Andrew Urquhart

University of Birmingham - Birmingham Business School

Edgbaston Park Road

Birmingham, B15 2TY

United Kingdom

SCHOLARLY PAPERS

53

DOWNLOADS
Rank 2,456

SSRN RANKINGS

Top 2,456

in Total Papers Downloads

25,911

SSRN CITATIONS
Rank 3,316

SSRN RANKINGS

Top 3,316

in Total Papers Citations

548

CROSSREF CITATIONS

20

Ideas:
“  Fintech in general, but specifically Crowdfunding, Cryptocurrencies and Blockchain, as well as high-frequency trading, investments and corporate governance.  ”

Scholarly Papers (53)

1.

Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach

The British Accounting Review, Forthcoming
Number of pages: 41 Posted: 07 Aug 2018 Last Revised: 23 Jun 2019
Emmanouil Platanakis and Andrew Urquhart
University of Bath - School of Management and University of Birmingham - Birmingham Business School
Downloads 2,508 (11,294)
Citation 13

Abstract:

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Bitcoin; Diversification; Out-of-Sample Performance; Portfolio Optimization

2.

Portfolio Management with Cryptocurrencies: The Role of Estimation Risk

Economics Letters, Forthcoming
Number of pages: 12 Posted: 09 Dec 2018 Last Revised: 23 Jan 2019
Emmanouil Platanakis and Andrew Urquhart
University of Bath - School of Management and University of Birmingham - Birmingham Business School
Downloads 2,326 (12,740)
Citation 23

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Cryptocurrencies, Estimation Errors, Portfolio Optimization

3.

Optimal vs. Naïve Diversification in Cryptocurrencies

Economics Letters, Forthcoming
Number of pages: 11 Posted: 27 Jul 2018 Last Revised: 23 Jan 2019
University of Bath - School of Management, University of Reading - ICMA Centre and University of Birmingham - Birmingham Business School
Downloads 2,259 (13,348)
Citation 7

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Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization

4.

Cryptocurrencies as a Financial Asset: A Systematic Analysis

Number of pages: 49 Posted: 19 Mar 2018
Dublin City University, Trinity Business School, Trinity College Dublin, University of Birmingham - Birmingham Business School and University of Southampton - Southampton Business School
Downloads 2,074 (15,340)
Citation 72

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Cryptocurrencies, Pricing Bubbles, Regulation, Cyber Criminality, Systematic Literature Review

5.

The Inefficiency of Bitcoin

Number of pages: 7 Posted: 24 Aug 2016 Last Revised: 26 Aug 2016
Andrew Urquhart
University of Birmingham - Birmingham Business School
Downloads 1,811 (18,993)
Citation 74

Abstract:

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Bitcoin, Market Efficiency, Cryptocurrency, Random Walk

6.

Technical Analysis and Cryptocurrencies

Annals of Operations Research, Forthcoming
Number of pages: 33 Posted: 03 Jun 2019 Last Revised: 09 Sep 2019
Robert Hudson and Andrew Urquhart
Hull University Business School (HUBS) and University of Birmingham - Birmingham Business School
Downloads 1,367 (28,957)
Citation 3

Abstract:

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Technical Analysis, Cryptocurrencies, Bitcoin, Data-Snooping, Market Efficiency

7.

Intraday Time Series Momentum: Global Evidence and Links to Market Characteristics

Journal of Financial Markets, Forthcoming
Number of pages: 62 Posted: 10 Oct 2019 Last Revised: 08 Jan 2021
Zeming Li, Athanasios Sakkas and Andrew Urquhart
University of Bristol, Athens University of Economics and Business - Department of Accounting and Finance and University of Birmingham - Birmingham Business School
Downloads 1,263 (32,617)
Citation 4

Abstract:

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High frequency trading, Intraday, International markets, Momentum, Market characteristics

8.

A Seasonality Factor in Asset Allocation

Number of pages: 40 Posted: 05 Nov 2018 Last Revised: 20 Mar 2019
University of Southampton - Southampton Business School, University of Bath - School of Management, Athens University of Economics and Business - Department of Accounting and Finance and University of Birmingham - Birmingham Business School
Downloads 1,170 (36,333)

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asset allocation; turn-of-the-month; seasonality; timing; portfolio optimization

9.

Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver

Number of pages: 23 Posted: 29 Aug 2015
University of Birmingham - Birmingham Business School, RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 1,029 (43,712)

Abstract:

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Gold, Silver, Technical analysis, Trading, High frequency

10.

Central Bank Digital Currencies: A Critical Review

Lambis Dionysopoulos, Miriam Marra, Andrew Urquhart, Central bank digital currencies: A critical review, International Review of Financial Analysis, Volume 91, 2024, 103031, ISSN 1057-5219, https://doi.org/10.1016/j.irfa.2023.103031. (https://www.sciencedirect.com/science/article/pii/S105752
Number of pages: 55 Posted: 14 Feb 2023 Last Revised: 29 Nov 2023
Lambis Dionysopoulos, Miriam Marra and Andrew Urquhart
University of Reading - ICMA Centre, University of Reading - ICMA Centre, Henley Business School and University of Birmingham - Birmingham Business School
Downloads 870 (55,162)
Citation 2

Abstract:

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Central Bank Digital Currency, CBDC, Monetary Policy, Financial Stability, Blockchain.

11.

Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis

Number of pages: 25 Posted: 10 Feb 2018
Andrew Urquhart and Hanxiong Zhang
University of Birmingham - Birmingham Business School and University Of Surrey
Downloads 711 (72,143)
Citation 68

Abstract:

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Safe Haven; Hedge; Bitcoin; High Frequency; Dynamic Conditional Correlation

12.

Forecasting GDP Growth Rates Using Google Trends in the United States and Brazil

Number of pages: 53 Posted: 09 Jun 2021 Last Revised: 12 Oct 2022
Evripidis Bantis, Michael P. Clements and Andrew Urquhart
ICMA Centre, Henley Business School, University of Reading - Henley Business School and University of Birmingham - Birmingham Business School
Downloads 501 (111,940)
Citation 1

Abstract:

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Big Data, Google Search, Factor Models, Nowcasting, Variable Selection

13.

The Adaptive Market Hypothesis and Stock Return Predictability: Evidence from Major Stock Indices

Number of pages: 29 Posted: 08 Aug 2015
Andrew Urquhart and Frank McGroarty
University of Birmingham - Birmingham Business School and University of Southampton - Southampton Business School
Downloads 496 (113,262)
Citation 4

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Adaptive market hypothesis, stock return predictability, market conditions, market efficiency

14.

What Causes the Attention of Bitcoin?

Number of pages: 12 Posted: 10 Jan 2018
Andrew Urquhart
University of Birmingham - Birmingham Business School
Downloads 471 (120,758)
Citation 48

Abstract:

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Investor Attention, Bitcoin, Google Search Volume Index, Realized Volatility

15.

The Intraday Dynamics of Bitcoin

Number of pages: 24 Posted: 07 Aug 2017
Andrea Eross, Frank McGroarty, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, University of Southampton - Southampton Business School, University of Birmingham - Birmingham Business School and University of Southampton - Southampton Business School
Downloads 442 (129,883)
Citation 9

Abstract:

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Bitcoin; Cryptocurrency; Intraday Patterns; Granger causality; Lead-Lag; High-Frequency

16.

Price Clustering in Bitcoin

Number of pages: 7 Posted: 18 Jul 2017
Andrew Urquhart
University of Birmingham - Birmingham Business School
Downloads 442 (129,883)
Citation 41

Abstract:

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Bitcoin, Price Clustering, Cryptocurrency

17.

Do Momentum and Reversal Strategies Work in Commodity Futures? A Comprehensive Study

Number of pages: 36 Posted: 15 Nov 2018
Andrew Urquhart and Hanxiong Zhang
University of Birmingham - Birmingham Business School and University Of Surrey
Downloads 436 (131,987)

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Commodity futures, Momentum, Reversal, Formation-holding windows, Herding

18.

The role of interpersonal trust in cryptocurrency adoption

Number of pages: 45 Posted: 06 May 2022
ESC Rennes School of Business, Rennes School of Business, University of Birmingham - Birmingham Business School and University of Southampton - Southampton Business School
Downloads 423 (137,527)
Citation 5

Abstract:

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cryptocurrency, ethical investment, societal trust, cryptocurrency adoption

19.

Ultra-High-Frequency Pairs Trading in Gold ETFs

Number of pages: 31 Posted: 07 Jun 2017
Thong Dao, Frank McGroarty and Andrew Urquhart
Nottingham Trent University, University of Southampton - Southampton Business School and University of Birmingham - Birmingham Business School
Downloads 404 (144,259)

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pairs trading, statistical arbitrage, high frequency, gold ETFs

20.

Cryptocurrency Volume-Weighted Time Series Momentum

Number of pages: 67 Posted: 12 May 2024
Zih-Chun Huang, Ivan Sangiorgi and Andrew Urquhart
University of Reading - ICMA Centre, ICMA Centre, Henley Business School, University of Reading and University of Birmingham - Birmingham Business School
Downloads 348 (170,098)

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Cryptocurrency, Time-series momentum, Trading volume, Return predictability

21.

Sentiment Analysis Methods: Survey and Evaluation

Number of pages: 61 Posted: 22 Aug 2022 Last Revised: 14 Nov 2023
University of Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Reading - ICMA Centre and University of Birmingham - Birmingham Business School
Downloads 284 (211,021)
Citation 1

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Sentiment Analysis, Lexicon-based Approach, Machine Learning, BERT

From Whales to Waves: The Role of Social Media Sentiment in Shaping Cryptocurrency Markets

Number of pages: 26 Posted: 13 Feb 2024
Judge Business School, University of Cambridge, Cranfield University, New York University (NYU), Trinity Business School, Trinity College Dublin and University of Birmingham - Birmingham Business School
Downloads 238 (250,594)

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Sentiment analysis; asymmetric TVP-VAR; Market Dynamics; Cryptocurrency; Whales

From Whales to Waves: The Role of Social Media Sentiment in Shaping Cryptocurrency Markets

Number of pages: 35 Posted: 23 Oct 2024
Judge Business School, University of Cambridge, Cranfield University, affiliation not provided to SSRN, Trinity Business School, Trinity College Dublin and University of Birmingham - Birmingham Business School
Downloads 21 (1,020,185)

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Sentiment analysis, asymmetric TVP-VAR, Market Dynamics, Cryptocurrency, Whales

Scoring goals: The impact of English Premier League football teams on local university admissions

Accepted in Economics Letters
Number of pages: 17 Posted: 08 Apr 2024
University of Stirling - School of Management, University of Reading - ICMA Centre, University of Reading, University of Reading and University of Birmingham - Birmingham Business School
Downloads 247 (241,477)

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professional football, relegation, local economy, regression-discontinuity design, higher education demand JEL codes: I20, R19, Z20

Scoring goals: The impact of English Premier League football teams on local university admissions

Number of pages: 17 Posted: 11 Mar 2024
University of Stirling - School of Management, University of Reading - ICMA Centre, University of Reading, University of Reading and University of Birmingham - Birmingham Business School
Downloads 11 (1,140,147)

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professional football, relegation, local economy, regression-discontinuity design, higher education demand JEL codes: I20, R19, Z20

24.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School, The University of Sydney and University of Birmingham - Birmingham Business School
Downloads 257 (233,419)

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Precious metals; High-frequency; Intraday periodicity; Correlation; Gold; Silver; Platinum; Palladium

25.

What If Bitcoin Futures Had Never Been Introduced?

Number of pages: 46 Posted: 08 Dec 2019
Akanksha Jalan, Roman Matkovskyy and Andrew Urquhart
ESC Rennes School of Business, Rennes School of Business and University of Birmingham - Birmingham Business School
Downloads 241 (248,789)
Citation 4

Abstract:

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Bitcoin Futures, Returns, Volatility, Liquidity

26.

What Drives Stablecoin Growth?

Number of pages: 45 Posted: 16 Apr 2024
Lambis Dionysopoulos, Miriam Marra and Andrew Urquhart
University of Reading - ICMA Centre, University of Reading - ICMA Centre, Henley Business School and University of Birmingham - Birmingham Business School
Downloads 231 (259,109)

Abstract:

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Stablecoin, Financial Markets, Safe Assets, Cryptocurrency, Blockchain

27.

How Predictable Are Precious Metal Returns?

Number of pages: 28 Posted: 20 Aug 2015 Last Revised: 26 Aug 2016
Andrew Urquhart
University of Birmingham - Birmingham Business School
Downloads 222 (268,996)
Citation 3

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Precious Metals, Predictability, Adaptive Market Hypothesis, Market Efficiency

28.

Bitcoin Under the Microscope

British Accounting Review, Forthcoming
Number of pages: 40 Posted: 05 Jun 2023 Last Revised: 14 Jul 2023
Cardiff University, Durham University and University of Birmingham - Birmingham Business School
Downloads 200 (296,447)
Citation 1

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Bitcoin, Cryptocurrencies, Blockchain, Miners, Transactions, Transparency

29.

An Early Warning Indicator for Liquidity Shortages in the Interbank Market

Number of pages: 30 Posted: 12 Sep 2015 Last Revised: 29 Oct 2016
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, University of Birmingham - Birmingham Business School and University of Southampton - Southampton Business School
Downloads 196 (301,964)
Citation 2

Abstract:

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interbank market, liquidity, financial crisis, regime switching, Bayesian

30.

Modelling Price and Variance Jump Clustering Using the Marked Hawkes Process

Journal of Financial Econometrics, Forthcoming
Number of pages: 51 Posted: 27 Dec 2021 Last Revised: 04 Jun 2023
Jian Chen, Michael P. Clements and Andrew Urquhart
Business School, University of Sussex, University of Reading - Henley Business School and University of Birmingham - Birmingham Business School
Downloads 187 (315,086)

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Jump Clustering, Marked Hawkes Process, Self-excitation, Bayesian Inference

31.

Forecasting the Volatility of Bitcoin: The Importance of Jumps and Structural Breaks

European Financial Management, Forthcoming
Number of pages: 40 Posted: 17 Sep 2019 Last Revised: 15 Dec 2019
Dehua Shen, Andrew Urquhart and Pengfei Wang
School of Finance, Nankai University, University of Birmingham - Birmingham Business School and Tianjin University - College of Management and Economics
Downloads 180 (326,161)
Citation 9

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Volatility Forecasting, Bitcoin, Realized Volatility, Jumps, Structural Breaks

32.

Liquidity Risk Contagion in the Interbank Market

Number of pages: 33 Posted: 03 Feb 2016 Last Revised: 26 Aug 2016
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, University of Birmingham - Birmingham Business School and University of Southampton - Southampton Business School
Downloads 180 (326,161)
Citation 3

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Interbank market, Liquidity shocks, Structural breaks, Financial crisis, Contagion

33.

The Financial Impact of Financial Fair Play Regulation: Evidence from the English Premier League

Number of pages: 40 Posted: 08 Jul 2023
Mobolaji Alabi and Andrew Urquhart
affiliation not provided to SSRN and University of Birmingham - Birmingham Business School
Downloads 169 (344,747)

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Governance, UEFA, financial fair flay, football finance, football club performance

34.

Female CFOs, Leverage and the Moderating Role of Board Diversity and CEO Power

Journal of Corporate Finance, Forthcoming
Number of pages: 53 Posted: 18 Feb 2021
Lisa Schopohl, Andrew Urquhart and Hanxiong Zhang
ICMA Centre, Henley Business School, University of Reading, University of Birmingham - Birmingham Business School and University Of Surrey
Downloads 168 (346,555)
Citation 19

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35.
Downloads 155 (370,891)
Citation 1

Demand elasticities of Bitcoin and Ethereum

Economics Letters, Forthcoming
Number of pages: 11 Posted: 25 Sep 2022
Akanksha Jalan, Roman Matkovskyy and Andrew Urquhart
ESC Rennes School of Business, Rennes School of Business and University of Birmingham - Birmingham Business School
Downloads 120 (455,473)

Abstract:

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Bitcoin, Ethereum, cryptocurrency, elasticity, demand

Demand Elasticities of Bitcoin and Ethereum

Number of pages: 11 Posted: 24 Feb 2023
Akanksha Jalan, Roman Matkovskyy and Andrew Urquhart
ESC Rennes School of Business, Rennes School of Business and University of Birmingham - Birmingham Business School
Downloads 35 (881,608)

Abstract:

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Bitcoin, Ethereum, cryptocurrency, elasticity, demand

36.

The Euro and European Stock Market Efficiency

Applied Financial Economics, Vol. 24, No. 19, 2014
Number of pages: 25 Posted: 11 Feb 2014 Last Revised: 20 Aug 2015
Andrew Urquhart
University of Birmingham - Birmingham Business School
Downloads 149 (383,274)

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market efficiency, Euro currency, predictability, changing efficiency

37.

BERT Employee Sentiment and Stock Returns

Number of pages: 51 Posted: 13 Dec 2023
University of Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Reading - ICMA Centre and University of Birmingham - Birmingham Business School
Downloads 144 (393,778)

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Employee Satisfaction; Sentiment Analysis; BERT

38.

Macroeconomic Momentum and Cross-Sectional Equity Market

Number of pages: 46 Posted: 09 Nov 2023
Yu Zhang, Konstantina Kappou and Andrew Urquhart
University of Reading - ICMA Centre, University of Reading - ICMA Centre and University of Birmingham - Birmingham Business School
Downloads 137 (409,501)

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Momentum, Macroeconomics, Cross-Sectional, Equity Indices

39.

Political Uncertainty and Sentiment: Evidence From the Impact of Brexit on Financial Markets

Number of pages: 35 Posted: 23 Jul 2020
Robert Hudson, Andrew Urquhart and Hanxiong Zhang
Hull University Business School (HUBS), University of Birmingham - Birmingham Business School and University Of Surrey
Downloads 133 (419,224)
Citation 4

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Event Study, EU Referendum, Risk, Investor Sentiment, Market Efficiency, GARCH

40.

UK Vice Chancellor Compensation: Do They Get What They Deserve?

Number of pages: 36 Posted: 30 Jan 2020 Last Revised: 24 May 2022
Brian M. Lucey, Andrew Urquhart and Hanxiong Zhang
Trinity Business School, Trinity College Dublin, University of Birmingham - Birmingham Business School and University Of Surrey
Downloads 115 (468,203)
Citation 1

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Vice Chancellors, Compensation, Pay Gap, Performance

41.

Investigating Risk Contagion Initiated by Endogenous Liquidity Shocks: Evidence from the US and Eurozone Interbank Market

Number of pages: 35 Posted: 19 Mar 2016 Last Revised: 05 Feb 2018
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, University of Birmingham - Birmingham Business School and University of Southampton - Southampton Business School
Downloads 112 (477,497)
Citation 3

Abstract:

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Contagion, Endogenous risk, Financial crisis, Interbank market, Liquidity shocks, Regime switching

42.

What Drives Bitcoin’s Price Crash Risk?

Economics Letters, Forthcoming
Number of pages: 11 Posted: 02 Nov 2019
University of Kent, University of Southampton - Department of Banking and Finance, Athens University of Economics and Business - Department of Accounting and Finance and University of Birmingham - Birmingham Business School
Downloads 108 (490,289)
Citation 6

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Bitcoin, Crash Risk, EPU, VIX, VSTOXX, Behavioral Factors

43.

Should Ethical Traders Employ Technical Analysis?

Number of pages: 41 Posted: 12 Jul 2018
Andrew Urquhart and Hanxiong Zhang
University of Birmingham - Birmingham Business School and University Of Surrey
Downloads 101 (514,467)

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Socially Responsible Investments, Technical Analysis, Data-Snooping

44.

Uncertainty of Uncertainty and Firm Cash Holdings

Journal of Financial Stability, Forthcoming
Number of pages: 35 Posted: 12 Feb 2021
John W. Goodell, Abhinav Goyal and Andrew Urquhart
University of Akron - Department of Finance, College of Business Administration, University of Birmingham and University of Birmingham - Birmingham Business School
Downloads 97 (528,535)
Citation 12

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Economic policy uncertainty, Uncertainty of uncertainty, Cash holdings, Real options, Transaction costs

45.

Large Price Changes and Pervasive Non-Linearity in Financial Markets: Implications and Interpretations

Leeds University Business School Working Paper No. 18-03
Number of pages: 47 Posted: 24 Mar 2017
Shima Amini, Robert Hudson, Jian Wang and Andrew Urquhart
University of Leeds, Hull University Business School (HUBS), University of Hull and University of Birmingham - Birmingham Business School
Downloads 97 (528,535)

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Stock Return; Predictability; Large Price Changes; Autocorrelation; Non-linearity; Technical Trading

46.

The Instability of Stablecoins

Number of pages: 14 Posted: 10 Nov 2022
Kun Duan and Andrew Urquhart
Wuhan University of Science and Technology and University of Birmingham - Birmingham Business School
Downloads 81 (590,440)

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stablecoins, Stability, cryptocurrencies, fractional integration

47.

Conditional Demand for Lottery-Type Stocks: Information Spillovers and Asset Prices Comovement

Number of pages: 34 Posted: 21 May 2024
Yu Zhang, Ran Tao, Konstantina Kappou and Andrew Urquhart
University of Reading - ICMA Centre, Accounting and Finance Department, University of Bristol, University of Reading - ICMA Centre and University of Birmingham - Birmingham Business School
Downloads 43 (796,339)

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lottery-type stocks, macroeconomic news, asset prices comovement, information spillovers

48.

Identification and Inference of Long-Run Causal Exogeneity: A Graphical Approach

Number of pages: 45 Posted: 01 May 2024
Emanuele Lopetuso, Michael Clements and Andrew Urquhart
University of Reading - ICMA Centre, University of Reading and University of Birmingham - Birmingham Business School
Downloads 38 (833,596)

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Exogeneity, Causality, Causal Inference, Long-Run Causality, Cointegrated Vector Autoregression

49.

Monetary Policy Shocks and Rational and Na ̈Ive Housing Bubbles

Number of pages: 49 Posted: 30 Apr 2024
Kun Duan, Shuyun Chen, Liya Zhang and Andrew Urquhart
Huazhong University of Science and Technology, affiliation not provided to SSRN, Hong Kong Polytechnic University and University of Birmingham - Birmingham Business School
Downloads 11 (1,100,812)

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Monetary policy surprise, Rational bubble, naive bubble, China, Fractional time series analysis

50.

CEO Social Class and Risk Taking

Number of pages: 63 Posted: 11 Oct 2024
Andrew Urquhart and Hanxiong Zhang
University of Birmingham - Birmingham Business School and Bangor University
Downloads 7 (1,146,892)

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CEO, Social Class, Risk-taking, Leverage

51.

Environmental Attention and Cryptocurrency Bubbles: Insights from the Cryptocurrency Environmental Attention Index

Posted: 07 Oct 2024
Md Shahedur R. Chowdhury and Andrew Urquhart
University of Texas at San Antonio - Alvarez College of Business and University of Birmingham - Birmingham Business School

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JEL classification: C32, F3, G15, M14 Cryptocurrency, Bubbles, Cryptocurrency Environmental Attention, ICEA, Sustainability

52.

MAX Momentum in Cryptocurrency Markets

Posted: 29 Jun 2020
Yi Li, Andrew Urquhart, Pengfei Wang and Wei Zhang
Tianjin University - College of Management and Economics, University of Birmingham - Birmingham Business School, Tianjin University - College of Management and Economics and Tianjin University - College of Management and Economics

Abstract:

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Cryptocurrency; MAX effect; Momentum

53.

The Volatility of Bitcoin

Posted: 22 Feb 2017
Andrew Urquhart
University of Birmingham - Birmingham Business School

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Bitcoin, Realized Volatility, Cryptocurrency, HAR models, GARCH models