Alexander Kurov

West Virginia University - College of Business & Economics

Dr.

P.O. Box 6025

Morgantown, WV 26506

United States

SCHOLARLY PAPERS

32

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11,757

SSRN CITATIONS
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Top 5,746

in Total Papers Citations

244

CROSSREF CITATIONS

62

Scholarly Papers (32)

1.

Index Option Trading Activity and Market Returns

Management Science, Forthcoming
Number of pages: 59 Posted: 22 Jun 2016 Last Revised: 20 Oct 2019
Emory University - Department of Finance, West Virginia University - College of Business & Economics, Michigan State University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,303 (28,970)
Citation 4

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index options, order flow, information, market efficiency

Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 30 Jul 2015 Last Revised: 10 Nov 2017
West Virginia University - College of Business & Economics, University of London, Royal Holloway College - Department of Economics, European Central Bank (ECB) - Directorate General Research and Skidmore College - Department of Economics
Downloads 718 (65,553)
Citation 9

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Macroeconomic news announcements, financial markets, pre-announcement effect, drift, informed trading

Price Drift Before U.S. Macroeconomic News: Private Information About Public Announcements?

ECB Working Paper No. 1901
Number of pages: 68 Posted: 12 May 2016
West Virginia University - College of Business & Economics, University of London, Royal Holloway College - Department of Economics, European Central Bank (ECB) - Directorate General Research and Skidmore College - Department of Economics
Downloads 308 (179,892)
Citation 5

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Macroeconomic news announcements; financial markets; pre-announcement effect; drift; informed trading

3.

Informational Role of Social Media: Evidence from Twitter Sentiment

Journal of Banking and Finance, Forthcoming
Number of pages: 45 Posted: 21 Jul 2018 Last Revised: 09 Oct 2020
Chen Gu and Alexander Kurov
Shanghai Business School - Research Center of Finance and West Virginia University - College of Business & Economics
Downloads 1,018 (41,266)
Citation 3

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Twitter Sentiment, News Sentiment, Social Media, Return Predictability, Analyst Recommendations, Earnings Forecasts, Target Prices

4.

The Disappearing Pre-FOMC Announcement Drift

Finance Research Letters, Vol. 40, 2021
Number of pages: 20 Posted: 07 Mar 2018 Last Revised: 07 Sep 2021
Alexander Kurov, Marketa Wolfe and Thomas Gilbert
West Virginia University - College of Business & Economics, Skidmore College - Department of Economics and University of Washington - Department of Finance and Business Economics
Downloads 700 (68,647)
Citation 6

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FOMC; Announcements; Drift; Press Conferences

5.

Do Investors Care about Presidential Company-Specific Tweets?

Journal of Financial Research, Forthcoming
Number of pages: 47 Posted: 15 Jun 2017 Last Revised: 30 Aug 2018
Qi Ge, Alexander Kurov and Marketa Wolfe
Vassar College - Department of Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 695 (69,268)
Citation 5

Abstract:

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Twitter, Company-Specific Tweets, President Trump, Stock Price, Trading Volume, Volatility, Investor Attention, Event Study

6.

Investor Sentiment and the Stock Market’s Reaction to Monetary Policy

Journal of Banking and Finance, Forthcoming
Number of pages: 33 Posted: 08 Jul 2009 Last Revised: 08 Jun 2011
Alexander Kurov
West Virginia University - College of Business & Economics
Downloads 590 (85,241)
Citation 7

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Monetary policy, Stock market, Investor sentiment

7.

Macroeconomic Cycles and the Stock Market's Reaction to Monetary Policy

Number of pages: 33 Posted: 13 Feb 2008
Arabinda Basistha and Alexander Kurov
West Virginia University - College of Business & Economics and West Virginia University - College of Business & Economics
Downloads 583 (86,569)
Citation 16

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Monetary policy, stock market, business cycle, credit channel

8.

When Does the Fed Care About Stock Prices?

Journal of Banking and Finance, Forthcoming
Number of pages: 44 Posted: 29 Aug 2018 Last Revised: 31 May 2022
West Virginia University - College of Business & Economics, IndependentUniversity of Tulsa and West Virginia University, Department of Finance
Downloads 525 (98,684)
Citation 1

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Monetary Policy, Stock Returns, Intraday Data, Futures, Identification, Heteroskedasticity

9.

What Drives Informed Trading Before Public Releases? Evidence from Natural Gas Inventory Announcements

Journal of Futures Markets, Forthcoming
Number of pages: 43 Posted: 21 Aug 2016 Last Revised: 29 Mar 2018
Chen Gu and Alexander Kurov
Shanghai Business School - Research Center of Finance and West Virginia University - College of Business & Economics
Downloads 493 (106,671)
Citation 5

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Natural gas futures, Inventory announcements, Pre-announcement effect, Informed trading, Inventory forecasting

Price Dynamics in the Regular and E-Mini Futures Markets

Number of pages: 38 Posted: 07 May 2003
Alexander Kurov and Dennis Lasser
West Virginia University - College of Business & Economics and State University of New York (SUNY) at Binghamton - School of Management
Downloads 480 (108,854)
Citation 8

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Futures, Electronic trading, Exchange locals, Price discovery

Price Dynamics in the Regular and E-Mini Futures Markets

Posted: 07 May 2003
Alexander Kurov and Dennis Lasser
West Virginia University - College of Business & Economics and State University of New York (SUNY) at Binghamton - School of Management

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Futures, Electronic trading, Exchange locals, Price discovery

11.

A Shot in the Arm: The Effect of COVID-19 Vaccine News on Financial and Commodity Markets

The Financial Review, Forthcoming
Number of pages: 70 Posted: 01 Jun 2021 Last Revised: 01 May 2023
Oleg Kucher, Alexander Kurov and Marketa Wolfe
Frostburg State University - Department of Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 438 (122,638)
Citation 2

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COVID-19 vaccine, stock market, interest rates, commodities, foreign exchange

12.

Monetary Policy Uncertainty and the Market Reaction to Macroeconomic News

Journal of Banking and Finance, Forthcoming
Number of pages: 63 Posted: 07 May 2016 Last Revised: 25 Apr 2023
Alexander Kurov and Raluca Stan
West Virginia University - College of Business & Economics and University of Minnesota - Duluth
Downloads 422 (128,089)
Citation 20

Abstract:

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Monetary policy, Macroeconomic announcements, Financial markets, Intraday data

13.

The Information Content of the VIX Options Trading Volume

Journal of Futures Markets, Forthcoming
Number of pages: 37 Posted: 22 Dec 2021 Last Revised: 25 Apr 2023
Chen Gu, Xu Guo, Alexander Kurov and Raluca Stan
Shanghai Business School - Research Center of Finance, Shenzhen University - College of Economics, West Virginia University - College of Business & Economics and University of Minnesota - Duluth
Downloads 395 (138,179)
Citation 1

Abstract:

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VIX options, put-call ratio, information, volatility

14.

Relief Rallies after FOMC Announcements as a Resolution of Uncertainty

Journal of Empirical Finance, Forthcoming
Number of pages: 51 Posted: 16 Jul 2016 Last Revised: 22 Sep 2018
Chen Gu, Alexander Kurov and Marketa Wolfe
Shanghai Business School - Research Center of Finance, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 379 (144,724)
Citation 1

Abstract:

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Monetary policy, FOMC meetings, Communication, Stock returns, Uncertainty

Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility

Number of pages: 54 Posted: 21 Jul 2016 Last Revised: 02 Jun 2019
Arabinda Basistha, Alexander Kurov and Marketa Wolfe
West Virginia University - College of Business & Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 285 (195,357)
Citation 2

Abstract:

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Volatility forecasting, realized volatility, implied volatility, Internet search activity, Google Trends search volume index, information

Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility

Journal of Risk Model Validation, Vol. 14, No. 1
Number of pages: 30 Posted: 09 Feb 2021
Arabinda Basistha, Marketa Wolfe and Alexander Kurov
West Virginia University - College of Business & Economics, Skidmore College - Department of Economics and West Virginia University - College of Business & Economics
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volatility forecasting; realized volatility; implied volatility; internet search activity; Google Trends search volume index; information.

16.

Trading Around Macroeconomic Announcements: Are All Traders Created Equal?

Number of pages: 34 Posted: 07 Apr 2005
Grigori Erenburg, Alexander Kurov and Dennis Lasser
University of Western Ontario - King's University College, West Virginia University - College of Business & Economics and State University of New York (SUNY) at Binghamton - School of Management
Downloads 263 (213,097)
Citation 2

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Macroeconomic announcements, futures, trading, exchange locals

17.

Is it Time to Reduce the Minimum Tick Sizes of the E-Mini Futures?

Number of pages: 41 Posted: 03 Jan 2004
Alexander Kurov and Tatyana Zabotina
West Virginia University - College of Business & Economics and University of Illinois at Springfield
Downloads 255 (219,774)
Citation 2

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Tick size, Spreads, Liquidity, Futures, Electronic trading

18.

What Determines the Stock Market's Reaction to Monetary Policy Statements?

Number of pages: 43 Posted: 08 Jun 2012
Alexander Kurov
West Virginia University - College of Business & Economics
Downloads 248 (225,915)
Citation 4

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Monetary policy, FOMC statements, Stock market, Business cycle

19.

Information and Noise in Financial Markets: Evidence from the E-Mini Index Futures

Number of pages: 37 Posted: 22 Jan 2008 Last Revised: 26 Mar 2008
Alexander Kurov
West Virginia University - College of Business & Economics
Downloads 216 (257,931)
Citation 1

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market microstructure, futures markets, price discovery, transitory volatility

20.

Monetary Policy and Stock Prices: Does the 'Fed Put' Work When It Is Most Needed?

Journal of Futures Markets, Forthcoming
Number of pages: 37 Posted: 21 Mar 2016
Alexander Kurov and Chen Gu
West Virginia University - College of Business & Economics and Shanghai Business School - Research Center of Finance
Downloads 202 (274,331)
Citation 1

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Monetary policy, Stock returns, Intraday data, Financial crisis

21.

What Do Chinese Macro Announcements Tell Us About the World Economy?

Journal of International Money and Finance, Forthcoming
Number of pages: 47 Posted: 15 Oct 2013 Last Revised: 17 Jul 2015
Christopher F. Baum, Alexander Kurov and Marketa Wolfe
Boston College - Department of Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 201 (275,578)
Citation 6

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Macroeconomic news, China, Economic integration, Financial markets, Commodity prices

22.

Market Inefficiencies Surrounding Energy Announcements

Journal of Futures Markets, Forthcoming
Number of pages: 39 Posted: 08 Feb 2021 Last Revised: 07 Sep 2021
Sultan Alturki and Alexander Kurov
King Saud University and West Virginia University - College of Business & Economics
Downloads 199 (278,065)
Citation 2

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Inventory Announcements, Market Efficiency, Financial Market Predictability, Oil Futures, Market Conditions

23.

The Impact of Monetary Policy Surprises on Energy Prices

Journal of Futures Markets, Forthcoming
Number of pages: 31 Posted: 24 Jun 2013 Last Revised: 13 Jul 2013
Arabinda Basistha and Alexander Kurov
West Virginia University - College of Business & Economics and West Virginia University - College of Business & Economics
Downloads 144 (367,437)
Citation 7

Abstract:

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monetary policy, energy prices, macroeconomic news

24.

Trader Survival: Evidence from the Energy Futures Markets

Journal of Futures Markets, 32 (2012), 809-836
Number of pages: 39 Posted: 13 Apr 2011 Last Revised: 04 Nov 2014
Naomi E. Boyd and Alexander Kurov
West Virginia University and West Virginia University - College of Business & Economics
Downloads 138 (379,759)

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Survival, Financial Markets, Market Structure, Futures Markets, Microstructure

25.

Noisy Inventory Announcements and Energy Prices

Forthcoming, The Journal of Futures Markets
Number of pages: 39 Posted: 07 Jun 2013 Last Revised: 24 Jun 2013
Marketa Wolfe, Alexander Kurov and Oleg Kucher
Skidmore College - Department of Economics, West Virginia University - College of Business & Economics and Frostburg State University - Department of Economics
Downloads 133 (390,985)

Abstract:

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futures markets, energy prices, inventory announcements, event study, measurement error

26.

Drift Begone! Release Policies and Preannouncement Informed Trading

Journal of International Money and Finance, Forthcoming
Number of pages: 47 Posted: 01 Jan 2020 Last Revised: 19 Jul 2022
Alexander Kurov, Alessio Sancetta and Marketa Wolfe
West Virginia University - College of Business & Economics, University of London, Royal Holloway College - Department of Economics and Skidmore College - Department of Economics
Downloads 130 (397,962)

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Macroeconomic news announcements, foreign exchange market, release policies, preannouncement effect, drift, informed trading

27.

Estimating Earnings Trend Using Unobserved Components Framework

Economics Letters, Forthcoming
Number of pages: 10 Posted: 09 Dec 2009 Last Revised: 17 Dec 2009
Arabinda Basistha and Alexander Kurov
West Virginia University - College of Business & Economics and West Virginia University - College of Business & Economics
Downloads 93 (506,079)
Citation 1

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Valuation ratios, Unobserved components model

28.

Business Cycle, Storage, and Energy Prices

Review of Financial Economics, Forthcoming
Number of pages: 35 Posted: 10 Aug 2014
Oleg Kucher and Alexander Kurov
Frostburg State University - Department of Economics and West Virginia University - College of Business & Economics
Downloads 82 (546,961)

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Energy Prices, Inventory, Business Cycle

29.

Have the Causal Effects between Equities, Oil Prices, and Monetary Policy Changed Over Time?

Number of pages: 43 Posted: 26 Oct 2023
Eric Olson, Eric Olson, Alexander Kurov and Marketa Wolfe
IndependentUniversity of Tulsa, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 61 (642,431)

Abstract:

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Monetary policy, Financial markets, Oil prices, Intraday data, Futures, Identification, Heteroskedasticity

30.

Monetary Policy and Uncertainty Resolution in Commodity Markets

Finance Research Letters, Forthcoming
Number of pages: 28 Posted: 28 Apr 2023
Chen Gu, Alexander Kurov and Raluca Stan
Shanghai Business School - Research Center of Finance, West Virginia University - College of Business & Economics and University of Minnesota - Duluth
Downloads 60 (647,702)

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Monetary policy, commodity market uncertainty, implied volatility, intraday data

31.

Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets

The Financial Review, Vol. 43, No. 1, February 2008
Posted: 03 Dec 2007
Alexander Kurov
West Virginia University - College of Business & Economics

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feedback trading, investor sentiment, informational efficiency, market microstructure, futures markets

32.

Execution Quality in Open Outcry Futures Markets

Posted: 07 Apr 2005
Alexander Kurov
West Virginia University - College of Business & Economics

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Execution quality, Bid-ask spreads, Liquidity, Futures, Order submission strategies