Bart Frijns

Open University of the Netherlands - School of Management

Valkenburgerweg 177

Heerlen, NL-6401DL

Netherlands

SCHOLARLY PAPERS

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Scholarly Papers (43)

1.
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Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
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non-standard errors, multi-analyst approach, liquidity

2.

The Skewness of Commodity Futures Returns

Journal of Banking and Finance, 2018, 86, 143-158
Number of pages: 43 Posted: 08 Oct 2015 Last Revised: 20 May 2019
Auckland University of Technology, Open University of the Netherlands - School of Management, Cass Business School, City University of London and Audencia Business School
Downloads 1,960 (10,591)
Citation 16

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Skewness; Commodities; Futures pricing; Selective hedging

3.

The Intraday Properties of the VIX and the VXO

Number of pages: 31 Posted: 14 Dec 2016
Auckland University of Technology, Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 472 (79,138)
Citation 1

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VIX, Seasonality, Intraday data

4.

Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements

Tinbergen Institute Discussion Paper No. 12-121/III
Number of pages: 70 Posted: 14 Nov 2012
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Open University of the Netherlands - School of Management
Downloads 437 (86,740)
Citation 24

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macroeconomic news, high frequency trading, latency costs, market activity, event-based trading

5.

When No News is Good News – The Decrease in Investor Fear after the FOMC Announcement

Number of pages: 41 Posted: 17 Nov 2014 Last Revised: 18 Nov 2014
Auckland University of Technology, Open University of the Netherlands - School of Management and Auckland University of Technology - Faculty of Business & Law
Downloads 422 (90,331)
Citation 6

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VIX, VIX Futures, FOMC Announcement, Intraday data

6.

The Impact of Cultural Diversity in Corporate Boards on Firm Performance

Number of pages: 64 Posted: 09 Aug 2016
Bart Frijns, Olga Dodd and Helena Cimerova
Open University of the Netherlands - School of Management, Auckland University of Technology and Auckland University of Technology - Department of Finance
Downloads 392 (98,352)
Citation 10

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Cultural Diversity, Cultural Distance, Board Diversity, Firm Performance

7.

A Cultural Explanation of the Foreign Bias in International Asset Allocation

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 31 Posted: 12 Aug 2008 Last Revised: 01 Apr 2009
Sjoerd Beugelsdijk and Bart Frijns
University of Groningen and Open University of the Netherlands - School of Management
Downloads 362 (107,671)
Citation 15

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Foreign Bias, Home Bias, Culture, Portfolio Theory

A Volatility Targeting GARCH Model with Time-Varying Coefficients

Number of pages: 23 Posted: 17 Feb 2009
Open University of the Netherlands - School of Management, University of Luxembourg and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 221 (178,790)

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GARCH, time varying coefficients, multinomial logit

A Volatility Targeting GARCH Model with Time-Varying Coefficients

Journal of Empirical Finance, Vol. 18, 2011
Number of pages: 23 Posted: 24 Aug 2009 Last Revised: 06 May 2016
Open University of the Netherlands - School of Management, University of Luxembourg and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 133 (277,915)

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GARCH, time varying coefficients, multinomial logit

9.

The Information Content of Implied Volatility: Evidence from Australia

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 38 Posted: 27 Aug 2008
Open University of the Netherlands - School of Management, Münster University of Applied Sciences and Auckland University of Technology - Faculty of Business & Law
Downloads 346 (113,186)
Citation 11

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Implied Volatility, Volatility Forecasting, Options

10.

On the Intraday Relation between the VIX and Its Futures

Number of pages: 29 Posted: 31 Jan 2014
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 344 (113,926)
Citation 4

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VIX, Futures, Vector Autoregressions, Ultra-High Frequency Data

11.
Downloads 299 (132,600)
Citation 10

Price Discovery in Tick Time

Number of pages: 35 Posted: 22 Jul 2004
Bart Frijns and Peter C. Schotman
Open University of the Netherlands - School of Management and Maastricht University - Department of Finance
Downloads 281 (140,749)
Citation 7

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Price Discovery, Tick Time models, Nasdaq, Ultra-high frequency data, Microstructure

Price Discovery in Tick Time

Number of pages: 36 Posted: 30 Jul 2004
Bart Frijns and Peter C. Schotman
Open University of the Netherlands - School of Management and Maastricht University - Department of Finance
Downloads 18 (695,442)
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Price discovery, tick time models, NASDAQ, ultra-high frequency data, microstructure

A Proclivity to Cheat: How Culture Influences Illegal Insider Trading

2012 Financial Markets & Corporate Governance Conference, 25th Australasian Finance and Banking Conference 2012
Number of pages: 27 Posted: 15 Dec 2011 Last Revised: 17 Aug 2012
Auckland University of Technology - Faculty of Business & Law, Open University of the Netherlands - School of Management and Auckland University of Technology - Faculty of Business & Law
Downloads 171 (225,797)

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Cultural Dimensions, Insider Dealing, Price Run-Ups

A Proclivity to Cheat: How Culture influences Illegal Insider Trading

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 33 Posted: 19 Sep 2011
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 126 (289,539)
Citation 1

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Cultural Dimensions, Insider Dealing, Price Run-Ups

13.

On the Style-Based Feedback Trading of Mutual Fund Managers

Journal of Financial and Quantitative Analysis (JFQA), 02/2013
Number of pages: 49 Posted: 20 Jul 2012 Last Revised: 01 Feb 2016
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 292 (135,911)
Citation 3

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Mutual Fund Managers, Style Switching, Feedback Trading

Excess Stock Return Comovements and the Role of Investor Sentiment

Number of pages: 25 Posted: 08 Jul 2011 Last Revised: 19 Aug 2012
Open University of the Netherlands - School of Management, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 241 (164,389)

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Behavioral Finance, Excess Comovement; Investor Sentiment; International Equity Markets

Excess Stock Return Comovements and the Role of Investor Sentiment

25th Australasian Finance and Banking Conference 2012
Number of pages: 25 Posted: 19 Aug 2012
Open University of the Netherlands - School of Management, Vrije Universiteit Amsterdam, School of Business and Economics and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 32 (594,163)
Citation 1

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Behavioral Finance, Excess Comovement, Investor Sentiment, International Equity Markets

15.

Herding in Analysts' Recommendations: The Role of Media

Journal of Banking and Finance, Forthcoming
Number of pages: 46 Posted: 15 Sep 2015 Last Revised: 24 Apr 2018
Bart Frijns and Thanh Huynh
Open University of the Netherlands - School of Management and Monash University - Department of Banking and Finance
Downloads 213 (185,479)
Citation 1

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analyst herding, news sentiment, media coverage, disagreement, news dispersion

16.

Cultural Diversity in the Boardroom and Corporate Social Performance

Number of pages: 44 Posted: 05 Jun 2019
Olga Dodd, Bart Frijns and Alexandre Garel
Auckland University of Technology, Open University of the Netherlands - School of Management and Audencia Business School
Downloads 201 (195,768)

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cultural diversity, corporate social responsibility, board of directors, board diversity, corporate social performance

17.

Cultural Values, CEO Risk Aversion and Corporate Takeovers

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 37 Posted: 12 Oct 2011
University of Luxembourg, Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 192 (204,017)
Citation 1

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Financial Decision Making, Risk Aversion, Synergies, Culture, Takeovers

18.

Do Criminal Sanctions Deter Insider Trading

2012 Financial Markets & Corporate Governance Conference
Number of pages: 34 Posted: 15 Dec 2011 Last Revised: 22 Dec 2011
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 189 (206,867)
Citation 1

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Market Microstructure, Bid-Ask Spreads, Information Asymmetry, Insider Trading, Criminal Sanctions

19.

Contemporaneous Spill-Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices

25th Australasian Finance and Banking Conference 2012
Number of pages: 33 Posted: 16 Aug 2012
Auckland University of Technology, Open University of the Netherlands - School of Management and Auckland University of Technology - Faculty of Business & Law
Downloads 184 (211,850)
Citation 3

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spill-over, implied volatility indices

20.

Information Shares in Stationary Time Series and Global Volatility Discovery

Number of pages: 58 Posted: 16 Feb 2016 Last Revised: 25 Jul 2017
Rainer Baule, Bart Frijns and Milena Tieves
University of Hagen, Open University of the Netherlands - School of Management and University of Hagen
Downloads 181 (214,891)
Citation 2

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information share, stationarity, co-integration, variance decomposition, volatility spillover

21.

Who buys Bitcoin? The Cultural Determinants of Bitcoin Usage

Number of pages: 40 Posted: 02 Mar 2021
Macquarie University, Open University of the Netherlands - School of Management, Audencia Business School and Liaoning University
Downloads 176 (220,156)

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Bitcoin, Cryptocurrency, National Culture, Individualism

22.
Downloads 175 (221,203)
Citation 3

Do Criminal Sanctions Deter Insider Trading?

Number of pages: 37 Posted: 15 Mar 2011
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 171 (225,797)
Citation 1

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Insider Trading, Criminal Sanctions, Bid-Ask Spreads, Information Asymmetry Costs

Do Criminal Sanctions Deter Insider Trading?

Financial Review, Vol. 48, Issue 2, pp. 205-232, 2013
Number of pages: 28 Posted: 05 Apr 2013
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
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market microstructure, bid‐ask spreads, information asymmetry, insider trading, criminal sanctions

23.

Behavioral Heterogeneity in the Option Market

Journal of Economic Dynamics and Control, Vol. 34, No. 11, 2010
Number of pages: 28 Posted: 04 Mar 2007 Last Revised: 06 May 2016
Open University of the Netherlands - School of Management, University of Luxembourg and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 154 (246,340)
Citation 1

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Heterogeneous Agents, Option Markets, Fundamentalists, Chartists

24.

Political Crises and the Stock Market Integration of Emerging Markets

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 26 Posted: 04 Dec 2010
Auckland University of Technology - Faculty of Business & Law, Open University of the Netherlands - School of Management and Auckland University of Technology - Department of Finance
Downloads 150 (251,728)
Citation 4

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Stock Market Integration, International Crises, Emerging Markets

25.

Institutional Trading and Asset Pricing

Journal of Banking and Finance, forthcoming
Number of pages: 57 Posted: 29 Nov 2014 Last Revised: 24 Apr 2018
Open University of the Netherlands - School of Management, Monash University - Department of Banking and Finance, Auckland University of Technology - Faculty of Business & Law and University of Sydney Business School
Downloads 133 (276,843)

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intermediary asset pricing, institutional trading, investor preferences, CAPM

26.

Realized Variance in the Presence of Non-Iid Microstructure Noise

LIFE Working Paper No. 04-008
Number of pages: 38 Posted: 30 Aug 2004
Bart Frijns and Thorsten Lehnert
Open University of the Netherlands - School of Management and University of Luxembourg
Downloads 121 (296,962)
Citation 2

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Realized variance, Ultra-High Frequency data, Tick Time models, Nasdaq, Microstructure noise

27.

Market Timing Ability and Mutual Funds: A Heterogeneous Agent Approach

Quantitative Finance, Forthcoming
Number of pages: 31 Posted: 08 Dec 2011 Last Revised: 13 Jun 2014
Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 113 (311,725)

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mutual funds, market timing, heterogeneous agents models

28.

Volatility Discovery and Volatility Quoting on Markets for Options and Warrants

Journal of Futures Markets 38 (7/2018), 758–774
Number of pages: 43 Posted: 03 Oct 2017 Last Revised: 14 Jan 2020
Rainer Baule, Bart Frijns and Milena Tieves
University of Hagen, Open University of the Netherlands - School of Management and University of Hagen
Downloads 110 (317,587)
Citation 2

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Information Share, Volatility Discovery, VDAX-NEW, Bank-Issued Warrants, Options, Retail Investors

29.

Time-Varying Arbitrage and Dynamic Price Discovery

Number of pages: 43 Posted: 24 Jul 2016 Last Revised: 19 Dec 2016
Bart Frijns and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 84 (377,696)
Citation 1

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Time-Varying Arbitrage; Price discovery; Heterogeneous Agent Models

30.

The Interactions between Price Discovery, Liquidity and Algorithmic Trading for US-Canadian Cross-Listed Shares

Number of pages: 52 Posted: 03 Dec 2015 Last Revised: 15 Feb 2017
Open University of the Netherlands - School of Management, Auckland University of Technology - Department of Finance and Auckland University of Technology - Faculty of Business & Law
Downloads 81 (385,940)
Citation 2

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Market Microstructure, Price Discovery, Cross-Listings

On the Role of Cultural Distance in the Decision to Cross-List

Number of pages: 48 Posted: 16 Oct 2012 Last Revised: 28 May 2013
Olga Dodd, Bart Frijns and Aaron B. Gilbert
Auckland University of Technology, Open University of the Netherlands - School of Management and Auckland University of Technology - Faculty of Business & Law
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National culture, cultural distance, international cross-listing

On the Role of Cultural Distance in the Decision to Cross‐List

European Financial Management, Vol. 21, Issue 4, pp. 706-741, 2015
Number of pages: 36 Posted: 19 May 2020
Olga Dodd, Bart Frijns and Aaron Gilbert
Auckland University of Technology, Open University of the Netherlands - School of Management and Auckland University of Technology
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national culture, cultural distance, international cross‐listing

32.

Expectation Formation in Financial Markets: Heterogeneity and Sentiment

Number of pages: 26 Posted: 27 Nov 2019
Open University of the Netherlands - School of Management, Monash University - Department of Banking and Finance and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 66 (432,052)

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33.

Trading Cost Decomposition During Federal Funds Rate Announcements

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 40 Posted: 03 Dec 2015 Last Revised: 02 Dec 2016
Open University of the Netherlands - School of Management, Auckland University of Technology - Department of Finance, University of Manchester - Alliance Manchester Business School and Auckland University of Technology - Faculty of Business & Law
Downloads 60 (453,027)

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Macroeconomic News Announcements, Bid-Ask Spreads, Spread Decomposition

34.

US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks

Number of pages: 52 Posted: 17 Apr 2021 Last Revised: 07 Jul 2021
Auckland University of Technology, Open University of the Netherlands - School of Management, Auckland University of Technology - Department of Finance and Universidad de las Islas Baleares
Downloads 59 (456,782)

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US cross-listing, high-frequency trading, cross-market arbitrage, US news announcements, liquidity, equity markets

35.

Speculation in European Sovereign Debt Markets

Number of pages: 41 Posted: 02 Feb 2016 Last Revised: 11 Mar 2016
Bart Frijns and Remco C. J. Zwinkels
Open University of the Netherlands - School of Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 55 (471,879)
Citation 5

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Credit risk, sovereign bonds, CDS, heterogeneous agent models

36.

Quote Dynamics of Cross-Listed Stocks

Frijns, B., Indriawan, I., & Tourani‐Rad, A. (2019). Quote dynamics of cross‐listed stocks. International Review of Finance.
Number of pages: 35 Posted: 03 Dec 2015 Last Revised: 13 Apr 2020
Open University of the Netherlands - School of Management, Auckland University of Technology - Department of Finance and Auckland University of Technology - Faculty of Business & Law
Downloads 48 (500,586)

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Market Microstructure, Error-correction, Quote Dynamics, Cross-listings

37.

Macroeconomic News Announcements and Price Discovery: Evidence from Canadian-U.S. Cross-Listed Firms

Journal of Empirical Finance, Vol. 32, 2015
Number of pages: 37 Posted: 03 Dec 2015
Open University of the Netherlands - School of Management, Auckland University of Technology - Department of Finance and Auckland University of Technology - Faculty of Business & Law
Downloads 46 (509,459)
Citation 4

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Market Microstructure, Price Discovery, Macroeconomic News Announcements, Cross-listed Stocks

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

Number of pages: 31 Posted: 10 Nov 2016
Open University of the Netherlands - School of Management, Auckland University of Technology - Department of Finance, Auckland University of Technology - Faculty of Business & Law and University of Missouri at Saint Louis
Downloads 45 (523,925)

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Cross-Listings, Market Microstructure, Market Quality

Market Quality Around Macroeconomic News Announcements: Evidence from the Us and Canadian Markets

International Review of Finance, Vol. 19, Issue 3, pp. 575-612, 2019
Number of pages: 38 Posted: 26 May 2020
Open University of the Netherlands - School of Management, Auckland University of Technology - Department of Finance, Auckland University of Technology and University of Missouri at Saint Louis
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39.

NYSE Closure and Global Equity Trading: The Case of Cross-listed Stocks

Number of pages: 40 Posted: 23 Jan 2017 Last Revised: 20 May 2019
Olga Dodd and Bart Frijns
Auckland University of Technology and Open University of the Netherlands - School of Management
Downloads 37 (552,597)

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NYSE, cross-listing, market closure, stock liquidity, information efficiency of stock prices

Inferring Public and Private Information from Trades and Quotes

The Financial Review, Vol. 41, No. 1, pp. 95-117, February 2006
Number of pages: 23 Posted: 20 Nov 2006
Bart Frijns
Open University of the Netherlands - School of Management
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Inferring Public and Private Information from Trades and Quotes

Financial Review, Vol. 41, No. 1, February 2006
Posted: 10 Nov 2005
Bart Frijns
Open University of the Netherlands - School of Management

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public versus private information, ultra-high frequency data, Nasdaq, market microstructure

41.

Does Increased Hedging Lead to Decreased Price Efficiency? The Case of VIX Etps and VIX Futures

Financial Review, Vol. 54, Issue 3, pp. 477-500, 2019
Number of pages: 24 Posted: 20 May 2020
Auckland University of Technology, Open University of the Netherlands - School of Management, Auckland University of Technology and University of Virginia - McIntire School of Commerce
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Citation 2
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market microstructure, price pressure, VIX ETPs, VIX futures

42.

Contemporaneous Spillover Effects between the U.S. and the U.K. Equity Markets

Financial Review, Vol. 52, Issue 1, pp. 145-166, 2017
Number of pages: 22 Posted: 15 Jan 2017
Singapore Management University, Open University of the Netherlands - School of Management and Auckland University of Technology
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contemporaneous spillovers, identification through heteroskedasticity, volatility spillovers

43.

National Culture and Corporate Risk-Taking around the World

Number of pages: 29
Open University of the Netherlands - School of Management, affiliation not provided to SSRN, affiliation not provided to SSRN, Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
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National Culture, Corporate Risk-taking, Individualism