Andrew Urquhart

ICMA Centre, Henley Business School

Associate Professor Finance

University of Reading

Whiteknights

Reading, Berkshire RG6 6BA

United Kingdom

SCHOLARLY PAPERS

24

DOWNLOADS
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SSRN RANKINGS

Top 6,087

in Total Papers Downloads

7,004

CITATIONS
Rank 9,300

SSRN RANKINGS

Top 9,300

in Total Papers Citations

59

Scholarly Papers (24)

1.

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, ICMA Centre, Henley Business School and affiliation not provided to SSRN
Downloads 920 (24,147)
Citation 10

Abstract:

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

2.

The Inefficiency of Bitcoin

Number of pages: 7 Posted: 24 Aug 2016 Last Revised: 26 Aug 2016
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 766 (31,133)
Citation 53

Abstract:

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Bitcoin, Market Efficiency, Cryptocurrency, Random Walk

3.

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 ICMA Centre, Henley Business School
Downloads 731 (33,244)
Citation 2

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

4.

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 ICMA Centre, Henley Business School
Downloads 673 (37,235)
Citation 3

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Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization

5.

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

Number of pages: 23 Posted: 29 Aug 2015
ICMA Centre, Henley Business School, Universiti Utara Malaysia, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 658 (38,236)
Citation 1

Abstract:

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Gold, Silver, Technical analysis, Trading, High frequency

6.

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, University of Southampton and ICMA Centre, Henley Business School
Downloads 527 (51,120)

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

7.

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 ICMA Centre, Henley Business School
Downloads 427 (66,556)
Citation 2

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Cryptocurrencies, Estimation Errors, Portfolio Optimization

8.

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
ICMA Centre, Henley Business School and University of Lincoln (UK)
Downloads 348 (84,421)
Citation 10

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

9.

Price Clustering in Bitcoin

Number of pages: 7 Posted: 18 Jul 2017
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 239 (126,273)
Citation 22

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Bitcoin, Price Clustering, Cryptocurrency

10.

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
ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 220 (136,973)

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

11.

What Causes the Attention of Bitcoin?

Number of pages: 12 Posted: 10 Jan 2018
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 211 (142,551)
Citation 10

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

12.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
Universiti Utara Malaysia, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School, The University of Sydney and ICMA Centre, Henley Business School
Downloads 199 (150,485)
Citation 2

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

13.

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, ICMA Centre, Henley Business School and University of Southampton - School of Management
Downloads 180 (165,038)
Citation 2

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

14.

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, ICMA Centre, Henley Business School and University of Southampton - School of Management
Downloads 145 (198,458)
Citation 1

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

15.

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, ICMA Centre, Henley Business School and University of Southampton - School of Management
Downloads 145 (198,458)

Abstract:

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

16.

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
ICMA Centre, Henley Business School and University of Lincoln (UK)
Downloads 137 (207,702)

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

17.

Ultra-High-Frequency Pairs Trading in Gold ETFs

Number of pages: 31 Posted: 07 Jun 2017
Thong Dao, Frank McGroarty and Andrew Urquhart
University of Southampton - Business School, University of Southampton - Southampton Business School and ICMA Centre, Henley Business School
Downloads 121 (228,715)

Abstract:

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pairs trading, statistical arbitrage, high frequency, gold ETFs

18.

How Predictable Are Precious Metal Returns?

Number of pages: 28 Posted: 20 Aug 2015 Last Revised: 26 Aug 2016
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 113 (240,439)
Citation 2

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Precious Metals, Predictability, Adaptive Market Hypothesis, Market Efficiency

19.

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 ICMA Centre, Henley Business School
Downloads 70 (325,073)

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

20.

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, ICMA Centre, Henley Business School and University of Southampton - School of Management
Downloads 70 (325,073)

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

21.

Should Ethical Traders Employ Technical Analysis?

Number of pages: 41 Posted: 12 Jul 2018
Andrew Urquhart and Hanxiong Zhang
ICMA Centre, Henley Business School and University of Lincoln (UK)
Downloads 43 (407,768)

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Socially Responsible Investments, Technical Analysis, Data-Snooping

22.

Technical Analysis and Cryptocurrencies

Number of pages: 33 Posted: 03 Jun 2019
Robert Hudson and Andrew Urquhart
Hull University Business School (HUBS) and ICMA Centre, Henley Business School
Downloads 32 (456,546)

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

23.

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
ICMA Centre, Henley Business School
Downloads 29 (465,998)
Citation 1

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market efficiency, Euro currency, predictability, changing efficiency

24.

The Volatility of Bitcoin

Posted: 22 Feb 2017
Andrew Urquhart
ICMA Centre, Henley Business School

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