Andrew Urquhart

ICMA Centre, Henley Business School

Associate Professor Finance

University of Reading

Whiteknights

Reading, Berkshire RG6 6BA

United Kingdom

University of Reading - ICMA Centre

  • ICMA Centre, Henley Business School

SCHOLARLY PAPERS

46

DOWNLOADS
Rank 2,597

SSRN RANKINGS

Top 2,597

in Total Papers Downloads

22,535

SSRN CITATIONS
Rank 3,932

SSRN RANKINGS

Top 3,932

in Total Papers Citations

404

CROSSREF CITATIONS

20

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

  • ICMA Centre, Henley Business School

Scholarly Papers (46)

Actions:
Email selected abstracts
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 2,398 (10,505)
Citation 13

Abstract:

Loading...

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 ICMA Centre, Henley Business School
Downloads 2,274 (11,460)
Citation 19

Abstract:

Loading...

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
Emmanouil Platanakis, Charles Sutcliffe and Andrew Urquhart
University of Bath - School of Management, University of Reading - ICMA Centre and ICMA Centre, Henley Business School
Downloads 2,247 (11,701)
Citation 7

Abstract:

Loading...

Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization

4.

Cryptocurrencies as a Financial Asset: A Systematic Analysis

Number of pages: 49 Posted: 19 Mar 2018
Shaen Corbet, Brian M. Lucey, Andrew Urquhart and Larisa Yarovaya
Dublin City University, Trinity Business School, Trinity College Dublin, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 1,772 (17,017)
Citation 72

Abstract:

Loading...

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 1,674 (18,589)
Citation 74

Abstract:

Loading...

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 ICMA Centre, Henley Business School
Downloads 1,188 (31,002)
Citation 3

Abstract:

Loading...

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

7.

A Seasonality Factor in Asset Allocation

Number of pages: 40 Posted: 05 Nov 2018 Last Revised: 20 Mar 2019
Frank McGroarty, Emmanouil Platanakis, Athanasios Sakkas and Andrew Urquhart
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 1,081 (35,460)

Abstract:

Loading...

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

8.

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 1,071 (35,983)
Citation 1

Abstract:

Loading...

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

9.

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

Number of pages: 23 Posted: 29 Aug 2015
Andrew Urquhart, Jonathan A. Batten, Brian M. Lucey, Frank McGroarty and Maurice Peat
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 978 (40,906)

Abstract:

Loading...

Gold, Silver, Technical analysis, Trading, High frequency

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 631 (73,533)
Citation 55

Abstract:

Loading...

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

11.

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 ICMA Centre, Henley Business School
Downloads 460 (108,730)
Citation 1

Abstract:

Loading...

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

12.

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 455 (109,831)
Citation 4

Abstract:

Loading...

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

13.

What Causes the Attention of Bitcoin?

Number of pages: 12 Posted: 10 Jan 2018
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 442 (113,614)
Citation 37

Abstract:

Loading...

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

14.

Price Clustering in Bitcoin

Number of pages: 7 Posted: 18 Jul 2017
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 422 (119,965)
Citation 34

Abstract:

Loading...

Bitcoin, Price Clustering, Cryptocurrency

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, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 411 (123,681)
Citation 9

Abstract:

Loading...

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

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 381 (134,806)

Abstract:

Loading...

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 348 (148,913)

Abstract:

Loading...

pairs trading, statistical arbitrage, high frequency, gold ETFs

18.

The role of interpersonal trust in cryptocurrency adoption

Number of pages: 45 Posted: 06 May 2022
Akanksha Jalan, Roman Matkovskyy, Andrew Urquhart and Larisa Yarovaya
ESC Rennes School of Business, Rennes School of Business, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 333 (156,046)

Abstract:

Loading...

cryptocurrency, ethical investment, societal trust, cryptocurrency adoption

19.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
Jonathan A. Batten, Brian M. Lucey, Frank McGroarty, Maurice Peat and Andrew Urquhart
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 240 (218,155)

Abstract:

Loading...

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

20.

Forecasting Bitcoin

Number of pages: 39 Posted: 09 Aug 2022
Jian Chen, Michael P. Clements and Andrew Urquhart
Business School, University of Sussex, University of Reading - Henley Business School and ICMA Centre, Henley Business School
Downloads 226 (231,185)
Citation 1

Abstract:

Loading...

Bitcoin, Jump Prediction, Particle Filter, Trading Strategy

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, Rennes School of Business and ICMA Centre, Henley Business School
Downloads 221 (236,123)
Citation 3

Abstract:

Loading...

Bitcoin Futures, Returns, Volatility, Liquidity

22.

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 201 (257,760)
Citation 2

Abstract:

Loading...

Precious Metals, Predictability, Adaptive Market Hypothesis, Market Efficiency

23.

Sentiment Analysis Methods: Survey and Evaluation

Number of pages: 61 Posted: 22 Aug 2022 Last Revised: 14 Nov 2023
Yi Zhu, Andreas G. F. Hoepner, Tony K. Moore and Andrew Urquhart
University of Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Reading - ICMA Centre and ICMA Centre, Henley Business School
Downloads 191 (269,876)

Abstract:

Loading...

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

24.

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 182 (281,563)
Citation 2

Abstract:

Loading...

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

25.

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, ICMA Centre, Henley Business School and Tianjin University - College of Management and Economics
Downloads 167 (303,321)
Citation 7

Abstract:

Loading...

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

26.

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 165 (306,378)
Citation 1

Abstract:

Loading...

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

27.

Bitcoin Under the Microscope

British Accounting Review, Forthcoming
Number of pages: 40 Posted: 05 Jun 2023 Last Revised: 14 Jul 2023
Hossein Jahanshahloo, Felix Irresberger and Andrew Urquhart
Cardiff University, Durham University and ICMA Centre, Henley Business School
Downloads 159 (316,204)
Citation 1

Abstract:

Loading...

Bitcoin, Cryptocurrencies, Blockchain, Miners, Transactions, Transparency

28.

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 ICMA Centre, Henley Business School
Downloads 159 (316,204)

Abstract:

Loading...

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

29.

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 148 (335,591)
Citation 9

Abstract:

Loading...

30.

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 116 (404,042)

Abstract:

Loading...

market efficiency, Euro currency, predictability, changing efficiency

31.

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 109 (422,671)
Citation 2

Abstract:

Loading...

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

32.

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 106 (431,176)
Citation 1

Abstract:

Loading...

Vice Chancellors, Compensation, Pay Gap, Performance

33.

Macroeconomic Momentum and Cross-Sectional Equity Market Indices

Number of pages: 45 Posted: 05 Oct 2023
Stephen Yu Zhang, Andrew Urquhart and Konstantina Kappou
University of Reading - ICMA Centre, ICMA Centre, Henley Business School and University of Reading - ICMA Centre
Downloads 105 (434,076)

Abstract:

Loading...

Macroeconomics, Momentum, Economic Momentum, Country Index

34.

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 ICMA Centre, Henley Business School
Downloads 101 (446,311)

Abstract:

Loading...

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

35.

Demand elasticities of Bitcoin and Ethereum

Downloads 99 (452,346)
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 ICMA Centre, Henley Business School
Downloads 78 (530,292)

Abstract:

Loading...

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 ICMA Centre, Henley Business School
Downloads 21 (898,047)

Abstract:

Loading...

Bitcoin, Ethereum, cryptocurrency, elasticity, demand

36.

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 97 (458,383)
Citation 3

Abstract:

Loading...

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

37.

What Drives Bitcoin’s Price Crash Risk?

Economics Letters, Forthcoming
Number of pages: 11 Posted: 02 Nov 2019
Antonios Nikolaos Kalyvas, Panayiotis Papakyriakou, Athanasios Sakkas and Andrew Urquhart
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 96 (461,552)
Citation 6

Abstract:

Loading...

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

38.

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 89 (484,248)

Abstract:

Loading...

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

39.

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 ICMA Centre, Henley Business School
Downloads 84 (501,735)
Citation 6

Abstract:

Loading...

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

40.

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 84 (501,735)

Abstract:

Loading...

Socially Responsible Investments, Technical Analysis, Data-Snooping

41.

The Instability of Stablecoins

Number of pages: 14 Posted: 10 Nov 2022
Kun Duan and Andrew Urquhart
Wuhan University of Science and Technology and ICMA Centre, Henley Business School
Downloads 71 (552,854)

Abstract:

Loading...

stablecoins, Stability, cryptocurrencies, fractional integration

42.

Macroeconomic Momentum and Cross-Sectional Equity Market

Number of pages: 46 Posted: 09 Nov 2023
Stephen Yu Zhang, Konstantina Kappou and Andrew Urquhart
University of Reading - ICMA Centre, University of Reading - ICMA Centre and ICMA Centre, Henley Business School
Downloads 31 (784,194)

Abstract:

Loading...

Momentum, Macroeconomics, Cross-Sectional, Equity Indices

43.

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
Posted: 14 Feb 2023
Lambis Dionysopoulos, Miriam Marra and Andrew Urquhart
University of Reading - ICMA Centre, University of Reading - ICMA Centre, Henley Business School and ICMA Centre, Henley Business School
Downloads 722

Abstract:

Loading...

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

44.

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

Abstract:

Loading...

Cryptocurrency; MAX effect; Momentum

45.

The Volatility of Bitcoin

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

Abstract:

Loading...

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

46.

BERT Employee Sentiment and Stock Returns

Number of pages: 51
Yi Zhu, Andreas G. F. Hoepner, Tony K. Moore and Andrew Urquhart
University of Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Reading - ICMA Centre and ICMA Centre, Henley Business School
Downloads 0

Abstract:

Loading...

Employee Satisfaction; Sentiment Analysis; BERT