Jedrzej Pawel Bialkowski

University of Canterbury - Department of Economics and Finance

Senior Lecturer

Private Bag 4800

Christchurch

New Zealand

SCHOLARLY PAPERS

19

DOWNLOADS
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6,685

CITATIONS
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SSRN RANKINGS

Top 12,884

in Total Papers Citations

30

Scholarly Papers (19)

1.

The Gold Price in Times of Crisis

Number of pages: 32 Posted: 02 Dec 2010 Last Revised: 03 Aug 2013
University of Canterbury - Department of Economics and Finance, University of Muenster, University of Münster and Open University, UK
Downloads 1,576 (10,389)

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

2.

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, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
Downloads 1,469 (11,623)
Citation 5

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

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 980 (21,682)
Citation 2

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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 681 (36,151)
Citation 13

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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 447 (62,113)

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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 329 (89,026)

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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
University of Canterbury - Department of Economics and Finance, University of Muenster, University of Muenster and Open University, UK
Downloads 299 (98,795)
Citation 1

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

8.

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 247 (120,899)
Citation 4

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Stock Market Returns, Politics, Presidential Puzzle

9.

Testing for Financial Spillovers in Calm and Turmoil Periods

EFMA 2004 Basel Meetings Paper
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 152 (189,101)
Citation 3

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

10.

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 137 (205,716)

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11.

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 115 (235,231)

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

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 108 (246,014)

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

13.

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 90 (277,640)

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

14.

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

Number of pages: 18 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
Downloads 32 (447,597)

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

15.

The Determinants of Office Rents and Yields: The International Evidence

Number of pages: 37 Posted: 07 Feb 2019
Jedrzej Pawel Bialkowski, Sheridan Titman and Garry J. Twite
University of Canterbury - Department of Economics and Finance, University of Texas at Austin - Department of Finance and University of Melbourne - Department of Finance
Downloads 17 (526,938)

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

16.

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 6 (591,930)

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

17.

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 (651,081)

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

18.

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, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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

19.

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