Ángel Pardo Tornero

University of Valencia - Department of Financial Economics

Avda. del Tarongers, s/n

46022 Valencia

Spain

  • University of Valencia - Department of Financial Economics

SCHOLARLY PAPERS

25

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57

Scholarly Papers (25)

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1.

Calendar Anomalies in Stock Index Futures

Number of pages: 24 Posted: 13 Nov 2011
Oscar Carchano and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 1,460 (28,689)
Citation 2

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calendar effect, stock index futures, simulation method

2.

Pre-Holiday Effect, Large Trades and Small Investor Behaviour

Number of pages: 27 Posted: 12 Jun 2002
Ángel Pardo Tornero and Vicente Meneu
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 1,171 (39,616)
Citation 15

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holiday effect, stocks, order size, small investor behaviour

3.

What You Should Know to Trade in CO2 Markets

Energies, Vol. 1, pp. 120-153, 2008
Number of pages: 54 Posted: 08 Jul 2008 Last Revised: 23 Dec 2008
Maria Mansanet Bataller and Ángel Pardo Tornero
University of Valencia - Faculty of Economics and University of Valencia - Department of Financial Economics
Downloads 728 (76,287)

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Emission Trading, EU ETS, Carbon Markets

4.

On the Hidden Side of Liquidity

European Journal of Finance, Forthcoming
Number of pages: 26 Posted: 31 Oct 2003 Last Revised: 24 Mar 2015
Ángel Pardo Tornero and Roberto Pascual
University of Valencia - Department of Financial Economics and Universidad de las Islas Baleares
Downloads 590 (99,746)
Citation 7

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5.

CO2 Prices and Portfolio Management

Number of pages: 38 Posted: 08 Jul 2008
Maria Mansanet Bataller and Ángel Pardo Tornero
University of Valencia - Faculty of Economics and University of Valencia - Department of Financial Economics
Downloads 471 (131,692)
Citation 7

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CO2 Futures, Portfolio Management, Alternative Assets

6.

Why Investors Should Not Be Cautious About the Academic Approach to Testing for Stock Market Anomalies

Downloads 453 (138,057)
Citation 1

Why Investors Should Not Be Cautious About the Academic Approach to Testing for Stock Market Anomalies

Number of pages: 15 Posted: 24 Nov 2003
Ángel Pardo Tornero and Brian M. Lucey
University of Valencia - Department of Financial Economics and Trinity Business School, Trinity College Dublin
Downloads 453 (136,460)
Citation 1

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conventional approach, pre-holiday effect, academic, investor

Why Investors Should not be Cautious About the Academic Approach to Testing for Stock Market Anomalies

Applied Financial Economics, Vol. 15, No. 3, pp. 165-171, 2005
Posted: 13 Apr 2007
Ángel Pardo Tornero and Brian M. Lucey
University of Valencia - Department of Financial Economics and Trinity Business School, Trinity College Dublin

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conventional approach, pre-holiday effect, academic, investor

7.

Spanish Stock Returns: Rational or Weather-Influenced?

Number of pages: 20 Posted: 01 Oct 2002
Ángel Pardo Tornero and Enric Valor
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 360 (179,214)
Citation 4

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8.

The Effects of National Allocation Plans on Carbon Markets

Number of pages: 38 Posted: 18 Oct 2007 Last Revised: 22 Oct 2014
Maria Mansanet Bataller and Ángel Pardo Tornero
University of Valencia - Faculty of Economics and University of Valencia - Department of Financial Economics
Downloads 323 (201,601)
Citation 10

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Event Study, National Allocation Plans, Carbon Futures Prices

9.

Trading with Asymmetric Volatility Spillovers

University of Valencia Financial Economics Working Paper
Number of pages: 38 Posted: 06 Oct 2003
Ángel Pardo Tornero and Hipòlit Torró
University of Valencia - Department of Financial Economics and University of Valencia
Downloads 303 (215,969)

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Asymmetric Volatility Spillovers, Feedback effect, Large and small firms, IBEX-35, Trading rules

10.

Information Flows Among the Major Stock Market Areas

Number of pages: 19 Posted: 11 May 2001
Francisco J. Climent, Vicente Meneu and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics, University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 246 (267,521)

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Information flows, MSCI index, influence, sensibility, stock market

11.

The Pan-European Holiday Effect

REFC - Spanish Journal of Finance and Accounting, Forthcoming
Number of pages: 26 Posted: 30 Jan 2015
Oscar Carchano and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 227 (289,411)
Citation 1

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Pre-holiday effect, post-holiday effect, stock index futures, bootstrap, Monte Carlo

12.

Open and Closed Positions and Stock Index Futures Volatility

Number of pages: 29 Posted: 13 Nov 2011
Oscar Carchano, Julio J. Lucia and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics, University of Valencia - Faculty of Economics and University of Valencia - Department of Financial Economics
Downloads 172 (374,229)

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volatility, open interest. trading volume

13.

The Effectiveness of Several Market Integration Measures When Facing a Market Turmoil

Number of pages: 38 Posted: 28 Nov 2001
Alejandro Balbás, Ángel Pardo Tornero and Vicente Meneu
Charles III University of Madrid - Department of Business Administration, University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 165 (388,124)

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market integration, statistical techniques, principles of asset valuation, arbitrage, IBEX-35, futures contract

14.

Is the EUA a New Asset Class?

Quantitative Finance (Forthcoming)
Number of pages: 43 Posted: 25 Oct 2011 Last Revised: 27 Nov 2012
Vicente Medina and Ángel Pardo Tornero
University of Valencia and University of Valencia - Department of Financial Economics
Downloads 143 (437,272)

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European Union Allowances (EUAs), Stylized Fact, Asset Class, Commodity

15.

Modeling the Probability of Informed Trading in the European Carbon Market

Number of pages: 46 Posted: 09 Jul 2012
Vicente Medina, Ángel Pardo Tornero and Roberto Pascual
University of Valencia, University of Valencia - Department of Financial Economics and Universidad de las Islas Baleares
Downloads 130 (472,124)

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Probability of Informed Trading (PIN), European Union Allowances (EUAs), Certified Emission Reductions (CERs), European Union Emission Trading Scheme (EU-ETS), market microstructure, high-frequency data, efficiency

16.

The Timeline of Trading Frictions in the European Carbon Market

Energy Economics, 42, 378-394 (2014)
Number of pages: 59 Posted: 26 Oct 2011 Last Revised: 07 Oct 2014
Vicente Medina, Ángel Pardo Tornero and Roberto Pascual
University of Valencia, University of Valencia - Department of Financial Economics and Universidad de las Islas Baleares
Downloads 127 (480,957)
Citation 5

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European Union Emission Trading Scheme; European Union Allowances; trading frictions; informativeness of prices; market quality; market microstructure

17.

Do Carbon Traders Behave as a Herd?

Number of pages: 36 Posted: 02 Aug 2016
Fernando Palao Sánchez and Ángel Pardo Tornero
Repsol Trading, Department of Middle Office and University of Valencia - Department of Financial Economics
Downloads 124 (490,017)
Citation 2

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herding, European Union Allowances, EU ETS, behavioral finance, intraday data

18.

Information Flows Across Wheat Futures Markets

Number of pages: 33 Posted: 06 Apr 2015 Last Revised: 10 Jul 2015
Chris Motengwe and Ángel Pardo Tornero
University of the Witwatersrand and University of Valencia - Department of Financial Economics
Downloads 122 (496,200)

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Wheat futures, Information flows, Cointegration, VAR, Multiple regression

19.

A Study of Seasonality on the SAFEX Wheat Market

Number of pages: 33 Posted: 16 Mar 2015
Chris Motengwe and Ángel Pardo Tornero
University of the Witwatersrand and University of Valencia - Department of Financial Economics
Downloads 109 (540,236)

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Wheat; futures market; seasonality; Monte Carlo simulation; trading rule

20.

Carbon Credits: Who is the Leader of the Pack?

Number of pages: 23 Posted: 25 Oct 2011 Last Revised: 24 Mar 2015
Vicente Medina, Ángel Pardo Tornero and Roberto Pascual
University of Valencia, University of Valencia - Department of Financial Economics and Universidad de las Islas Baleares
Downloads 107 (547,784)

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European Union Allowances, Certified Emission Reductions, co-integration, price-discovery, high frequency data, intraday analysis

21.

Rolling Over EUAs and CERs

Number of pages: 20 Posted: 06 Apr 2012
Oscar Carchano, Ángel Pardo Tornero and Vicente Medina
University of Valencia - Department of Financial Economics, University of Valencia - Department of Financial Economics and University of Valencia
Downloads 101 (571,386)
Citation 3

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Rollover criteria, European Union Allowances, Certificied Emissions Reduction, futures contracts, liquidity

22.

Size Clustering in European Carbon Markets

Number of pages: 29 Posted: 29 Oct 2012
Fernando Palao and Ángel Pardo Tornero
affiliation not provided to SSRN and University of Valencia - Department of Financial Economics
Downloads 79 (665,379)

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clustering, size, EUA, ECX, EU ETS

23.

The Role of Trader Positions in Carbon Market Forecasting

Number of pages: 38 Posted: 25 Apr 2025
Ángel Pardo Tornero, Maria Mansanet-Bataller and Fernando Palao Sánchez
University of Valencia - Department of Financial Economics, affiliation not provided to SSRN and Repsol Trading, Department of Middle Office
Downloads 12 (1,248,665)

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Commitments of Traders reports, EUA, EU ETS, price, volatility

24.

Partisan Politics Theory and Stock Market Performance: Evidence for Spain

Spanish Journal of Finance and Accounting, Forthcoming
Posted: 20 May 2011 Last Revised: 04 Dec 2011
Dolores Furió and Ángel Pardo Tornero
University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics

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politics, excess returns, stock market performance

25.

Integration and Arbitrage in the Spanish Financial Markets: An Empirical Approach

The Journal of Futures Markets, Vol. 20, No. 4, pp. 321-344, 2000
Posted: 30 Aug 2007
Alejandro Balbás, Iñaki Rodríguez-Longarela and Ángel Pardo Tornero
Charles III University of Madrid - Department of Business Administration, Stockholm University - Stockholm Business School and University of Valencia - Department of Financial Economics

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