Ben R. Marshall

Massey University - School of Economics and Finance

Private Bag 11-222

Palmerston North, 30974

New Zealand

  • Massey University - School of Economics and Finance

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SCHOLARLY PAPERS

35

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34

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26

Scholarly Papers (35)

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1.

Technical Analysis Around the World

Number of pages: 31 Posted: 30 Jul 2008 Last Revised: 01 Dec 2011
Ben R. Marshall, Rochester H. Cahan and Jared Cahan
Massey University - School of Economics and Finance, Macquarie Capital (USA) and Macquarie Bank Ltd
Downloads 7,094 (949)
Citation 5

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Technical Analysis, Quantitative, Market Timing

2.

Market Timing with Candlestick Technical Analysis

Number of pages: 18 Posted: 16 Apr 2007 Last Revised: 14 Sep 2009
Ben R. Marshall, Martin R. Young and Lawrence C. Rose
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University
Downloads 5,181 (1,641)
Citation 2

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Market Timing, Candlesticks, Technical Analysis, Quantitative Investment

3.

ETF Arbitrage: Intraday Evidence

Number of pages: 45 Posted: 16 Nov 2010 Last Revised: 24 Jan 2013
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 4,507 (2,113)
Citation 9

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Arbitrage, Pairs Trading, ETF

4.

Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies?

Number of pages: 28 Posted: 26 Jul 2007 Last Revised: 12 Nov 2007
Ben R. Marshall, Rochester H. Cahan and Jared Cahan
Massey University - School of Economics and Finance, Macquarie Capital (USA) and Macquarie Bank Ltd
Downloads 2,562 (5,548)
Citation 11

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Commodity, Futures, Technical Analysis, Quantitative, Market Timing

5.

Time-Series Momentum versus Moving Average Trading Rules

Number of pages: 45 Posted: 27 Feb 2013 Last Revised: 26 Feb 2015
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 2,459 (5,945)
Citation 3

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G11, G12

6.

Return Predictability Revisited

EFA 2007 Ljubljana Meetings Paper, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 73 Posted: 25 Feb 2007 Last Revised: 19 Nov 2009
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 2,265 (6,818)
Citation 1

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observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity

7.

Is Technical Analysis Profitable on U.S. Stocks With Certain Size, Liquidity or Industry Characteristics?

Number of pages: 25 Posted: 15 Sep 2006 Last Revised: 13 Nov 2007
Ben R. Marshall, Qian Sun and Martin R. Young
Massey University - School of Economics and Finance, Fudan University and Massey University - School of Economics and Finance
Downloads 1,530 (12,935)

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Technical Analysis, Size, Liquidity

8.

Stock Market Predictability and Industrial Metal Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 19 Aug 2010 Last Revised: 12 Jul 2016
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 838 (31,787)
Citation 5

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industrial metals, state-switching, return predictability, gradual information diffusion, business cycle

9.

Is There Momentum or Reversal in Weekly Currency Returns?

26th Australasian Finance and Banking Conference 2013
Number of pages: 41 Posted: 30 Apr 2013 Last Revised: 10 Jun 2015
Ahmad Raza, Ben R. Marshall and Nuttawat Visaltanachoti
University of Otago - Department of Accountancy and Finance, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 532 (58,017)

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currency, momentum, reversal

10.

Liquidity Commonality in Commodities

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 30 Posted: 12 May 2010 Last Revised: 27 Jul 2011
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 391 (84,204)
Citation 7

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Commodity, Liquidity, Commonality

11.

Bitcoin Liquidity

Number of pages: 45 Posted: 27 Jun 2018 Last Revised: 05 Jun 2019
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 376 (88,186)
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Bitcoin, Liquidity, Cryptocurrency

12.

Risk Perceptions and International Stock Market Liquidity

29th Australasian Finance and Banking Conference 2016
Number of pages: 59 Posted: 25 May 2016 Last Revised: 27 May 2018
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - Department of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 331 (101,908)
Citation 2

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liquidity, international stock markets, risk perception, VIX

13.

Stock Market Liquidity and Trading Activity: Is China Different?

Number of pages: 47 Posted: 04 Apr 2017 Last Revised: 29 Jun 2017
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - Department of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 322 (105,117)

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Liquidity, trading activity, volume, stock market, China

14.

Market Volatility, Liquidity Shocks, and Stock Returns: Worldwide Evidence

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018
Number of pages: 56 Posted: 13 Nov 2017 Last Revised: 18 Mar 2018
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - Department of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 307 (110,715)

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market volatility, liquidity, returns, international stock markets

15.

Frontier Market Transaction Costs and Diversfication

Number of pages: 40 Posted: 13 Oct 2011 Last Revised: 20 Nov 2013
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 296 (115,205)
Citation 5

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Frontier market, liquidity, transaction cost, diversification

16.

Time Diversification in Developed and Emerging Markets

Number of pages: 33 Posted: 12 Feb 2008 Last Revised: 10 May 2009
Hamish D. Anderson, Christopher B. Malone and Ben R. Marshall
Massey University - School of Economics and Finance, School of Economics and Finance, Massey University and Massey University - School of Economics and Finance
Downloads 286 (119,366)
Citation 1

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stocks, bonds, value at risk, VaR, investment horizon, time diversification, time in the market, emerging markets

17.

Liquidity Measurement in Frontier Markets

Number of pages: 26 Posted: 30 Oct 2012
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 262 (130,883)
Citation 1

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frontier market, liquidity proxy, transaction cost

18.

Risk Reduction Using Trailing Stop-Loss Rules

Number of pages: 31 Posted: 01 Apr 2019
Bochuan Dai, Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 261 (131,429)

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Stop-Loss Rule, Risk Reduction

19.

Takeover Motives in a Weak Regulatory Environment Surrounding a Market Shock

Number of pages: 31 Posted: 13 Jun 2006
Hamish D. Anderson and Ben R. Marshall
Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 261 (131,429)

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Mergers and Acquisitions Motives, Regulation, Stock Market Crash

20.

Do Liquidity Proxies Measure Liquidity Accurately in ETFs?

2016 Financial Markets and Corporate Governance
Number of pages: 48 Posted: 11 Dec 2015 Last Revised: 31 Jul 2017
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 252 (136,227)
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Liquidity Measurement, Liquidity Proxy, Transaction Costs, Exchange Traded Funds, ETF

21.

Peer Effects, Personal Characteristics and Asset Allocation

Number of pages: 40 Posted: 13 Jun 2014 Last Revised: 21 Jul 2015
Annie Zhang, Ben Jacobsen and Ben R. Marshall
The University of Auckland, Tilburg University - TIAS School for Business and Society and Massey University - School of Economics and Finance
Downloads 236 (145,192)
Citation 1

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Asset allocation, behavioral finance, financial advice, household finance, individual investors, mutual funds, personal characteristics, peer effects, social

22.

A Note on Intraday Event Studies

Number of pages: 24 Posted: 09 Aug 2017 Last Revised: 17 Aug 2017
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 202 (168,255)
Citation 1

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Intraday, Event Study

23.

The Announcement and Implementation Reaction to China’s Margin Trading and Short Selling Pilot Programme

Sharif, S., Anderson, H.D. & Marshall, B.R. (2014). The Announcement and Implementation Reaction to China’s Margin Trading and Short Selling Pilot Programme. International Journal of Managerial Finance, Volume 10, Issue 3, pages 368-384.
Number of pages: 39 Posted: 25 Jun 2012 Last Revised: 28 Jun 2019
Saqib Sharif, Hamish D. Anderson and Ben R. Marshall
Institute of Business Administration, Karachi, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 190 (178,031)
Citation 5

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Short selling, Margin trading, China, Information asymmetry, Overvaluation, Volume

24.

Country Governance and International Equity Returns

2016 Financial Markets and Corporate Governance, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 67 Posted: 11 Dec 2015 Last Revised: 16 Jan 2018
Ben R. Marshall, Nhut H. Nguyen, Harvey Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology, Massey University, Massey Business School and Massey University - Department of Economics and Finance
Downloads 167 (199,398)
Citation 1

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Governance, Return Predictability, International Equity Markets, Information Diffusion, Slow Moving Capital

25.

Does a Change in the Information Environment Affect Labor Adjustment Costs?

Number of pages: 45 Posted: 05 Oct 2018 Last Revised: 30 Jun 2020
Ben R. Marshall, Justin Hung Nguyen, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Victoria University of Wellington, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 162 (204,564)

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Information Environment, Information Asymmetry, Labor Adjustment Costs

26.

Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables

Number of pages: 37 Posted: 13 Mar 2019 Last Revised: 25 Mar 2020
Hui Zeng, Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - Department of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 144 (225,549)

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firm level predictability, macroeconomic and technical predictors, principal component analysis (PCA), limits to arbitrage, cross-sectional predictability, business cycle

27.

Investment Returns Under Right- and Left-Wing Governments in Australasia

Number of pages: 31 Posted: 26 Apr 2007
Hamish D. Anderson, Christopher B. Malone and Ben R. Marshall
Massey University - School of Economics and Finance, School of Economics and Finance, Massey University and Massey University - School of Economics and Finance
Downloads 137 (234,712)
Citation 1

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presidential puzzle, political cycle, investment returns, stock market, real estate market, property returns, bond market

28.

Politics and Liquidity

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 28 Posted: 18 Nov 2016 Last Revised: 29 May 2018
Ben R. Marshall, Harvey Nguyen, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University, Massey Business School, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 125 (251,948)

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Liquidity, Politics, Information Asymmetry, Economic Policy Uncertainty

29.

Active ETF Liquidity

Number of pages: 60 Posted: 08 May 2019 Last Revised: 27 Mar 2020
Son Duy Pham, Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 76 (349,500)

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ETFs; Portfolio Liquidity; Diversification

30.

Asset Class Jumps

Number of pages: 29 Posted: 30 Aug 2017 Last Revised: 19 Apr 2018
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 76 (349,500)

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Asset Classes, Jump Risk

31.

Transaction Costs in an Illiquid Order-Driven Market

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Transaction Costs in an Illiquid Order-Driven Market

Number of pages: 27 Posted: 23 Oct 2014
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 68 (376,120)

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Liquidity, transaction cost, order splitting

Transaction Costs in an Illiquid Order‐Driven Market

Accounting & Finance, Vol. 56, Issue 4, pp. 917-933, 2016
Number of pages: 17 Posted: 05 Dec 2016
Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
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Liquidity, Transaction cost, Order splitting

32.

Predicting ETF Liquidity

Number of pages: 45 Posted: 04 Aug 2020
Son Duy Pham, Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 54 (419,974)

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ETFs, Liquidity, Bid-Ask Spread, Forecasting

33.

Do Stop-loss Rules Add Value in International Equity Market Allocation?

Number of pages: 31 Posted: 29 Sep 2020
Bochuan Dai, Ben R. Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 26 (541,057)

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Asset Allocation, Stop-Loss Rule

34.

Against the Tide: The Commencement of Short Selling and Margin Trading in Mainland China

Accounting & Finance, Vol. 54, Issue 4, pp. 1319-1355, 2014
Number of pages: 37 Posted: 18 Dec 2014
Saqib Sharif, Hamish D. Anderson and Ben R. Marshall
Institute of Business Administration, Karachi, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 0 (740,082)
Citation 1
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Short selling, Margin trading, Overvaluation, Liquidity, Volatility

35.

Sell the Rumour, Buy the Fact?

Accounting & Finance, Vol. 54, Issue 1, pp. 237-249, 2014
Number of pages: 13 Posted: 04 Mar 2014
Ben R. Marshall, Nuttawat Visaltanachoti and Genevieve Cooper
Massey University - School of Economics and Finance, Massey University - Department of Economics and Finance and Massey University
Downloads 0 (740,082)
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Rumour, Gradual Information Diffusion, Investor Inattention, Limits to Arbitrage

Other Papers (2)

Total Downloads: 0
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1.

Financial Distress Prediction in China

Review of Pacific Basin Financial Markets and Policies, Forthcoming
Posted: 26 Sep 2005
Jianguo Chen, Ben R. Marshall, Jenny Zhang and Siva Ganesh
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and affiliation not provided to SSRN

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Financial insolvency, prediction, Chinese market, financial ratios

2.

Country and Sector Effects in Asia Pacific Markets

Posted: 29 May 2005
Jianguo Chen, Ben R. Marshall and Jenny Zhang
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance

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Country effects, Industry Effects, International Finance, Portfolio Risk, Asian Pacific Markets