Ángel Pardo Tornero

University of Valencia - Department of Financial Economics

Avda. del Tarongers, s/n

46022 Valencia

Spain

SCHOLARLY PAPERS

25

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6,588

SSRN CITATIONS
Rank 21,528

SSRN RANKINGS

Top 21,528

in Total Papers Citations

21

CROSSREF CITATIONS

25

Scholarly Papers (25)

1.

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 1,050 (29,641)
Citation 11

Abstract:

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holiday effect, stocks, order size, small investor behaviour

2.

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 965 (33,388)
Citation 2

Abstract:

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calendar effect, stock index futures, simulation method

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 679 (53,899)

Abstract:

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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 503 (78,658)
Citation 4

Abstract:

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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 419 (97,604)
Citation 7

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CO2 Futures, Portfolio Management, Alternative Assets

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 412 (98,742)
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

Abstract:

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conventional approach, pre-holiday effect, academic, investor

7.

Water and Traditional Asset Classes

Number of pages: 36 Posted: 29 Apr 2022 Last Revised: 29 Jun 2022
Ana Carmen Díaz-Mendoza and Ángel Pardo Tornero
University of La Rioja - Department of Economy and Business and University of Valencia - Department of Financial Economics
Downloads 376 (110,534)

Abstract:

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Diversifier, ETFs, hedge, quantile regression, safe haven, water

8.

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 321 (131,356)
Citation 3

Abstract:

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9.
Downloads 271 (141,600)
Citation 3

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 271 (155,838)

Abstract:

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

10.

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 280 (151,484)
Citation 10

Abstract:

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Event Study, National Allocation Plans, Carbon Futures Prices

11.

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 214 (196,664)

Abstract:

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

12.

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 170 (240,962)
Citation 1

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

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
Universidad Carlos III de Madrid - Department of Business Administration, University of Valencia - Department of Financial Economics and University of Valencia - Department of Financial Economics
Downloads 133 (293,547)

Abstract:

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

14.

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 122 (313,125)

Abstract:

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volatility, open interest. trading volume

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 90 (383,343)

Abstract:

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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.

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 89 (385,957)
Citation 1

Abstract:

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

17.

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 89 (385,957)

Abstract:

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

18.

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 86 (394,228)
Citation 5

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

19.

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 79 (414,173)

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

20.

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 78 (417,219)

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

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 64 (463,577)
Citation 3

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

22.

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 63 (467,296)

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

23.

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 35 (593,684)

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clustering, size, EUA, ECX, EU ETS

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
Universidad Carlos III de Madrid - Department of Business Administration, Stockholm University - Stockholm Business School and University of Valencia - Department of Financial Economics

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