-113. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2017.06.005

Lucey, Brian M., Vigne, Samuel A., Ballester, Laura, Barbopoulos, Leonidas, Brzeszczynski, Janusz, Carchano, Oscar, Dimic, Nebojsa, Fernandex, Viviana, Gogolin, Fabian, González-Urteaga, Ana, Goodell, John W., Helbing, Pia, Ichev, Riste, Kearney, Fearghal, Laing, Elaine, Larkin, Charles J., Lindblad, Annika, Lončarski, Igor, Ly, Kim Cuong, Marinč, Matej, McGee, Richard J., McGroarty, Frank, Neville, Conor, O'Hagan-Luff, Martha, Piljak, Vanja, Sevic, Aleksander, Sheng, Xin, Stafylas, Dimitrios, Urquhart, Andrew, Versteeg, Roald, Vu, Anh N, Wolfe, Simon, Yarovaya, Larisa and Zaghini, Andrea (2018) Future directions in international financial integration research - a crowdsourced perspective. International Review of Financial Analysis, 55. pp. 35-49. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2017.10.008

Urquhart, Andrew (2017) Price clustering in Bitcoin. Economics Letters, 159. pp. 145-148. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2017.07.035

Hudson, Robert, McGroarty, Frank and Urquhart, Andrew (2017) Sampling frequency and the performance of different types of technical trading rules. Finance Research Letters, 22. pp. 136-139. ISSN 1544-6123 doi: https://doi.org/10.1016/j.frl.2016.12.015

Urquhart, Andrew (2017) How predictable are precious metal returns? European Journal of Finance, 23 (14). pp. 1390-1413. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2016.1204334

Batten, Jonathan, Lucey, Brian, McGroarty, Frank, Peat, Maurice and Urquhart, Andrew (2017) Stylized facts of intraday precious metals. PLoS ONE, 12 (4). ISSN 1932-6203 doi: https://doi.org/10.1371/journal.pone.0174232

Dao, Thong M., McGroarty, Frank and Urquhart, Andrew (2016) A calendar effect: weekend overreaction (and subsequent reversal) in spot FX rates. Journal of Multinational Financial Management, 37. pp. 158-167. ISSN 1042-444X doi: https://doi.org/10.1016/j.mulfin.2016.11.001

Eross, Andrea, Urquhart, Andrew and Wolfe, Simon (2016) Liquidity risk contagion in the interbank market. Journal of International Financial Markets, Institutions and Money, 45. pp. 142-155. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2016.07.005

Urquhart, Andrew (2016) The inefficiency of Bitcoin. Economics Letters, 148. pp. 80-82. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2016.09.019

Urquhart, Andrew and McGroarty, Frank (2016) Are stock markets really efficient? Evidence of the adaptive market hypothesis. International Review of Financial Analysis, 47. pp. 39-49. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2016.06.011

Urquhart, Andrew and Hudson, Robert (2016) Investor sentiment and local bias in extreme circumstances: the case of the Blitz. Research in International Business and Finance, 36. pp. 340-350. ISSN 0275-5319 doi: https://doi.org/10.1016/j.ribaf.2015.09.010

Goodell, John W., McGroarty, Frank and Urquhart, Andrew (2015) Political uncertainty and the 2012 US presidential election: a cointegration study of prediction markets, polls and a stand-out expert. International Review of Financial Analysis, 42. pp. 162-171. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2015.05.003

Urquhart, Andrew, Gebka, Bartosz and Hudson, Robert (2015) How exactly do markets adapt? Evidence from the moving average rule in three developed markets. Journal of International Financial Markets, Institutions and Money, 38. pp. 127-147. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2015.05.019

Hudson, Robert and Urquhart, Andrew (2015) War and stock markets: the effect of World War Two on the British stock market. International Review of Financial Analysis, 40. pp. 166-177. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2015.05.015

Urquhart, Andrew and McGroarty, Frank (2014) Calendar effects, market conditions and the Adaptive Market Hypothesis: evidence from long-run U.S. data. International Review of Financial Analysis, 35. pp. 154-166. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2014.08.003

Urquhart, Andrew (2014) The Euro and European stock market efficiency. Applied Financial Economics, 24 (19). pp. 1235-1248. ISSN 0960-3107 doi: https://doi.org/10.1080/09603107.2014.924292

Urquhart, Andrew and Hudson, Robert (2013) Efficient or adaptive markets? Evidence from major stock markets using very long run historic data. International Review of Financial Analysis, 28. pp. 130-142. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.03.005