Kate Phylaktis

City University London - The Business School

Professor of International Finance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

http://www.cass.city.ac.uk/faculty/k.phylaktis/

  • City University London - The Business School

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SCHOLARLY PAPERS

46

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Scholarly Papers (46)

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1.

Stock Prices and Exchange Rate Dynamics

EFMA 2000 Athens, Cass Business School Research Paper
Number of pages: 40 Posted: 18 Dec 2000
Fabiola Ravazzolo and Kate Phylaktis
Federal Reserve Bank of New York and City University London - The Business School
Downloads 1,409 (21,461)
Citation 13

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Stock markets, foreign exchange markets, capital market integration, Asian financial crisis, and Pacific Basin capital markets

2.

Currency Risk in Emerging Equity Markets

Downloads 724 (54,986)
Citation 1

Currency Risk in Emerging Equity Markets

City University Business School, Finance Working Paper
Number of pages: 51 Posted: 06 Mar 2002
Fabiola Ravazzolo and Kate Phylaktis
Federal Reserve Bank of New York and City University London - The Business School
Downloads 509 (85,270)
Citation 2

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International capital asset pricing models (ICAPM), currency risk, capital market integration, emerging markets, and Pacific-Basin capital markets

Currency Risk in Emerging Equity Markets

Cass Business School Research Paper
Number of pages: 41 Posted: 29 Sep 2004
Kate Phylaktis
City University London - The Business School
Downloads 215 (217,552)
Citation 1

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International capital asset pricing models, ICAPM, currency risk, capital market integration, emerging markets, Pacific Basin capital markets

3.

Stock Market Linkages in Emerging Markets: Implications for International Portfolio Diversification

Cass Business School Research Paper
Number of pages: 26 Posted: 09 Jul 2004
Fabiola Ravazzolo and Kate Phylaktis
Federal Reserve Bank of New York and City University London - The Business School
Downloads 597 (70,690)
Citation 5

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Capital market linkages, emerging markets, common stochastic trends, international portfolio diversification

4.

European Integration and Corporate Financing

Downloads 567 (75,351)
Citation 1

European Integration and Corporate Financing

Number of pages: 77 Posted: 10 Jul 2008 Last Revised: 20 Jul 2013
Yaz Gulnur Muradoglu, Yaz Gulnur Muradoglu, Ceylan Onay and Kate Phylaktis
City University London - The Business SchoolQueen Mary University of London, University of Brighton and City University London - The Business School
Downloads 348 (133,059)
Citation 1

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European Integration, Capital Structure, Debt Maturity, FDI, European Firms

European Integration and Corporate Financing

Number of pages: 77 Posted: 06 Feb 2009 Last Revised: 20 Jul 2013
Yaz Gulnur Muradoglu, Yaz Gulnur Muradoglu, Ceylan Onay and Kate Phylaktis
City University London - The Business SchoolQueen Mary University of London, University of Brighton and City University London - The Business School
Downloads 219 (213,716)

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European Integration, Capital Structure, Debt Maturity, FDI, European Firms

5.

Related Securities and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks

EFA 2004 Maastricht Meetings Paper, Cass Business School Research Paper
Number of pages: 52 Posted: 19 Mar 2005 Last Revised: 16 Apr 2010
Piotr Korczak and Kate Phylaktis
University of Bristol - Department of Finance and Accounting and City University London - The Business School
Downloads 449 (100,076)
Citation 8

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NYSE specialists, cross-listing, related stocks, price discovery

6.

Futures Trading and Market Microstructure of the Underlying Security: A High Frequency Experiment at the Single Stock Future Level

Number of pages: 34 Posted: 10 Mar 2008 Last Revised: 24 Oct 2013
Kate Phylaktis and Gikas Manalis
City University London - The Business School and Hellenic Exchanges Holdings SA
Downloads 443 (101,681)
Citation 1

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Futures market; market microstructure

7.

The Changing Role of Industry and Country Effects in Global Equity Markets

Cass Business School Research Paper
Number of pages: 42 Posted: 02 Jun 2006
Lichuan Xia and Kate Phylaktis
City University London - The Business School and City University London - The Business School
Downloads 423 (107,369)
Citation 1

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Portfolio diversification, Risk, International Equity Markets, Industrial structure

8.

Equity Market Comovement and Contagion: A Sectoral Perspective

EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper
Number of pages: 40 Posted: 02 Dec 2005
Lichuan Xia and Kate Phylaktis
City University London - The Business School and City University London - The Business School
Downloads 336 (139,095)
Citation 1

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Contagion, International Diversification, Industry Returns, Financial Integration, Global Linkages

9.

Foreign Currency Forecasting: What Can Stock and Bond Markets Tell Us?

Number of pages: 59 Posted: 18 Mar 2021 Last Revised: 28 Jun 2022
Kate Phylaktis and Ehab Abdel-Tawab Yamani
City University London - The Business School and Chicago State University
Downloads 311 (150,914)

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exchange rates, out of sample predictability, equity returns, bond market returns, financial crisis

10.

Measuring Financial and Economic Integration with Equity Prices in Emerging Markets

EFMA 2002 London Meetings, Cass Business School Research Paper
Number of pages: 53 Posted: 20 Jun 2002
Fabiola Ravazzolo and Kate Phylaktis
Federal Reserve Bank of New York and City University London - The Business School
Downloads 296 (158,926)
Citation 16

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Capital market integration; emerging markets; and Pacific-Basin capital markets

11.

Firms' Industry and Country Effects in Emerging Markets

Cass Business School Research Paper
Number of pages: 26 Posted: 02 Jun 2006
Lichuan Xia and Kate Phylaktis
City University London - The Business School and City University London - The Business School
Downloads 246 (191,631)
Citation 3

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International Diversification, Country/Industry Effects, Emerging Markets, Financial Integration, Global Linkages

12.

Country Funds: A Channel for Emerging Equity Markets Integration

EFMA 2001 Lugano Meetings, Cass Business School Research Paper
Number of pages: 32 Posted: 14 Jun 2001
Fabiola Ravazzolo and Kate Phylaktis
Federal Reserve Bank of New York and City University London - The Business School
Downloads 228 (206,139)
Citation 2

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Capital market integration, emerging markets, common stochastic trends

13.

Security Transaction Taxes and Financial Volatility: Athens Stock Exchange

Cass Business School Research Paper
Number of pages: 33 Posted: 02 Jun 2006
Antonis A. Aristidou and Kate Phylaktis
City University London - The Business School and City University London - The Business School
Downloads 216 (217,031)
Citation 8

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Security Transaction Taxes, Financial Market Volatility, Athens Stock Exchange

14.

Country and Time Variation in Exchange Rate Pass-Through: What Drives It?

Journal of International Money and Finance 31(4), pp. 818-844
Number of pages: 47 Posted: 19 Aug 2011 Last Revised: 08 Sep 2012
Raphael Brun-Aguerre, Ana-Maria Fuertes and Kate Phylaktis
J.P. Morgan Chase & Co., Bayes Business School, City, University of London and City University London - The Business School
Downloads 207 (225,893)

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pass-through, exchange rate, asymmetry, prices, emerging markets, protectionism

15.

Global Liquidity Risk in the Foreign Exchange Market

Number of pages: 50 Posted: 04 Nov 2011
Chiara Banti, Kate Phylaktis and Lucio Sarno
University of Essex, City University London - The Business School and University of Cambridge - Judge Business School
Downloads 179 (256,894)
Citation 12

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foreign exchange, liquidity, order flow, microstructure

16.

Financialization of Housing Markets: Can REITs be the Culprit of Rising House Prices?

Number of pages: 48 Posted: 06 Dec 2021
Chiara Banti and Kate Phylaktis
University of Essex and City University London - The Business School
Downloads 171 (267,245)

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Financialization, house prices, Real Estate Investment Trusts (REITs), institutional investors

17.

Margin Changes and Futures Trading Activity: A New Approach

Number of pages: 46 Posted: 17 Jan 2008
Antonis A. Aristidou and Kate Phylaktis
City University London - The Business School and City University London - The Business School
Downloads 157 (287,125)

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Margin Requirements, Financial Market Volatility-Volume, Athens Stock Exchange

18.

Do Top Trading Banks in Foreign Exchange Business Know More?

Number of pages: 34 Posted: 27 Feb 2007 Last Revised: 02 Jan 2008
Kate Phylaktis and Long Chen
City University London - The Business School and City University London - The Business School
Downloads 146 (304,796)

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Market Microstructure, Foreign Exchange Markets, Macroeconomic News Announcements, Price Discovery, Information Shares

19.

FX Market Liquidity, Funding Constraints and Capital Flows

Number of pages: 46 Posted: 11 Jun 2012 Last Revised: 17 Oct 2014
Chiara Banti and Kate Phylaktis
University of Essex and City University London - The Business School
Downloads 133 (327,931)
Citation 4

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foreign exchange, liquidity, funding liquidity constraints, capital flows, microstructure

20.

Global Liquidity, House Prices and Policy Responses

Number of pages: 51 Posted: 14 Feb 2017 Last Revised: 23 May 2019
Chiara Banti and Kate Phylaktis
University of Essex and City University London - The Business School
Downloads 118 (358,101)
Citation 1

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global liquidity, house prices, repos, macroprudential policies

21.

Macroeconomic Announcements and Private Information in the Foreign Exchange Market

Cass Business School Research Paper
Number of pages: 29 Posted: 07 Mar 2005
Kate Phylaktis and Long Chen
City University London - The Business School and City University London - The Business School
Downloads 117 (360,315)

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Market microstructure, foreign exchange rates, foreign exchange markets, macroeconomic news announcements

22.

Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages

IMF Working Paper No. 95/133, Cass Business School Research Paper
Number of pages: 32 Posted: 15 Feb 2006
Kate Phylaktis
City University London - The Business School
Downloads 111 (373,966)
Citation 18

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23.

Asymmetric Linkages between High-Frequency Dem/USD and GBP/USD Exchange Rates

Number of pages: 42 Posted: 28 Nov 2007
Long Chen and Kate Phylaktis
City University London - The Business School and City University London - The Business School
Downloads 110 (376,324)
Citation 1

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Exchange rate volatility linkages, High Frequency data, Exchange rates

24.

The Impact of Macroeconomic Factors on the Yield Curve in Emerging Markets: The Case of Sub-Saharan Africa

Number of pages: 55 Posted: 12 Dec 2018
Joe Delvaux, Kate Phylaktis and Steve Thomas
City University London - The Business School, City University London - The Business School and City University London - The Business School
Downloads 96 (412,675)

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yield curve, bond markets, emerging market economies, Sub-Saharan Africa

25.

Legal Regime, Size, and Liquidity Factors in Asset Pricing

Cass Business School Emerging Markets Group Working Paper WP-EMG-13-2009
Number of pages: 41 Posted: 27 Mar 2009 Last Revised: 01 Jun 2011
Bruce Allen Hearn, Jenifer Piesse and Kate Phylaktis
University of Southampton, University of Stellbosch and City University London - The Business School
Downloads 96 (412,675)

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Portfolio Choice, Asset pricing, International Financial Markets, Sub-Saharan Africa

26.

On cross-border bank credit and the U.S. financial crisis transmission to equity markets

Journal of International Money and Finance, Vol. 69, No. 108-134, 2016
Number of pages: 46 Posted: 07 Apr 2015 Last Revised: 24 Mar 2017
Cheng Yan, Kate Phylaktis and Ana-Maria Fuertes
Essex Business School, City University London - The Business School and Bayes Business School, City, University of London
Downloads 93 (421,281)
Citation 3

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U.S. financial crisis; Crisis transmission channel; Capital flows; Bank credit; International trade; Causality; Emerging markets

27.

Is Good Governance Priced?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 77 Posted: 16 Jan 2018 Last Revised: 17 Aug 2019
Bruce Allen Hearn and Kate Phylaktis
University of Southampton and City University London - The Business School
Downloads 91 (427,191)

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Governance, Governance indices, GIM, Asset pricing

28.

Price Discovery in Foreign Exchange Markets: A Comparison of Indicative and Actual Transaction Prices

Number of pages: 1 Posted: 12 Nov 2008
Long Chen and Kate Phylaktis
City University London - The Business School and City University London - The Business School
Downloads 88 (436,093)
Citation 3

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Exchange rates, Foreign Exchange market microstructure, High frequency data, Order flow, Indicative data

29.

The Demand for Money During High Inflation Episodes: Some Latin American Evidence on the Cagan Model

IMF Working Paper No. 91/48, Cass Business School Research Paper
Number of pages: 22 Posted: 15 Feb 2006
Kate Phylaktis
City University London - The Business School
Downloads 88 (436,093)
Citation 2

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30.

Hot Money in Bank Credit Flows to Emerging Markets During the Banking Globalization Era

Journal of International Money and Finance, Vol. 60, No. 29-52, 2016
Number of pages: 40 Posted: 05 Nov 2014 Last Revised: 24 Mar 2017
Ana-Maria Fuertes, Kate Phylaktis and Cheng Yan
Bayes Business School, City, University of London, City University London - The Business School and Essex Business School
Downloads 84 (448,476)
Citation 3

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International capital flows; Hot money; Crisis transmission; Banking globalisation; Kalman filter

31.

Economic Integration and Exchange Market Pressure in a Policy Uncertain World

Journal of International Money and Finance, Forthcoming
Number of pages: 45 Posted: 12 May 2021 Last Revised: 25 Jul 2022
Muhammad Aftab and Kate Phylaktis
COMSATS University Islamabad and City University London - The Business School
Downloads 75 (479,040)
Citation 1

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financial integration, economic integration, economic policy uncertainty, monetary policy uncertainty, exchange market pressure

32.

The Influence of Institutions, Investor Protection and Corporate Block-Shareholders in Asset Pricing

Number of pages: 46 Posted: 22 Nov 2011
Bruce Allen Hearn, Kate Phylaktis and Jenifer Piesse
University of Southampton, City University London - The Business School and University of Stellbosch
Downloads 72 (489,842)

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Investor Protection, Legal Origin, Asset pricing, International Financial Markets

33.

Expropriation Risk by Block Holders, Institutional Quality and Expected Stock Returns

Journal of Corporate Finance, Forthcoming
Number of pages: 63 Posted: 22 Jan 2016 Last Revised: 02 May 2017
Bruce Allen Hearn, Kate Phylaktis and Jenifer Piesse
University of Southampton, City University London - The Business School and University of Stellbosch
Downloads 68 (505,064)

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Investor Protection, Legal Origin, Asset pricing, International Financial Markets

34.

Uncovered Equity 'Disparity' in Emerging Markets

Journal of International Money and Finance, Volume 98, November 2019, 102-166
Number of pages: 49 Posted: 22 Jul 2018 Last Revised: 20 Feb 2020
Ana-Maria Fuertes, Kate Phylaktis and Cheng Yan
Bayes Business School, City, University of London, City University London - The Business School and Essex Business School
Downloads 61 (533,558)
Citation 3

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Uncovered Equity Parity; Equity flows; Equity returns; Foreign exchange rates; Return-chasing; Asian markets

35.

Cross-Border Bank Flows, Funding Liquidity and House Prices

Number of pages: 37 Posted: 02 Jun 2016
Kate Phylaktis and Chiara Banti
City University London - The Business School and University of Essex
Downloads 44 (615,663)
Citation 1

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global liquidity, house prices, repos

36.

Capital Structures of Small Family Firms in Developing Countries

Bas, Tugba, Yaz Gulnur Muradoglu, and Kate Phylaktis, 2022. "Capital Structures of Small Family Firms in Developing Countries" Review of Corporate Finance 2, forthcoming
Number of pages: 69 Posted: 14 Mar 2010 Last Revised: 26 Feb 2022
Tugba Bas, Yaz Gulnur Muradoglu, Yaz Gulnur Muradoglu and Kate Phylaktis
Nisantasi University, City University London - The Business SchoolQueen Mary University of London and City University London - The Business School
Downloads 41 (632,503)

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Leverage, capital structure, developing countries, small firms, family firms, family management

37.

Economic Integration and the Currency and Equity Markets Nexus

Forthcoming in International Journal of Finance & Economics
Number of pages: 42 Posted: 12 Aug 2019 Last Revised: 25 Jun 2020
Muhammad Aftab, Rubi Ahmad, Izlin Ismail and Kate Phylaktis
COMSATS University Islamabad, Department of Finance and Banking, University of Malaya, University of Malaya and City University London - The Business School
Downloads 39 (643,893)
Citation 1

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Economic integration, real exchange rate changes, stock return differentials, dynamic conditional correlations

38.

Financial Integration and Exchange Market Pressure

Number of pages: 39 Posted: 02 Jan 2023 Last Revised: 29 Jan 2023
Kate Phylaktis and Muhammad Aftab
City University London - The Business School and COMSATS University Islamabad
Downloads 38 (649,709)

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Financial integration, Exchange market pressure, Policy uncertainty, flexible exchange rate regime

39.

The Internet Appendix to Accompany Foreign Currency Forecasting: What Can Stock and Bond Markets Tell Us?

Number of pages: 36 Posted: 12 May 2022 Last Revised: 28 Jun 2022
Kate Phylaktis and Ehab Abdel-Tawab Yamani
City University London - The Business School and Chicago State University
Downloads 26 (729,331)

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exchange rates, out of sample predictability, equity returns, bond market returns, financial crisis

40.

An Examination of the Relationship between Stock Return and Trading Activity Under Different Trading Systems

Greek Economic Review, Vol. 21, No 1, 19-36, Spring 2001
Posted: 07 Feb 2014
Manolis G. Kavussanos and Kate Phylaktis
Athens University of Economics and Business - Department of Accounting and Finance and City University London - The Business School

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41.

Price Limits and the Stock Market Volatility in the Athens Stock Exchange

European Financial Management, Vol. 5, No. 1,1999, 69-84
Posted: 07 Feb 2014
Manolis G. Kavussanos, Kate Phylaktis and Gikas Manalis
Athens University of Economics and Business - Department of Accounting and Finance, City University London - The Business School and Hellenic Exchanges Holdings SA

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price limits and volatility, emerging capital markets, ARCH/GARCH modelling, Athens Stock Exchange

42.

Cross Listing Behavior

Posted: 16 Nov 2010
Thomas O’Connor and Kate Phylaktis
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, Finance and Accounting and City University London - The Business School

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International Cross-Listings, Cross-Delistings, Valuation, Bonding, Capital-Raising

43.

Order Flow and Exchange Rate Dynamics: An Application to Emerging Markets

Posted: 08 Mar 2010
Ian W. Marsh and Kate Phylaktis
City University London - The Business School and City University London - The Business School

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Order Flow, Foreign Exchange Markets, Exchange Rates, Forex Microstructure

44.

Asymmetric Information, Price Discovery and Macroeconomic Announcements in FX Market: Do Top Trading Banks Know More?

Posted: 09 Jul 2008
Long Chen and Kate Phylaktis
City University London - The Business School and City University London - The Business School

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Market Microstructure, Foreign Exchange Markets, Macroeconomic News Announcements, Price Discovery, Information Shares

45.

Price Limits and Stock Market Volatility in the Athens Stock Exchange

European Financial Management, Vol. 5, No. 1, March 1999, Cass Business School Research Paper
Posted: 25 Oct 1998
Gikas Manalis, Kate Phylaktis and Manolis G. Kavussanos
Hellenic Exchanges Holdings SA, City University London - The Business School and Athens University of Economics and Business - Department of Accounting and Finance

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46.

Stock Prices and the Flow of Information in the Athens Stock Exchange

Downloads 0 (952,174)

Stock Prices and the Flow of Information in the Athens Stock Exchange

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996, Cass Business School Research Paper
Posted: 29 Apr 1998
Gikas Manalis, Kate Phylaktis and Manolis G. Kavussanos
Hellenic Exchanges Holdings SA, City University London - The Business School and Athens University of Economics and Business - Department of Accounting and Finance

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Stock Prices and the Flow of Information in the Athens Stock Exchange

European Financial Management, Vol.2, No. 1, 1996, 113-126
Posted: 07 Feb 2014
Manolis G. Kavussanos, Kate Phylaktis and Gikas Manalis
Athens University of Economics and Business - Department of Accounting and Finance, City University London - The Business School and Hellenic Exchanges Holdings SA

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Other Papers (1)

Total Downloads: 23
Actions:
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1.

Ownership Concentration, Institutions and Expected Stock Returns

Number of pages: 55 Posted: 18 Feb 2014
Bruce Allen Hearn, Kate Phylaktis and Jenifer Piesse
University of Southampton, City University London - The Business School and University of Stellbosch
Downloads 23

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Investor Protection, Legal Origin, Asset pricing, International Financial Markets