Janusz Brzeszczynski

Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom

Professor of Finance

Department of Accounting and Financial Management

City Campus East

Newcastle upon Tyne, NE1 8ST

United Kingdom

SCHOLARLY PAPERS

10

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Scholarly Papers (10)

1.

Dividend Yield Strategy in the British Stock Market 1994-2007

Number of pages: 19 Posted: 06 Mar 2008
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, Heriot-Watt University, University of Lodz and Heriot-Watt University
Downloads 1,240 (15,322)

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dividends, investment strategy, stock market, returns predictability, asset pricing, efficient markets theory

2.

Heteroscedasticity and Interval Effects in Estimating Beta: UK Evidence

Applied Financial Economics 21, 2011, pp. 1525-38
Number of pages: 39 Posted: 06 Mar 2008 Last Revised: 04 Oct 2014
Seth Armitage and Janusz Brzeszczynski
University of Edinburgh - Accounting and Finance and Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom
Downloads 336 (87,478)

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beta estimation, heteroscedasticity, ARCH models, thin trading, interval effects

3.

Price and Volatility Spillovers Across the International Steam Coal Market

Number of pages: 53 Posted: 31 Mar 2017
Universiti Utara Malaysia, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of North Carolina at Wilmington, Northumbria University, Trinity Business School, Trinity College Dublin and affiliation not provided to SSRN
Downloads 74 (313,948)

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Integration; Information transmissions; Generalized VAR model; Steam coal

4.

Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007.

Number of pages: 36 Posted: 23 Oct 2014
Boulis Maher Ibrahim and Janusz Brzeszczynski
Heriot Watt University and Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom
Downloads 73 (316,414)

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Stock Markets Interdependence, Meteor Shower Effects, Global Financial Crisis (GFC), Foreign Information Transmission (FIT) model

5.

Liquidity Measures and Cost of Trading in an Illiquid Market.

Forthcoming in: Journal of Emerging Market Finance
Number of pages: 46 Posted: 27 Sep 2014
Seth Armitage, Janusz Brzeszczynski and Anna Serdyuk
University of Edinburgh - Accounting and Finance, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and University of Edinburgh
Downloads 64 (339,425)

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liquidity, cost of trading, emerging stock market, market microstructure, Ukraine

6.

Large Capital Inflows and Stock Returns in a Thin Market

National Bank of Poland Working Paper No. 120
Number of pages: 38 Posted: 18 Jul 2012 Last Revised: 08 Jul 2016
Janusz Brzeszczynski, Martin T. Bohl and Dobromil Serwa
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Muenster and National Bank of Poland
Downloads 42 (409,576)

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Institutional Investors, Stock Market Returns, Pension Funds, Capital Flows

7.

The Relevance of the Strength and Direction of Return Signals from Foreign and Domestic Markets to Investment Strategies

Number of pages: 44 Posted: 25 Feb 2014
Janusz Brzeszczynski and Boulis Maher Ibrahim
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and Heriot Watt University
Downloads 37 (429,037)

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Meteor shower; Information transmission; Kalman filter; Foreign Information Transmission model

8.

Does Central Bank Communication Matter in Emerging European Markets? Evidence from Poland

Number of pages: 55 Posted: 14 Sep 2014
Janusz Brzeszczynski, Jerzy Gajdka and Ali M. Kutan
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Lodz and Southern Illinois University at Edwardsville
Downloads 36 (433,057)

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macroeconomic announcements, central bank, foreign exchange market, stock market, returns volatility and market activity

9.

Investment Performance of Component Stocks from the Respect Sustainability Index at the Warsaw Stock Exchange

31st Australasian Finance and Banking Conference 2018
Number of pages: 21 Posted: 30 Jul 2018
Janusz Brzeszczynski, Jerzy Gajdka and Tomasz Schabek
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Lodz and University of Lodz - Faculty of Economics and Sociology
Downloads 26 (479,069)

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Socially Responsible Investments (SRI), Sustainability, Stock Market Performance, Indexing effect, RESPECT index

10.

Public Information Arrival and Investor Reaction During a Period of Institutional Change: An Episode of Early Years of a Newly Independent Central Bank

Number of pages: 46 Posted: 02 May 2012
Janusz Brzeszczynski and Ali M. Kutan
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and Southern Illinois University at Edwardsville
Downloads 21 (506,735)

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institutional change, foreign exchange market, central bank, macroeconomic announcements, investor reaction, trading volume and volatility

Other Papers (1)

Total Downloads: 20    Citations: 2
1.

Institutional Investors and Stock Returns Volatility: Empirical Evidence from a Natural Experiment

Number of pages: 17 Posted: 17 Feb 2005
Martin T. Bohl, Janusz Brzeszczynski and Bernd Wilfling
University of Muenster, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and Westfälische Wilhelms-Universität
Downloads 20

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Institutional traders, Polish stock market, pension fund investors, stock market volatility, Markov-switching-GARCH model