Robert I. Webb

University of Virginia - McIntire School of Commerce

Rouss and Robertson Halls 125 Ruppel Lane

Charlottesville, VA 22903

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 35,685

in Total Papers Downloads

1,351

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (12)

1.

The Intraday Properties of the VIX and the VXO

Number of pages: 31 Posted: 14 Dec 2016
Auckland University of Technology, Open University of the Netherlands, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 351 (91,076)

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VIX, Seasonality, Intraday data

2.

On the Intraday Relation between the VIX and Its Futures

Number of pages: 29 Posted: 31 Jan 2014
Bart Frijns, Alireza Tourani-Rad and Robert I. Webb
Open University of the Netherlands, Auckland University of Technology - Faculty of Business & Law and University of Virginia - McIntire School of Commerce
Downloads 330 (97,529)
Citation 3

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VIX, Futures, Vector Autoregressions, Ultra-High Frequency Data

3.

Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements

Number of pages: 44 Posted: 23 Mar 2010 Last Revised: 29 Nov 2010
C. Johan Bjursell, George H. K. Wang and Robert I. Webb
Barclays Capital, George Mason University - Department of Finance and University of Virginia - McIntire School of Commerce
Downloads 223 (146,773)
Citation 2

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realized variation, bipower variation, jump statistics, interest rate futures, macro announcements, price and trading volume patterns

4.

The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 23 Posted: 02 Feb 2016
Alex Frino, Vito Mollica, Robert I. Webb and Shunquan Zhang
Macquarie University, Macquarie Graduate School of Management, University of Virginia - McIntire School of Commerce and Macquarie University
Downloads 186 (173,749)

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arbitrage, high-frequency trading, latency

5.

Do Derivative Markets Contain Useful Information for Signaling 'Hot Money' Flows?

HKIMR Working Paper No.12/2010
Number of pages: 48 Posted: 22 Jun 2010
Joseph K. W. Fung, Robert I. Webb and Wing H. Chan
Hong Kong Baptist University, University of Virginia - McIntire School of Commerce and Wilfrid Laurier University - School of Business & Economics
Downloads 134 (228,893)

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The Geographic Origin of Order Flow and Price Discovery

Number of pages: 37 Posted: 02 Jan 2012
Alex Frino, Robert I. Webb and Hui Zheng
The University of Sydney - Discipline of Finance, University of Virginia - McIntire School of Commerce and Discipline of Finance, The University of Sydney
Downloads 56 (399,219)

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home bias, international order flow, price discovery

The Geographic Origin of Order Flow and Price Discovery

Number of pages: 37 Posted: 09 Mar 2011 Last Revised: 03 Jan 2012
Alex Frino, Robert I. Webb and Hui Zheng
The University of Sydney - Discipline of Finance, University of Virginia - McIntire School of Commerce and Discipline of Finance, The University of Sydney
Downloads 42 (453,020)

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Home bias, International order flow, Price discovery

7.

The Sensitivity of Trading to the Cost of Information

Number of pages: 29 Posted: 14 Mar 2020
University of Wollongong, Macquarie University, Macquarie Graduate School of Management and University of Virginia - McIntire School of Commerce
Downloads 28 (508,608)

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Exchange, pricing schedules, trade

8.

Does Increased Hedging Lead to Decreased Price Efficiency? The Case of VIX Etps and VIX Futures

Financial Review, Vol. 54, Issue 3, pp. 477-500, 2019
Number of pages: 24 Posted: 20 May 2020
Auckland University of Technology, Open University of the Netherlands, Auckland University of Technology and University of Virginia - McIntire School of Commerce
Downloads 1 (692,042)
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market microstructure, price pressure, VIX ETPs, VIX futures

9.

Sgx Bids for Asx

Darden Case No. UVA-F-1756
Number of pages: 6 Posted: 30 May 2017
Robert I. Webb
University of Virginia - McIntire School of Commerce
Downloads 0 (710,004)
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exchange mergers, take over attempt, acquisition targets, demutualization

Price Jump Risk in the US Housing Market

Journal of Real Estate Finance and Economics, 2015 Forthcoming
Posted: 24 Aug 2015
Robert I. Webb, Jian Yang and Jin Zhang
University of Virginia - McIntire School of Commerce, University of Colorado at Denver - Business School and Independent

Abstract:

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Housing price index, Jump intensity, Economic fundamentals

Price Jump Risk in the US Housing Market

Journal of Real Estate Finance and Economics, Vol. 53, No. 1, 2016
Posted: 14 May 2016
Robert I. Webb and Jian Yang
University of Virginia - McIntire School of Commerce and University of Colorado at Denver - Business School

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Housing price index; Jump intensity; Economic fundamentals

11.

Does spurious mean reversion in basis changes still exist after the introduction of exchange traded funds

Review of Futures Markets Vol 17(4): Article 4 (2009)
University of North Carolina Wilmington, Kent State University, University of Sydney Business School and University of Virginia - McIntire School of Commerce

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Observed basis mean reversion, Spurious basis predictability, Cash Index, Exchange Traded Funds, SPDR’s, Index futures, Non-synchronicity between cash and derivative securities.

12.

Market Microstructure Effects on Volatility at the TAIFEX

Journal of Futures Markets, Vol 27(12): 1219-1243 (2007)
Jayaram Muthuswamy, Reuben Segara and Robert I. Webb
Kent State University, University of Sydney Business School and University of Virginia - McIntire School of Commerce

Abstract:

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Volatility, Stock index futures, TAIFEX, SGX, Market microstructure