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

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

SCHOLARLY PAPERS

13

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20

CROSSREF CITATIONS

14

Scholarly Papers (13)

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1.

Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic.

Number of pages: 63 Posted: 17 May 2020 Last Revised: 15 Feb 2022
Larisa Yarovaya, Janusz Brzeszczynski, John W. Goodell, Brian M. Lucey and Chi Keung Lau
University of Southampton - Southampton Business School, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Akron - Department of Finance, College of Business Administration, Trinity Business School, Trinity College Dublin and University of Huddersfield
Downloads 2,003 (14,109)
Citation 62

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Contagion, COVID-19, Return and Volatility Transmission, Spillovers Effect, Coronavirus, Black Swan

2.

Dividend Yield Strategy in the British Stock Market 1994-2007

Number of pages: 19 Posted: 06 Mar 2008
Janusz Brzeszczynski, Kathryn Archibald, Jerzy Gajdka and Joanna Brzeszczynska
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, Heriot-Watt University, University of Lodz and Heriot-Watt University
Downloads 1,431 (23,677)
Citation 4

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

3.

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 415 (122,925)
Citation 2

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

4.

Price and Volatility Spillovers Across the International Steam Coal Market

Number of pages: 53 Posted: 31 Mar 2017
Jonathan A. Batten, Janusz Brzeszczynski, Cetin Ciner, Chi Keung Lau, Brian M. Lucey and Larisa Yarovaya
RMIT University, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of North Carolina at Wilmington, University of Huddersfield, Trinity Business School, Trinity College Dublin and University of Southampton - Southampton Business School
Downloads 125 (384,600)
Citation 4

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Integration; Information transmissions; Generalized VAR model; Steam coal

5.

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 94 (470,707)

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

6.

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 84 (504,888)

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

7.

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 81 (515,903)

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

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 66 (578,353)

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

9.

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, Dobromil Serwa and Dobromil Serwa
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Muenster and Warsaw School of Economics (SGH)National Bank of Poland
Downloads 66 (578,353)
Citation 1

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

10.

Do Not Fear the Fear Index: Evidence from the US, UK and European Markets

Number of pages: 68 Posted: 14 Dec 2022
Pankaj Chandorkar and Janusz Brzeszczynski
University of Northumbria at Newcastle and Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom
Downloads 64 (606,575)

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VIX index, VFTSE index, VSTOXX index, market uncertainty, monetary policy, COVID-19

11.

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 61 (601,681)

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

12.

The COVID-19 Storm and the Energy Sector: The Impact and Role of Uncertainty

Energy Economics, Forthcoming
Number of pages: 63 Posted: 01 Apr 2021
Jan Szczygielski, Jan Szczygielski, Janusz Brzeszczynski, Ailie Charteris and Princess Bwanya
Department of Financial Management, University of PretoriaDepartment of Accounting and Financial Management,Newcastle Business School, Northumbria University, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Cape Town (UCT) - Department of Finance and Tax and Newcastle Business School, Northumbria Univeristy
Downloads 46 (683,879)

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COVID-19, pandemic, returns, volatility, uncertainty, energy sector

13.

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 40 (722,854)

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

Other Papers (1)

Total Downloads: 49
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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 49

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