Andrew Urquhart

ICMA Centre, Henley Business School

Associate Professor Finance

University of Reading

Whiteknights

Reading, Berkshire RG6 6BA

United Kingdom

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 2,861

SSRN RANKINGS

Top 2,861

in Total Papers Downloads

17,661

SSRN CITATIONS
Rank 4,703

SSRN RANKINGS

Top 4,703

in Total Papers Citations

267

CROSSREF CITATIONS

18

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

Scholarly Papers (37)

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 ICMA Centre, Henley Business School
Downloads 2,215 (9,353)
Citation 13

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

2.

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 2,215 (9,353)
Citation 7

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Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization

3.

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 2,160 (9,787)
Citation 12

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Cryptocurrencies, Estimation Errors, 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, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 1,452 (18,362)
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
ICMA Centre, Henley Business School
Downloads 1,408 (19,216)
Citation 74

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Bitcoin, Market Efficiency, Cryptocurrency, Random Walk

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, Athens University of Economics and Business - Department of Accounting and Finance and ICMA Centre, Henley Business School
Downloads 976 (32,829)

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

7.

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, RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 895 (37,071)

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Gold, Silver, Technical analysis, Trading, High frequency

8.

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 ICMA Centre, Henley Business School
Downloads 840 (40,522)
Citation 3

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

9.

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 ICMA Centre, Henley Business School
Downloads 733 (48,801)

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

10.

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 Surrey
Downloads 559 (68,913)
Citation 37

Abstract:

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

11.

What Causes the Attention of Bitcoin?

Number of pages: 12 Posted: 10 Jan 2018
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 383 (108,142)
Citation 25

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

12.

Price Clustering in Bitcoin

Number of pages: 7 Posted: 18 Jul 2017
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 369 (112,749)
Citation 28

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Bitcoin, Price Clustering, Cryptocurrency

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
ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 367 (113,427)
Citation 4

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

14.

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 - Southampton Business School
Downloads 358 (116,617)
Citation 9

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

15.

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

Number of pages: 53 Posted: 09 Jun 2021 Last Revised: 26 Apr 2022
Evripidis Bantis, Michael P. Clements and Andrew Urquhart
ICMA Centre, Henley Business School, University of Reading - Henley Business School and ICMA Centre, Henley Business School
Downloads 316 (133,236)

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

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 Surrey
Downloads 286 (148,077)

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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
Nottingham Trent University, University of Southampton - Southampton Business School and ICMA Centre, Henley Business School
Downloads 240 (176,180)

Abstract:

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pairs trading, statistical arbitrage, high frequency, gold ETFs

18.

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 ICMA Centre, Henley Business School
Downloads 217 (193,876)

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

19.

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 ICMA Centre, Henley Business School
Downloads 171 (239,477)
Citation 3

Abstract:

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Bitcoin Futures, Returns, Volatility, Liquidity

20.

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 165 (246,797)
Citation 2

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Precious Metals, Predictability, Adaptive Market Hypothesis, Market Efficiency

21.

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 - Southampton Business School
Downloads 156 (258,702)
Citation 1

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

22.

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 - Southampton Business School
Downloads 149 (268,436)
Citation 1

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

23.

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
Tianjin University - College of Management and Economics, ICMA Centre, Henley Business School and Tianjin University - College of Management and Economics
Downloads 130 (298,379)
Citation 5

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

24.

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, ICMA Centre, Henley Business School and University Of Surrey
Downloads 95 (370,224)

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25.

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, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 92 (377,834)

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cryptocurrency, ethical investment, societal trust, cryptocurrency adoption

26.

How Does Social Media Influence Earnings Management?

Number of pages: 52 Posted: 12 Feb 2021 Last Revised: 14 May 2021
Wei Zhang, Yi Li, Andrew Urquhart and Pengfei Wang
Tianjin University - College of Management and Economics, Tianjin University - College of Management and Economics, ICMA Centre, Henley Business School and Tianjin University - College of Management and Economics
Downloads 90 (382,908)

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Internet stock message boards; Earnings management; Cognitive evaluation theory

27.

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, ICMA Centre, Henley Business School and University Of Surrey
Downloads 85 (396,443)

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Vice Chancellors, Compensation, Pay Gap, Performance

28.

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), ICMA Centre, Henley Business School and University Of Surrey
Downloads 84 (399,179)

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

29.

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 - Southampton Business School
Downloads 78 (416,743)
Citation 1

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

30.

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 76 (422,937)

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

31.

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 College Cork and ICMA Centre, Henley Business School
Downloads 67 (452,482)

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

32.

What Drives Bitcoin’s Price Crash Risk?

Economics Letters, Forthcoming
Number of pages: 11 Posted: 02 Nov 2019
Department of Banking and Finance, Southampton Business School, University of Southampton, University of Southampton - Department of Banking and Finance, Athens University of Economics and Business - Department of Accounting and Finance and ICMA Centre, Henley Business School
Downloads 67 (452,482)
Citation 6

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

33.

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 Surrey
Downloads 62 (470,443)

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Socially Responsible Investments, Technical Analysis, Data-Snooping

34.

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 54 (501,704)

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market efficiency, Euro currency, predictability, changing efficiency

35.

Modelling Price and Variance Jump Clustering Using the Marked Hawkes Process

Number of pages: 50 Posted: 27 Dec 2021 Last Revised: 01 Feb 2022
Jian Chen, Michael P. Clements and Andrew Urquhart
University of Reading - Henley Business School, University of Reading - Henley Business School and ICMA Centre, Henley Business School
Downloads 51 (518,697)

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

36.

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, ICMA Centre, Henley Business School, Tianjin University - College of Management and Economics and Tianjin University - College of Management and Economics

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Cryptocurrency; MAX effect; Momentum

37.

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