Andrew Urquhart

ICMA Centre, Henley Business School

Associate Professor Finance

University of Reading

Whiteknights

Reading, Berkshire RG6 6BA

United Kingdom

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 3,801

SSRN RANKINGS

Top 3,801

in Total Papers Downloads

11,001

SSRN CITATIONS
Rank 6,405

SSRN RANKINGS

Top 6,405

in Total Papers Citations

168

CROSSREF CITATIONS

17

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

Scholarly Papers (31)

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 1,581 (11,898)
Citation 9

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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 1,437 (13,900)
Citation 4

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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 1,165 (19,128)
Citation 6

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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 1,037 (22,711)
Citation 48

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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 940 (26,232)
Citation 52

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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, University of Nottingham and ICMA Centre, Henley Business School
Downloads 771 (34,605)

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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, The University of Sydney, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 739 (36,673)

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Gold, Silver, Technical analysis, Trading, High frequency

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 Sheffield University Management School
Downloads 412 (77,302)
Citation 23

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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 289 (115,051)
Citation 20

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Bitcoin, Price Clustering, Cryptocurrency

10.

What Causes the Attention of Bitcoin?

Number of pages: 12 Posted: 10 Jan 2018
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 263 (127,069)
Citation 16

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

11.

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 260 (128,694)
Citation 2

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

12.

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

Number of pages: 49 Posted: 10 Oct 2019 Last Revised: 13 Jul 2020
Zeming Li, Athanasios Sakkas and Andrew Urquhart
University of Southampton, University of Nottingham and ICMA Centre, Henley Business School
Downloads 256 (131,236)

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

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 231 (144,704)
Citation 7

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

14.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
The University of Sydney, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School, The University of Sydney and ICMA Centre, Henley Business School
Downloads 206 (161,265)

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

15.

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 Sheffield University Management School
Downloads 199 (166,551)

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

16.

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 179 (183,318)

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

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 154 (209,660)

Abstract:

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pairs trading, statistical arbitrage, high frequency, gold ETFs

18.

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 152 (210,757)
Citation 1

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

19.

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 147 (216,625)
Citation 1

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

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 121 (252,186)
Citation 1

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Precious Metals, Predictability, Adaptive Market Hypothesis, Market Efficiency

21.

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, ESC Rennes School of Business and ICMA Centre, Henley Business School
Downloads 78 (336,518)

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Bitcoin Futures, Returns, Volatility, Liquidity

22.

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 74 (346,786)
Citation 1

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

23.

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 71 (354,784)

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

24.

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 64 (374,820)

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

25.

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 Sheffield University Management School
Downloads 50 (421,200)

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Socially Responsible Investments, Technical Analysis, Data-Snooping

26.

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

Number of pages: 33 Posted: 30 Jan 2020
Brian M. Lucey, Andrew Urquhart and Hanxiong Zhang
Trinity Business School, Trinity College Dublin, ICMA Centre, Henley Business School and Sheffield University Management School
Downloads 38 (469,093)

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Vice Chancellors, Compensation, Pay Gap, Performance

27.

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, University of Nottingham and ICMA Centre, Henley Business School
Downloads 37 (473,548)
Citation 4

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

28.

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 37 (473,548)

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market efficiency, Euro currency, predictability, changing efficiency

29.

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 Sheffield University Management School
Downloads 13 (611,916)

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

30.

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

31.

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