Bart Frijns

Open University of the Netherlands - School of Management

Valkenburgerweg 177

Heerlen, NL-6401DL

Netherlands

SCHOLARLY PAPERS

41

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8,955

SSRN CITATIONS
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Top 8,929

in Total Papers Citations

90

CROSSREF CITATIONS

56

Scholarly Papers (41)

1.

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 1,852 (11,154)
Citation 16

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Skewness; Commodities; Futures pricing; Selective hedging

2.

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 462 (78,547)
Citation 1

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VIX, Seasonality, Intraday data

3.

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 435 (84,360)
Citation 24

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

4.

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 410 (90,444)
Citation 6

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VIX, VIX Futures, FOMC Announcement, Intraday data

5.

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 369 (102,038)
Citation 10

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Cultural Diversity, Cultural Distance, Board Diversity, Firm Performance

6.

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 361 (104,567)
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 Vrije Universiteit Amsterdam
Downloads 219 (174,921)

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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 Vrije Universiteit Amsterdam
Downloads 133 (269,703)

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GARCH, time varying coefficients, multinomial logit

8.

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 345 (109,971)
Citation 11

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Implied Volatility, Volatility Forecasting, Options

9.

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 (110,329)
Citation 4

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

10.
Downloads 299 (128,488)
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 (136,380)
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 (678,250)
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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 169 (221,368)

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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 125 (282,699)
Citation 1

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Cultural Dimensions, Insider Dealing, Price Run-Ups

12.

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 Vrije Universiteit Amsterdam
Downloads 292 (131,722)
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 Vrije Universiteit Amsterdam
Downloads 241 (159,363)

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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 Vrije Universiteit Amsterdam
Downloads 32 (578,359)
Citation 1

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

14.

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 209 (183,144)
Citation 1

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

15.

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 189 (200,665)
Citation 1

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

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 187 (202,559)

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

17.

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 187 (202,559)
Citation 1

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

18.

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 (205,478)
Citation 3

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spill-over, implied volatility indices

19.

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 177 (212,499)
Citation 2

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

20.
Downloads 175 (214,581)
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 (219,149)
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
Downloads 4 (796,041)
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market microstructure, bid‐ask spreads, information asymmetry, insider trading, criminal sanctions

21.

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 Vrije Universiteit Amsterdam
Downloads 153 (240,371)
Citation 1

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Heterogeneous Agents, Option Markets, Fundamentalists, Chartists

22.

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 (244,332)
Citation 4

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Stock Market Integration, International Crises, Emerging Markets

23.

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 131 (271,786)

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intermediary asset pricing, institutional trading, investor preferences, CAPM

24.

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 129 (274,931)

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Bitcoin, Cryptocurrency, National Culture, Individualism

25.

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 119 (291,839)
Citation 2

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

26.

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 Vrije Universiteit Amsterdam
Downloads 112 (304,529)

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mutual funds, market timing, heterogeneous agents models

27.

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 109 (310,319)
Citation 2

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

28.

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 Vrije Universiteit Amsterdam
Downloads 83 (369,453)
Citation 1

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Time-Varying Arbitrage; Price discovery; Heterogeneous Agent Models

29.

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 (374,886)
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
Downloads 80 (381,430)

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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
Downloads 0
Citation 1
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national culture, cultural distance, international cross‐listing

31.

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 Vrije Universiteit Amsterdam
Downloads 58 (447,805)

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32.

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 56 (455,172)

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Macroeconomic News Announcements, Bid-Ask Spreads, Spread Decomposition

33.

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 Vrije Universiteit Amsterdam
Downloads 54 (462,671)
Citation 5

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Credit risk, sovereign bonds, CDS, heterogeneous agent models

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 49 (482,736)

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

35.

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 47 (491,230)

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

36.

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 (495,558)
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 44 (514,357)

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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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38.

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 36 (548,077)

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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
Downloads 21 (654,810)
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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

40.

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
Downloads 1 (792,280)
Citation 2
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market microstructure, price pressure, VIX ETPs, VIX futures

41.

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