Lee A. Smales

University of Western Australia

Associate Professor

UWA Business School

35 Stirling Highway

Perth, Western Australia 6009

Australia

SCHOLARLY PAPERS

47

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64

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13

Scholarly Papers (47)

1.
Downloads 5,771 ( 1,813)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
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, Yunjiang 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, Marcel Prokopczuk, Marcel 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, 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, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, 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, Polytechnic University of Marche - Department of Management, 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, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University 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, VU University 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, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, 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 New South Wales (UNSW), Square Research Center, Independent Consultant, 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, North Carolina State University - Department of Business Management, 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 - MNB Institute, Macquarie University, 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 - Department of finance, 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), VU University 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 - Schulich School of Business, HEC Montreal - Department of Finance, 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), VU University 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 University of Economics and Business - Department of Finance, Accounting & Statistics, 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, VU University Amsterdam, Asia University, Department of Finance, 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, VU University 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, VU University 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, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,771 (1,887)

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non-standard errors, multi-analyst approach, liquidity

2.

Gold and Geopolitical Risk

Number of pages: 25 Posted: 13 Feb 2018
Dirk G. Baur and Lee A. Smales
University of Western Australia - Business School and University of Western Australia
Downloads 883 (38,305)
Citation 11

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Gold; safe haven; geopolitical risks; VIX; precious metals; Bitcoin

3.

Time-Varying Relationship of News Sentiment, Implied Volatility and Stock Returns

Applied Economics, Forthcoming, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 23 Posted: 13 Dec 2012 Last Revised: 16 Mar 2016
Lee A. Smales
University of Western Australia
Downloads 661 (56,380)
Citation 2

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VIX, VAR, News Sentiment, S&P500, Equity

4.

The Importance of Fear: Investor Sentiment and Stock Market Returns

Applied Economics, Forthcoming
Number of pages: 34 Posted: 19 Mar 2016 Last Revised: 24 Nov 2016
Lee A. Smales
University of Western Australia
Downloads 555 (70,393)
Citation 5

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Investor sentiment, Financial markets, VIX, Stock markets

5.

'Brexit': A Case Study in the Relationship between Political and Financial Market Uncertainty

International Review of Finance, Forthcoming
Number of pages: 13 Posted: 07 Jul 2016 Last Revised: 01 Aug 2016
Lee A. Smales
University of Western Australia
Downloads 473 (85,641)

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Political uncertainty, Investor sentiment, Implied volatility, Stock markets, Brexit

6.

Investor Attention and Global Market Returns during the COVID-19 Crisis

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 02 Jul 2020 Last Revised: 26 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 390 (107,200)
Citation 5

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Investor Attention, Stock Market Returns, Google Search Volume, COVID-19, Coronavirus

7.

Spreading the Fear: The Central Role of CBOE VIX in Global Stock Market Uncertainty

Global Finance Journal, Forthcoming
Number of pages: 33 Posted: 10 Mar 2019 Last Revised: 14 Sep 2021
Lee A. Smales
University of Western Australia
Downloads 380 (110,399)
Citation 1

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Market uncertainty, Investor fear, Implied volatility, VIX, Linkages, COVID

8.

News Sentiment in the Gold Futures Market

Journal of Banking and Finance, 2014, 49, 275-286
Number of pages: 32 Posted: 22 Aug 2013 Last Revised: 04 Dec 2014
Lee A. Smales
University of Western Australia
Downloads 331 (128,587)
Citation 7

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News sentiment, Gold futures, Trading Behaviour, Market positioning

9.

Risk-On/Risk-Off: Financial Market Response to Investor Fear

Finance Research Letters, Vol. 17, 2016
Number of pages: 17 Posted: 08 Feb 2016 Last Revised: 03 Aug 2016
Lee A. Smales
University of Western Australia
Downloads 325 (131,083)
Citation 3

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VIX, Investor Fear, Financial Markets, Financial Crisis

10.

Bitcoin as a Safe Haven: Is It Even Worth Considering?

Finance Research Letters, Vol. 30, 2019
Number of pages: 21 Posted: 22 Jul 2018 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 276 (155,160)
Citation 13

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Bitcoin, Safe Haven, Gold, Cryptofinance, Cryptocurrency

11.

Investor Attention and the Response of US Stock Sectors to the COVID-19 Crisis

Review of Behavioral Finance, Vol. 13, Issue 1, 20-39
Number of pages: 23 Posted: 15 Jun 2020 Last Revised: 18 May 2021
Lee A. Smales
University of Western Australia
Downloads 235 (181,809)
Citation 2

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Investor Attention, Stock Market Returns, Google Search Volume, COVID-19, Coronavirus

12.

Non-Scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence from the Australian Securities Exchange

Research International Business and Finance, Forthcoming, 25th Australasian Finance and Banking Conference 2012
Number of pages: 27 Posted: 17 Aug 2012 Last Revised: 21 Jun 2014
Lee A. Smales
University of Western Australia
Downloads 182 (229,660)
Citation 2

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News Analytics, Australia, Non-scheduled news, Stock market

13.

Investor Attention in Cryptocurrency Markets

International Review of Financial Analysis, Forthcoming
Number of pages: 29 Posted: 05 Sep 2021 Last Revised: 09 Nov 2021
Lee A. Smales
University of Western Australia
Downloads 180 (231,861)
Citation 2

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Cryptocurrency, Investor attention, Uncertainty, Bitcoin, Google Search Volume

14.

News Sentiment and Measures of Bank Credit Risk

Journal of Empirical Finance, Forthcoming, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 28 Posted: 31 May 2014 Last Revised: 05 May 2016
Lee A. Smales
University of Western Australia
Downloads 163 (252,137)
Citation 2

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News Sentiment, LIBOR, CDS, Credit Risk, TRNA

15.

Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets

Quarterly Review of Economics and Finance, Vol. 80, 2021
Number of pages: 29 Posted: 05 Jul 2019 Last Revised: 16 Aug 2021
Lee A. Smales
University of Western Australia
Downloads 156 (261,585)
Citation 2

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Volatility, Geopolitical risk, Crude Oil, Stock Market, Spillover, GARCH

16.

One Cryptocurrency to Explain Them All? Understanding the Importance of Bitcoin in Cryptocurrency Returns

Economic Papers, Vol.39, No. 2, 118-132
Number of pages: 8 Posted: 04 Sep 2019 Last Revised: 26 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 149 (271,358)

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Cryptocurrency, Bitcoin, Principal Component Analysis, Time-Varying

17.

Do Item Writing Best Practices Improve Multiple Choice Questions for University Students?

Journal of Financial Education, Vol. 45, No. 2, 2019
Number of pages: 36 Posted: 24 May 2018 Last Revised: 27 Oct 2020
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control, University of Western Australia, CFA Institute and University of Technology Sydney (UTS)
Downloads 149 (271,358)

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Assessment, business education, test validity, multiple-choice questions, best practices

18.

Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia

Journal of Financial Research, Forthcoming
Number of pages: 31 Posted: 23 Dec 2011 Last Revised: 10 Jun 2013
Lee A. Smales
University of Western Australia
Downloads 141 (283,436)
Citation 7

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Interest Rates, Futures Markets, Australia, High-Frequency, GFC, Trading Activity

19.

A Game Theory Model of Regulatory Response to Insider Trading

Applied Economics Letters, Forthcoming
Number of pages: 15 Posted: 19 Dec 2012 Last Revised: 08 Jun 2016
Lee A. Smales and Matthias Thul
University of Western Australia and University of New South Wales (UNSW)
Downloads 122 (316,156)

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Regulators, SEC, Insider trading, Game theory, numerical solution, Financial markets

20.

The Effect of Treasury Auctions on 10-Year Treasury Note Futures

Accounting & Finance, Forthcoming
Number of pages: 30 Posted: 26 Jan 2019 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 115 (329,622)

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Treasury Auctions, Futures Markets, Trading, Volatility, 10-Year Note

21.

Bond Futures and Order Imbalance: An International Comparison

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 25 Posted: 07 Nov 2011 Last Revised: 10 Jun 2013
Lee A. Smales
University of Western Australia
Downloads 104 (353,105)

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bond futures, order imbalance, trading volume, dynamic relationship, VAR

22.

Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market

Research in International Business and Finance, 2012, Vol. 26, Issue 3, P410-427, 2012 Financial Markets & Corporate Governance Conference
Number of pages: 28 Posted: 18 Nov 2011 Last Revised: 11 Jan 2013
Lee A. Smales
University of Western Australia
Downloads 99 (364,637)

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Australia, Futures Markets, Macroeconomic News Announcements, Order Imbalance, Interest Rate Futures

23.

30-Day Interbank Futures: Investigating the Process of Price Discovery Following RBA Cash Target Rate Announcements

Journal of International Financial Markets, Institutions and Money, Forthcoming, 24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 35 Posted: 05 Aug 2011 Last Revised: 10 Jan 2012
Lee A. Smales
University of Western Australia
Downloads 95 (374,191)
Citation 3

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Monetary Policy, RBA, Interbank futures, Macroeconomic Events, Futures

24.

Trading Behaviour and Monetary Policy News

Journal of Behavioral Finance, Forthcoming, 28th Australasian Finance and Banking Conference
Number of pages: 33 Posted: 03 Aug 2015 Last Revised: 27 Feb 2017
Lee A. Smales
University of Western Australia
Downloads 94 (376,759)

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Trading behaviour, Stock market, Institutional brokers, Retail brokers, Monetary policy, RBA

FX Market Returns and Their Relationship to Investor Fear

International Review of Finance, Forthcoming
Number of pages: 13 Posted: 13 Jan 2016 Last Revised: 26 Feb 2016
Lee A. Smales and Jardee Kininmonth
University of Western Australia and Curtin University
Downloads 91 (387,835)
Citation 1

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VIX, FX market, Carry trade, GFC

FX Market Returns and Their Relationship to Investor Fear

International Review of Finance, Vol. 16, Issue 4, pp. 659-675, 2016
Number of pages: 17 Posted: 07 Dec 2016
Lee A. Smales and Jardee Kininmonth
University of Western Australia and Curtin University
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Citation 2

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26.

Transitory Fear: Explaining Changes in the VIX Futures Basis

Journal of Investing, Vol. 29, No. 4, 2020
Number of pages: 11 Posted: 13 Jun 2019 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 84 (403,562)

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VIX, Investor Fear, Futures, News Sentiment

27.

Macroeconomic News and Treasury Futures Return Volatility: Do Treasury Auctions Matter?

Global Finance Journal, Forthcoming
Number of pages: 44 Posted: 18 Apr 2019 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 78 (421,249)

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Macroeconomic News, Treasury Auctions, Futures Markets, Volatility, Market Efficiency

28.

How Does Investor Sentiment Shape the Liquidity Response to Monetary Policy Announcements in Precious Metal Markets?

Journal of International Financial Markets, Institutions and Money, Vol. 60, 2019
Number of pages: 31 Posted: 04 Aug 2017 Last Revised: 27 Oct 2020
Lee A. Smales and Brian M. Lucey
University of Western Australia and Trinity Business School, Trinity College Dublin
Downloads 77 (424,425)

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Monetary Policy Decisions, Liquidity, Investor Sentiment, Gold, Silver

29.

RBA Monetary Policy Communication: The Response of Australian Interest Rate Futures to Changes in RBA Monetary Policy

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 28 Posted: 13 Feb 2012 Last Revised: 04 Apr 2012
Lee A. Smales
University of Western Australia
Downloads 77 (424,425)
Citation 10

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Monetary Policy, RBA, Futures Markets, Interest Rate Futures

30.

Trading Behaviour in Closely Related Markets for S&P 500 Index Futures

Review of Financial Economics, Forthcoming
Number of pages: 27 Posted: 11 Jul 2013 Last Revised: 09 Jan 2016
Lee A. Smales
University of Western Australia
Downloads 72 (440,248)

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Investor behaviour, index futures, S&P 500

31.

Does More Complex Language in FOMC Decisions Impact Financial Markets?

Asian Finance Association (AsianFA) 2016 Conference, Journal of International Financial Markets, Institutions and Money, Vol. 51, 2017
Number of pages: 31 Posted: 01 Feb 2016 Last Revised: 27 Oct 2020
Lee A. Smales and Nicholas Apergis
University of Western Australia and University of Piraeus
Downloads 70 (446,934)
Citation 1

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Monetary policy decisions, Financial markets, Federal Reserve, Linguistic complexity, FOMC statements

32.

Commodity Market Volatility in the Presence of U.S. and Chinese Macroeconomic News

Journal of Commodity Markets, Vol. 7, 2017
Number of pages: 21 Posted: 28 Nov 2016 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 68 (453,800)

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Commodity Markets, Macroeconomic Announcements, Volatility, China, GSCI, CRB

33.

Is Investor Attention on r/wallstreetbets Different?

Number of pages: 49 Posted: 08 Apr 2022
Daniel Cahill, Zhangxin Frank Liu and Lee A. Smales
University of Western Australia, Buiness School, The University of Western Australia Business School and University of Western Australia
Downloads 62 (475,386)

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Investor attention, Reddit, social media, event study

34.

Slopes, Spreads, and Depth: Monetary Policy Announcements and Liquidity Provision in the Energy Futures Market

International Review of Economics & Finance, Vol. 59, 2019
Number of pages: 29 Posted: 01 Nov 2016 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 57 (494,697)
Citation 1

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Energy markets, Crude oil futures, WTI, Monetary policy decisions, Liquidity

35.

Oil prices and Clean Energy Stock Prices Revisited

Number of pages: 35 Posted: 28 Oct 2019 Last Revised: 05 Mar 2020
Dirk G. Baur and Lee A. Smales
University of Western Australia - Business School and University of Western Australia
Downloads 51 (519,870)

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renewable energy, oil prices, correlations, spillovers, replication

36.

Better the Devil You Know: The Influence of Political Incumbency on Australian Financial Market Uncertainty

Research in International Business and Finance, 2015, Vol. 33, Page. 59-74
Number of pages: 22 Posted: 19 Mar 2013 Last Revised: 08 Jan 2015
Lee A. Smales
University of Western Australia
Downloads 49 (528,684)

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Political uncertainty, Financial market uncertainty, Implied volatility, Exchange traded options, Stock markets, Australian federal election

37.

The Influence of Policy Uncertainty on Exchange Rate Forecasting

Number of pages: 25 Posted: 16 Mar 2021
Lee A. Smales
University of Western Australia
Downloads 45 (547,268)

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Economic Policy Uncertainty, EPU, Analyst Forecasts, Foreign Exchange Market

38.

Policy Uncertainty in Australian Financial Markets

Australian Journal of Management, Forthcoming
Number of pages: 35 Posted: 05 Sep 2020 Last Revised: 29 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 44 (552,092)

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Economic Policy Uncertainty, Australian Financial Markets, Stock Markets, Bond Yields, Political uncertainty

39.

How Does Policy Uncertainty Influence Financial Market Uncertainty Across the G7?

International Review of Financial Analysis, Vol. 71, 2020
Number of pages: 24 Posted: 31 Jul 2019 Last Revised: 27 Oct 2020
Lee A. Smales
University of Western Australia
Downloads 42 (562,072)

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economic policy uncertainty, financial market uncertainty, implied volatility, EPU, VIX

40.

The Influence of FOMC Member Characteristics on the Monetary Policy Decision-Making Process

Journal of Banking and Finance, Forthcoming
Number of pages: 34 Posted: 11 Aug 2015 Last Revised: 09 Jan 2016
Nick Apergi and Lee A. Smales
Curtin University and University of Western Australia
Downloads 39 (577,436)
Citation 2

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Monetary policy committees, characteristics of committee members, monetary policy rules, FOMC, Federal funds

41.

Order Aggressiveness of Different Broker-Types in Response to Monetary Policy News

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 27 Posted: 16 Mar 2015 Last Revised: 13 Jan 2016
Lee A. Smales
University of Western Australia
Downloads 39 (577,436)

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Order aggressiveness, Limit order book, Institutional brokers, Retail brokers, Monetary policy news, Reserve Bank of Australia

42.

One Session Options: Playing the Announcement Lottery?

Journal of Futures Markets, Forthcoming
Number of pages: 29 Posted: 22 Mar 2021 Last Revised: 16 Aug 2021
University of Western Australia, The University of Western Australia Business School and affiliation not provided to SSRN
Downloads 26 (656,286)

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Lottery-like assets, One Session Options, Trading Volume, Trading Behaviour

43.

A Note on the Relationship between Financial Asset Returns and Well-Being

Applied Economics Letters, Forthcoming
Number of pages: 10 Posted: 19 Feb 2013 Last Revised: 21 Jun 2014
Lee A. Smales
University of Western Australia
Downloads 23 (678,231)

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well-being, asset returns, SP500, asymmetric response, Well-Being Index

44.

The Validity of Investor Sentiment Proxies

International Review of Finance, Vol. 17, Issue 3, pp. 473-477, 2017
Number of pages: 5 Posted: 06 Sep 2017
Curtin University - Centre for Research in Applied Economics, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking, Curtin University - School of Economics and Finance and University of Western Australia
Downloads 3 (862,736)
Citation 1

Abstract:

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45.

Cryptocurrency as an Alternative Inflation Hedge?

Posted: 02 Aug 2021
Lee A. Smales
University of Western Australia
Downloads 676

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Cryptocurrency, Gold, Inflation expectations, Bitcoin, Breakeven inflation rate

46.

'Brexit': A Case Study in the Relationship between Political and Financial Market Uncertainty

International Review of Finance, Vol. 17, Issue 3, pp. 451-459, 2017
Number of pages: 9 Posted: 06 Sep 2017
Lee A. Smales
University of Western Australia
Downloads 0 (906,676)

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47.

The Determinants of RBA Target Rate Decisions: A Choice Modelling Approach

Economic Record, Vol. 89, Issue 287, pp. 556-569, 2013
Number of pages: 14 Posted: 28 Nov 2013
Lee A. Smales
University of Western Australia
Downloads 0 (906,676)

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Other Papers (3)

Total Downloads: 7
1.

How Does Investor Sentiment Shape the Liquidity Response to Monetary Policy Announcements in Precious Metal Markets?

Number of pages: 30 Posted: 03 Aug 2017
Lee A. Smales and Brian M. Lucey
University of Western Australia and Trinity Business School, Trinity College Dublin
Downloads 3

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Monetary policy decisions, Liquidity, Investor Sentiment, Gold, Silver

2.

Investor Sentiment and Japanese Stock Returns

Number of pages: 29 Posted: 29 Jan 2017
Joyce Khuu, Robert B. B. Durand and Lee A. Smales
Curtin University - School of Economics and Finance, Curtin University of Technology - School of Economics and Finance - Department of Finance and Banking and University of Western Australia
Downloads 2

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Sentiment, Fama-French model, Japan

3.

Order Aggressiveness of Different Broker-Types in Response to Monetary Policy News

2015 Financial Markets & Corporate Governance Conference
Number of pages: 27 Posted: 02 Feb 2015 Last Revised: 15 Mar 2015
Lee A. Smales
University of Western Australia
Downloads 2

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Order aggressiveness, Limit order book, Institutional brokers, Retail brokers, Monetary policy news, Reserve Bank of Australia