Jedrzej Pawel Bialkowski

University of Canterbury - Department of Economics and Finance

Professor of Finance

Private Bag 4800

Christchurch, 8140

New Zealand

  • University of Canterbury - Department of Economics and Finance

SCHOLARLY PAPERS

22

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SSRN CITATIONS
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Top 15,574

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76

CROSSREF CITATIONS

9

Scholarly Papers (22)

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1.

Improving VWAP. Strategies: A Dynamical Volume Approach

Journal of Banking and Finance, Vol. 32, 2008
Number of pages: 61 Posted: 28 Sep 2006 Last Revised: 23 Feb 2018
Jedrzej Pawel Bialkowski, Serge Darolles and Gaëlle Le Fol
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris Dauphine - Department of Finance
Downloads 2,185 (12,249)
Citation 1

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Intraday volume; Factor models; Volume Weighted Average Price; VWAP strategies

2.

The Gold Price in Times of Crisis

Number of pages: 32 Posted: 02 Dec 2010 Last Revised: 03 Aug 2013
Jedrzej Pawel Bialkowski, Martin T. Bohl, Patrick M. Stephan and Tomasz Piotr Wisniewski
University of Canterbury - Department of Economics and Finance, University of Muenster, University of Münster and Open University, UK
Downloads 1,768 (17,096)
Citation 12

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Gold Price, Speculative Bubble, Markov Regime-Switching ADF Test, World Financial Crisis, European Sovereign Debt Crisis

3.

Piety and Profits: Stock Market Anomaly During the Muslim Holy Month

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 55 Posted: 09 Sep 2009 Last Revised: 19 May 2011
Jedrzej Pawel Bialkowski, Ahmad Etebari and Tomasz Piotr Wisniewski
University of Canterbury - Department of Economics and Finance, University of New Hampshire and Open University, UK
Downloads 1,094 (34,889)
Citation 5

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Ramadan Effect, Behavioral Finance, Market Efficiency, Religion

4.

Stock Market Volatility around National Elections

EFA 2006 Zurich Meetings Paper, 20th Australasian Finance & Banking Conference 2007 Paper, European University Viadrina Postgraduate Research Programme Working Paper
Number of pages: 30 Posted: 18 Apr 2006 Last Revised: 14 Apr 2008
Jedrzej Pawel Bialkowski, Katrin Gottschalk and Tomasz Piotr Wisniewski
University of Canterbury - Department of Economics and Finance, Auckland University of Technology - Business School - Department of Finance and Open University, UK
Downloads 770 (56,836)
Citation 34

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Political risk, National elections, Stock market volatility

5.

Optimal VWAP Tracking

Number of pages: 66 Posted: 01 Oct 2013
Daniel Mitchell, Jedrzej Pawel Bialkowski and Stathis Tompaidis
University of Texas at Austin - Red McCombs School of Business, University of Canterbury - Department of Economics and Finance and University of Texas at Austin - McCombs School of Business
Downloads 699 (64,736)
Citation 2

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Volume Weighted Average Price, Algorithmic Trading, Trading Volume, Trading Costs, Dynamic Programming

6.

Emerging Market Mutual Fund Performance: Evidence for Poland

Number of pages: 30 Posted: 18 Oct 2010
Jedrzej Pawel Bialkowski and Rogér Otten
University of Canterbury - Department of Economics and Finance and Maastricht University - Limburg Institute of Financial Economics (LIFE)
Downloads 432 (116,867)
Citation 2

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Mutual funds, Performance evaluation, Polish mutual funds, Emerging markets

7.

Do Mutual Fund Managers Exploit the Ramadan Anomaly? Evidence from Turkey

Emerging Markets Review, Vol. 15, 2013
Number of pages: 44 Posted: 22 Dec 2011 Last Revised: 02 May 2013
Jedrzej Pawel Bialkowski, Martin T. Bohl, Philipp Kaufmann and Tomasz Piotr Wisniewski
University of Canterbury - Department of Economics and Finance, University of Muenster, University of Muenster and Open University, UK
Downloads 325 (160,465)
Citation 2

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Mutual Fund Performance, Ramadan Effect, Calendar Anomaly, Investor Sentiment, Behavioral Finance, Emerging Markets

8.

The Determinants of Office Rents and Yields: The International Evidence

Number of pages: 37 Posted: 07 Feb 2019
Jedrzej Pawel Bialkowski, Sheridan Titman, Garry J. Twite and Garry J. Twite
University of Canterbury - Department of Economics and Finance, University of Texas at Austin - Department of Finance and University of Melbourne - Faculty of Business and EconomicsUniversity of Melbourne - Department of Finance
Downloads 315 (165,823)
Citation 1

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Global Real Estate Market, Capitalization Rate, Office Rental Yield, Office Rental Rates, Financial Centres, Public Transportblic Transport

9.

Political Orientation of Government and Stock Market Returns

Number of pages: 12 Posted: 31 Jul 2006
Jedrzej Pawel Bialkowski, Katrin Gottschalk and Tomasz Piotr Wisniewski
University of Canterbury - Department of Economics and Finance, Auckland University of Technology - Business School - Department of Finance and Open University, UK
Downloads 286 (183,500)
Citation 3

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Stock Market Returns, Politics, Presidential Puzzle

10.

Financial Markets in the Face of the Apocalypse

Number of pages: 57 Posted: 21 Jun 2015 Last Revised: 29 Jun 2016
Jedrzej Pawel Bialkowski and Ehud I. Ronn
University of Canterbury - Department of Economics and Finance and University of Texas at Austin - Department of Finance
Downloads 233 (225,862)
Citation 1

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Rare events, Black swan events, Equity premium, International political crises, Property rights, Civil and human rights, World War II

11.

High Policy Uncertainty and Low Implied Market Volatility – an Academic Puzzle?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 22 Mar 2021
Jedrzej Pawel Bialkowski, Huong D. Dang and Xiaopeng Wei
University of Canterbury - Department of Economics and Finance, University of Canterbury and University of Canterbury
Downloads 225 (232,470)

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VIX, VTSE, Economic policy uncertainty, Baker-Bloom-Davis index, Quality of political signals, Investor sentiment, Bullish market, Investors’ opinions

12.

Cross-Hedging on the Milk-Derived Product Market

Number of pages: 43 Posted: 06 Aug 2015
Jan Koeman and Jedrzej Pawel Bialkowski
University of Canterbury - Economics and Finance and University of Canterbury - Department of Economics and Finance
Downloads 193 (267,730)
Citation 1

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Agricultural commodities, CME dairy futures, Cross-hedging, Dairy, Error Correction Model, New Zealand Stock Exchange dairy futures

13.

Testing for Financial Spillovers in Calm and Turmoil Periods

Number of pages: 32 Posted: 09 May 2004
Martin T. Bohl, Dobromil Serwa and Jedrzej Pawel Bialkowski
University of Muenster, European University Viadrina Frankfurt (Oder) - Department of Economics and University of Canterbury - Department of Economics and Finance
Downloads 174 (293,295)
Citation 3

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Financial spillovers, Markov switching models, capital markets, financial crisis

14.

Individual Investors Surpass Their Reputation: Market Efficiency on the Polish Futures Market

Number of pages: 26 Posted: 06 Feb 2008
Martin T. Bohl, Christiane Goodfellow and Jedrzej Pawel Bialkowski
University of Muenster, University of Muenster and University of Canterbury - Department of Economics and Finance
Downloads 165 (306,858)

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15.

Does the Design of Spot Markets Matter for the Success of Futures Markets? Evidence from Dairy Futures

Number of pages: 32 Posted: 13 Oct 2016
Jedrzej Pawel Bialkowski and Jan Koeman
University of Canterbury - Department of Economics and Finance and University of Canterbury - Economics and Finance
Downloads 157 (320,079)
Citation 3

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Agricultural Commodities, Hedging; Futures Market Effectiveness; Spot Market Design, Dairy, CME NFDM Futures, NZX WMP Futures

16.

The Midterm Election Effect on Us Stock Returns: Some Practical Considerations for Investors

Number of pages: 30 Posted: 28 Sep 2022 Last Revised: 20 Oct 2022
Warwick W. Anderson, Jedrzej Pawel Bialkowski and Moritz Wagner
University of Canterbury, University of Canterbury - Department of Economics and Finance and University of Canterbury
Downloads 98 (456,017)

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Midterm election, Midterm election effect, Political uncertainty, Fama-French 5 factors model

17.

The Determinants of Office Rental Yields: The International Evidence

Number of pages: 37 Posted: 18 Feb 2021
Jedrzej Pawel Bialkowski, Sheridan Titman, Garry J. Twite and Garry J. Twite
University of Canterbury - Department of Economics and Finance, University of Texas at Austin - Department of Finance and University of Melbourne - Faculty of Business and EconomicsUniversity of Melbourne - Department of Finance
Downloads 64 (584,855)

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Global real estate market, Capitalization rate, Office rental yield, Financial centers, Public Transport

18.

The Global Equity Premium Revisited: What Human Rights Imply for Assets' Purchasing Power

Number of pages: 39 Posted: 12 Oct 2018
Jedrzej Pawel Bialkowski and Ehud I. Ronn
University of Canterbury - Department of Economics and Finance and University of Texas at Austin - Department of Finance
Downloads 34 (762,446)

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Rare (Black Swan) Events; Equity Premium; International Political Crises; Property, Civil and Human Rights; World War II; World Equity Index

19.

Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange

Finance and Corporate Governance Conference 2010 Paper, https://doi.org/10.3905/jod.2012.19.3.029
Posted: 20 May 2019
Jedrzej Pawel Bialkowski and Jacek Jakubowski
University of Canterbury - Department of Economics and Finance and University of Warsaw, Instiute of Mathematics
Downloads 0 (1,056,430)

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Single-stock futures; Futures market efficiency; Listing selection, Short sale

20.

Midterm Elections’ Stock Market Surge – An Unintentional Gift From US Politicians

https://jwm.pm-research.com/content/21/4/76
Posted: 12 Oct 2018
Jedrzej Pawel Bialkowski and Aynaz Nahavandi
University of Canterbury - Department of Economics and Finance and University of Canterbury - Economics and Finance

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Market Efficiency, US Midterm Election Effect, Political Uncertainty, Presidential Cycle, Political Business Cycle

21.

Reducing the Risk of VWAP Orders Execution

JASSA The Finsia Journal of Applied Finance, Issue 2012, 12-18
Posted: 21 Nov 2017
Jedrzej Pawel Bialkowski, Serge Darolles and Gaëlle Le Fol
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris Dauphine - Department of Finance

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intra-day trading volume, VWAP orders, execution risk, trading costs in securities markets

22.

Individual Investors Surpass Their Reputation: Trading Behaviour on the Polish Futures Market

Economic Systems, Vol. 34, No. 4, 2010
Posted: 30 Jul 2011
Martin T. Bohl, Christiane Goodfellow and Jedrzej Pawel Bialkowski
University of Muenster, University of Muenster and University of Canterbury - Department of Economics and Finance

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Emerging capital markets, Individual investors, Institutional investors, Stock index futures, Calendar anomalies, January effect, Monday effect