Bart Frijns

Auckland University of Technology - Faculty of Business & Law

Department of Finance

3 Wakefield Street

Private Bag 92006

Auckland Central 1020

New Zealand

SCHOLARLY PAPERS

37

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CITATIONS
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40

Scholarly Papers (37)

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, Auckland University of Technology - Faculty of Business & Law, Cass Business School, City University of London and Audencia Nantes School of Management
Downloads 942 (22,942)

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Skewness; Commodities; Futures pricing; Selective hedging

2.

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 Auckland University of Technology - Faculty of Business & Law
Downloads 408 (69,370)
Citation 1

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

3.

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 Auckland University of Technology - Faculty of Business & Law
Downloads 340 (85,812)
Citation 14

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Foreign Bias, Home Bias, Culture, Portfolio Theory

4.

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
Auckland University of Technology - Faculty of Business & Law, Münster University of Applied Sciences and Auckland University of Technology - Faculty of Business & Law
Downloads 315 (93,420)
Citation 4

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Implied Volatility, Volatility Forecasting, Options

5.

On the Intraday Relation between the VIX and Its Futures

Number of pages: 29 Posted: 31 Jan 2014
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 314 (93,749)

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

A Volatility Targeting GARCH Model with Time-Varying Coefficients

Number of pages: 23 Posted: 17 Feb 2009
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 205 (144,781)

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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
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 106 (250,696)

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GARCH, time varying coefficients, multinomial logit

7.

The Intraday Properties of the VIX and the VXO

Number of pages: 31 Posted: 14 Dec 2016
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 300 (98,435)

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VIX, Seasonality, Intraday data

8.
Downloads 290 (102,162)
Citation 9

Price Discovery in Tick Time

AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 2252
Number of pages: 35 Posted: 22 Jul 2004
Bart Frijns and Peter C. Schotman
Auckland University of Technology - Faculty of Business & Law and Maastricht University - Department of Finance
Downloads 272 (108,923)
Citation 9

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

Price Discovery in Tick Time

CEPR Discussion Paper No. 4456
Number of pages: 36 Posted: 30 Jul 2004
Bart Frijns and Peter C. Schotman
Auckland University of Technology - Faculty of Business & Law and Maastricht University - Department of Finance
Downloads 18 (539,861)
Citation 9
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Price discovery, tick time models, NASDAQ, ultra-high frequency data, microstructure

9.

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, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 288 (102,961)

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VIX, VIX Futures, FOMC Announcement, Intraday data

10.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Vrije Universiteit Amsterdam
Downloads 267 (111,552)

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Mutual Fund Managers, Style Switching, Feedback Trading

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, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 143 (199,315)
Citation 1

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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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 115 (236,376)
Citation 1

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Cultural Dimensions, Insider Dealing, Price Run-Ups

Excess Stock Return Comovements and the Role of Investor Sentiment

Number of pages: 25 Posted: 08 Jul 2011 Last Revised: 19 Aug 2012
Auckland University of Technology - Faculty of Business & Law, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 223 (133,454)

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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
Auckland University of Technology - Faculty of Business & Law, Vrije Universiteit Amsterdam, School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 20 (527,239)

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

13.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology and Auckland University of Technology - Department of Finance
Downloads 226 (132,137)

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Cultural Diversity, Cultural Distance, Board Diversity, Firm Performance

14.

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, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 179 (164,209)

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spill-over, implied volatility indices

15.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 179 (164,209)
Citation 1

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

16.

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 D. Huynh
Auckland University of Technology - Faculty of Business & Law and Monash University - Department of Banking and Finance
Downloads 177 (165,827)

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

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, Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 165 (176,444)

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

18.
Downloads 165 (176,444)
Citation 1

Do Criminal Sanctions Deter Insider Trading?

Number of pages: 37 Posted: 15 Mar 2011
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 161 (180,329)
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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 4 (632,280)
Citation 1
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market microstructure, bid‐ask spreads, information asymmetry, insider trading, criminal sanctions

19.

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
Auckland University of Technology - Faculty of Business & Law, University of Luxembourg and Vrije Universiteit Amsterdam
Downloads 146 (195,425)
Citation 4

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Heterogeneous Agents, Option Markets, Fundamentalists, Chartists

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, Auckland University of Technology - Faculty of Business & Law and University of Hagen
Downloads 138 (204,535)

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

21.

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, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Department of Finance
Downloads 138 (204,535)
Citation 1

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Stock Market Integration, International Crises, Emerging Markets

22.

Institutional Trading and Asset Pricing

Journal of Banking and Finance, forthcoming
Number of pages: 57 Posted: 29 Nov 2014 Last Revised: 24 Apr 2018
Auckland University of Technology - Faculty of Business & Law, Monash University - Department of Banking and Finance, Auckland University of Technology - Faculty of Business & Law and University of Sydney Business School
Downloads 120 (227,966)

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intermediary asset pricing, institutional trading, investor preferences, CAPM

23.

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
Auckland University of Technology - Faculty of Business & Law and University of Luxembourg
Downloads 114 (236,808)
Citation 3

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

24.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Faculty of Business & Law and Vrije Universiteit Amsterdam
Downloads 104 (252,585)

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mutual funds, market timing, heterogeneous agents models

25.

Volatility Discovery and Volatility Quoting on Markets for Options and Warrants

Number of pages: 43 Posted: 03 Oct 2017
Rainer Baule, Bart Frijns and Milena Tieves
University of Hagen, Auckland University of Technology - Faculty of Business & Law and University of Hagen
Downloads 77 (305,272)

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

26.

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
Auckland University of Technology - Faculty of Business & Law and Vrije Universiteit Amsterdam
Downloads 75 (309,919)

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Time-Varying Arbitrage; Price discovery; Heterogeneous Agent Models

27.

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, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Downloads 75 (309,919)

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National culture, cultural distance, international cross-listing

28.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Department of Finance and Auckland University of Technology - Faculty of Business & Law
Downloads 74 (312,346)

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Market Microstructure, Price Discovery, Cross-Listings

29.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Department of Finance, University of Manchester - Manchester Business School and Auckland University of Technology - Faculty of Business & Law
Downloads 49 (382,939)

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Macroeconomic News Announcements, Bid-Ask Spreads, Spread Decomposition

30.

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
Auckland University of Technology - Faculty of Business & Law and Vrije Universiteit Amsterdam
Downloads 41 (411,236)

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Credit risk, sovereign bonds, CDS, heterogeneous agent models

31.

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
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Department of Finance and Auckland University of Technology - Faculty of Business & Law
Downloads 40 (415,049)

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

32.

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

Number of pages: 31 Posted: 10 Nov 2016
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Department of Finance, Auckland University of Technology - Faculty of Business & Law and University of Missouri at Saint Louis
Downloads 39 (418,812)

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Cross-Listings, Market Microstructure, Market Quality

33.

Quote Dynamics of Cross-Listed Stocks

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 30 Posted: 03 Dec 2015 Last Revised: 02 Dec 2016
Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Department of Finance and Auckland University of Technology - Faculty of Business & Law
Downloads 39 (418,812)

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

34.

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 Auckland University of Technology - Faculty of Business & Law
Downloads 30 (456,776)

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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
Auckland University of Technology - Faculty of Business & Law
Downloads 21 (520,956)
Citation 1
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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
Auckland University of Technology - Faculty of Business & Law

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

36.

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, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology
Downloads 0 (651,081)
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contemporaneous spillovers, identification through heteroskedasticity, volatility spillovers

37.

Cultural Diversity in the Boardroom and Corporate Social Performance

Number of pages: 44
Olga Dodd, Bart Frijns and Alexandre Garel
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law and Audencia Business School
Downloads 0

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