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

34

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CITATIONS
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40

Scholarly Papers (34)

1.

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 349 (59,412)

Abstract:

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

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, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Vrije Universiteit Amsterdam
Downloads 195 (122,776)

Abstract:

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, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Vrije Universiteit Amsterdam
Downloads 85 (237,584)

Abstract:

GARCH, time varying coefficients, multinomial logit

3.
Downloads 280 ( 85,062)
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 - Limburg Institute of Financial Economics (LIFE)
Downloads 262 (90,908)
Citation 9

Abstract:

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 - Limburg Institute of Financial Economics (LIFE)
Downloads 18 (451,420)
Citation 9

Abstract:

Price discovery, tick time models, NASDAQ, ultra-high frequency data, microstructure

4.

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 279 (74,804)
Citation 16

Abstract:

Foreign Bias, Home Bias, Culture, Portfolio Theory

5.

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 272 (79,596)
Citation 3

Abstract:

Implied Volatility, Volatility Forecasting, Options

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 130 (175,204)
Citation 1

Abstract:

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 100 (213,270)
Citation 1

Abstract:

Cultural Dimensions, Insider Dealing, Price Run-Ups

7.

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 181 (91,770)

Abstract:

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

8.

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 174 (103,761)

Abstract:

Mutual Fund Managers, Style Switching, Feedback Trading

9.

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, VU University Amsterdam, Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam
Downloads 169 (129,122)

Abstract:

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

10.
Downloads 152 (153,748)
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 151 (154,838)
Citation 1

Abstract:

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 1 (549,659)
Citation 1

Abstract:

market microstructure, bid‐ask spreads, information asymmetry, insider trading, criminal sanctions

11.

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 149 (141,005)
Citation 1

Abstract:

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

12.

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, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Vrije Universiteit Amsterdam
Downloads 136 (163,807)
Citation 4

Abstract:

Heterogeneous Agents, Option Markets, Fundamentalists, Chartists

13.

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 134 (142,452)

Abstract:

spill-over, implied volatility indices

14.

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 127 (114,074)

Abstract:

VIX, VIX Futures, FOMC Announcement, Intraday data

15.

Cultural Values, CEO Risk Aversion and Corporate Takeovers

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 37 Posted: 12 Oct 2011
Luxembourg School of Finance, 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 124 (162,844)

Abstract:

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

16.

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 114 (180,094)
Citation 1

Abstract:

Stock Market Integration, International Crises, Emerging Markets

17.

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 Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 111 (195,646)
Citation 3

Abstract:

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

18.

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 83 (224,211)

Abstract:

mutual funds, market timing, heterogeneous agents models

19.

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 56 (275,120)

Abstract:

National culture, cultural distance, international cross-listing

20.

Herding in Analysts' Recommendations: The Role of Media

Number of pages: 56 Posted: 15 Sep 2015
Bart Frijns and Thanh D. Huynh
Auckland University of Technology - Faculty of Business & Law and Monash University - Department of Banking and Finance
Downloads 25 (191,893)

Abstract:

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

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 20 (440,111)
Citation 1

Abstract:

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

Abstract:

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

22.

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
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology
Downloads 0 (532,107)

Abstract:

contemporaneous spillovers, identification through heteroskedasticity, volatility spillovers

23.

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 0 (113,555)

Abstract:

VIX, Seasonality, Intraday data

24.

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 0 (471,106)

Abstract:

Cross-Listings, Market Microstructure, Market Quality

25.

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 0 (250,274)

Abstract:

Cultural Diversity, Cultural Distance, Board Diversity, Firm Performance

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 0 (323,984)

Abstract:

Time-Varying Arbitrage; Price discovery; Heterogeneous Agent Models

27.

Information Shares in Stationary Time Series

Number of pages: 46 Posted: 16 Feb 2016 Last Revised: 17 Feb 2016
University of Hagen, Auckland University of Technology - Faculty of Business & Law and University of Hagen
Downloads 0 (270,700)

Abstract:

information share, stationarity, co-integration, variance decomposition

28.

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 0 (425,367)

Abstract:

Credit risk, sovereign bonds, CDS, 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
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 0 (315,296)

Abstract:

Market Microstructure, Price Discovery, Cross-Listings

30.

Trading Cost Decomposition During Federal Funds Rate Announcements

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 0 (445,694)

Abstract:

Macroeconomic News Announcements, Bid-Ask Spreads, Spread Decomposition

31.

Quote Dynamics of Cross-Listed Stocks

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 0 (410,164)

Abstract:

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

32.

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 0 (378,285)

Abstract:

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

33.

The Skewness of Commodity Futures Returns

Number of pages: 49 Posted: 08 Oct 2015 Last Revised: 04 Aug 2016
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law, Cass Business School, City University of London and EDHEC Business School
Downloads 0 (42,669)

Abstract:

Skewness; Commodity futures; Backwardation; Contango; Asset Pricing

34.

Institutional Trading and Asset Pricing

FIRN Research Paper No. 2531823
Posted: 29 Nov 2014
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

Abstract: