Adrian Fernandez-Perez

Auckland University of Technology

Research Fellow

AUT City Campus

Private Bag 92006

Auckland, 1142

New Zealand

  • Auckland University of Technology

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    • Tel: +64 9 921 9999
    • Fax: +64 9 921 9940
SCHOLARLY PAPERS

22

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21

CROSSREF CITATIONS

11

Scholarly Papers (22)

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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
Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Open University of the Netherlands - School of Management, Cass Business School, City University of London and Audencia Business School
Downloads 1,590 (12,615)
Citation 11

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Skewness; Commodities; Futures pricing; Selective hedging

2.

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

Journal of Futures Markets, 2015, 35, 3, 274-297
Number of pages: 41 Posted: 14 Dec 2011 Last Revised: 10 Nov 2015
Ana-Maria Fuertes, Joëlle Miffre and Adrian Fernandez-Perez
Cass Business School, City University of London, Audencia Business School and Auckland University of Technology
Downloads 1,457 (14,464)
Citation 2

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commodity futures, momentum, term structure, idiosyncratic volatility

3.

A Comprehensive Appraisal of Style-Integration Methods

Journal of Banking and Finance, Volume 105, August 2019, pages 134-150
Number of pages: 54 Posted: 24 Jul 2017 Last Revised: 20 Feb 2020
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 597 (51,773)
Citation 5

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Style integration; Futures markets; Long-short asset allocation

4.

Is Idiosyncratic Volatility Priced in Commodity Futures Markets?

International Review of Financial Analysis, 2016, 46, 219-226
Number of pages: 30 Posted: 01 Aug 2012 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 591 (52,457)
Citation 5

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Commodity futures; Idiosyncratic volatility; Backwardation; Contango

5.

Speculative Pressure

Journal of Futures Markets, Forthcoming
Number of pages: 39 Posted: 02 Dec 2018 Last Revised: 02 Dec 2019
John Hua Fan, Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 393 (86,325)

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Speculative Pressure, Futures Markets, Risk Premium, Pricing

6.

The Intraday Properties of the VIX and the VXO

Number of pages: 31 Posted: 14 Dec 2016
Adrian Fernandez-Perez, Bart Frijns, Alireza Tourani-Rad and Robert I. Webb
Auckland University of Technology, Open University of the Netherlands - School of Management, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 384 (88,639)

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VIX, Seasonality, Intraday data

7.

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
Adrian Fernandez-Perez, Bart Frijns and Alireza Tourani-Rad
Auckland University of Technology, Open University of the Netherlands - School of Management and Auckland University of Technology - Faculty of Business & Law
Downloads 370 (92,554)
Citation 8

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VIX, VIX Futures, FOMC Announcement, Intraday data

8.

Genetic Algorithm for Arbitrage with More than Three Currencies

DEFI Working Paper No. 12-04
Number of pages: 13 Posted: 19 Jul 2012
Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 338 (102,590)

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arbitrage, foreign exchange market, genetic algorithm

9.

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

Review of Finance, 2017, 21, 3, 1159-1188
Number of pages: 36 Posted: 07 May 2014 Last Revised: 20 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 321 (108,649)
Citation 2

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Commodities; Backwardation; Contango; Long-Run Predictability; Intertemporal Pricing

10.

Commodity Risks and the Cross-Section of Equity Returns

British Accounting Review, Vol. 48, 134-150
Number of pages: 38 Posted: 02 Sep 2014 Last Revised: 20 May 2019
Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre and Ogonna Nneji
University of Reading - ICMA Centre, Auckland University of Technology, Audencia Business School and University of Reading - ICMA Centre
Downloads 286 (122,881)
Citation 2

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Long-only commodity portfolio, term structure portfolio, commodity risk, cross-section of equity returns

11.

COVID-19 Pandemic and Stock Market Response: A Culture Effect

Number of pages: 56 Posted: 08 Jun 2020 Last Revised: 18 Dec 2020
Adrian Fernandez-Perez, Aaron B. Gilbert, Ivan Indriawan and Nhut H. Nguyen
Auckland University of Technology, Auckland University of Technology - Faculty of Business & Law, Auckland University of Technology - Department of Finance and Auckland University of Technology
Downloads 229 (153,706)
Citation 1

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Coronavirus, COVID-19, Pandemic, Culture, Disaster, Abnormal Return, Volatility

12.

Fear of Hazards in Commodity Futures Markets

Journal of Banking and Finance, Vol. 119, 2020
Number of pages: 62 Posted: 30 Jun 2019 Last Revised: 24 Aug 2020
Adrian Fernandez-Perez, Ana-Maria Fuertes, Marcos González-Fernández and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London, Universidad de León and Audencia Business School
Downloads 129 (252,798)

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Commodity futures; Fear; Attention; Hazards; Internet searches; Sentiment; Long-short portfolios

13.

Fear Connectedness Among Asset Classes

Research Institute of Applied Economics Working Paper 2017/03
Number of pages: 42 Posted: 03 Feb 2017
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 129 (252,798)
Citation 1

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Implied volatility indices, Financial market Linkages, Connectedness, Vector Autoregression, Variance Decomposition.

14.

Music Sentiment and Stock Returns

Number of pages: 20 Posted: 06 May 2020
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
Auckland University of Technology, Audencia Business School and Auckland University of Technology - Department of Finance
Downloads 128 (254,213)

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investor sentiment, music, behavioral finance

15.

The Term Structure of Interest Rates as Predictor of Stock Returns: Evidence for the IBEX 35 During a Bear Market

Number of pages: 29 Posted: 17 Jun 2013
Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 104 (295,137)

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Term structure of interest rates, Stock returns, Trading strategies

16.

Capturing Energy Risk Premia

Number of pages: 31 Posted: 07 May 2019
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 102 (299,104)

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Energy futures markets, Risk premium, Long-short portfolios, Integration

17.

Distant or Close Cousins: Connectedness Between Cryptocurrencies and Traditional Currencies Volatilities

Research Institute of Applied Economics, Working Paper 2019/12, 1/74
Number of pages: 74 Posted: 07 Aug 2019
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 81 (345,657)

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Exchange Rates, Cryptocurrencies, Connectedness, Time-Varying Parameters, Stepwise Regressions

18.

Internationalization of Futures Markets: Lessons from China

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 54 Posted: 15 Nov 2019 Last Revised: 08 Sep 2020
John Hua Fan, Adrian Fernandez-Perez, Ivan Indriawan and Neda Todorova
Griffith University - Department of Accounting, Finance and Economics, Auckland University of Technology, Auckland University of Technology - Department of Finance and Griffith University
Downloads 77 (355,993)
Citation 1

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China; Futures markets; Internationalization; Market quality; PTA; Iron ore

19.

Understanding the Negative Pricing of the NYMEX WTI Crude Oil May 2020 Futures Contract

Number of pages: 31 Posted: 16 Dec 2020
Adrian Fernandez-Perez, Ana-Maria Fuertes and Joëlle Miffre
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads 59 (416,760)

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WTI crude oil, Negative price, Theory of storage, Contango, Cash and carry

20.

Time Connectedness of Fear

Number of pages: 42 Posted: 20 Oct 2018
Julián Andrada Félix, Adrian Fernandez-Perez, Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 59 (409,910)

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Implied Volatility Indices, Financial Market Linkages, Connectedness, Vector Autoregression, Variance Decomposition

21.

Natural Gas Storage Forecasts: Is the Crowd Wiser?

Number of pages: 38 Posted: 19 Dec 2019 Last Revised: 07 Mar 2020
Adrian Fernandez-Perez, Alexandre Garel and Ivan Indriawan
Auckland University of Technology, Audencia Business School and Auckland University of Technology - Department of Finance
Downloads 27 (548,847)

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Analyst, Forecast, Crowdsourcing, Natural Gas Inventory, EIA

22.

The Case for Long-Short Commodity Investing

Journal of Alternative Investments, Vol. 18, No. 9, 2015, https://doi.org/10.3905/jai.2015.18.1.092
Posted: 01 Sep 2011 Last Revised: 22 May 2019
Joëlle Miffre and Adrian Fernandez-Perez
Audencia Business School and Auckland University of Technology
Downloads 0 (754,953)

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Commodity futures, Conditional volatility, Conditional correlation, Long-short portfolios, Professional money managers, Financialization