Financial Markets (including Market Microstructure)
Research on Financial Markets is led by Professors Shackleton, and Taylor. Dr. James Huang also works in this area.
Recent contributions in this area have focused on the impact of the Euro on stock return volatility, exchange rate exposures and financial market dependence (Taylor), and the long run price reaction to anticipated and surprise information announcements surrounding stock splits (Shackleton).
The infrastructure supporting research in Financial Markets has recently been enhanced through the acquisition of the TAQ data, and Taylor and Shackleton are working with PhD students on several projects that make use of these data.
Illustrative publications include:
- Surprise vs anticipated information announcements: Are prices affected differently? An investigation in the context of stock splits. Journal of Banking and Finance (S Hwang, A Keswani, and MB Shackleton, 2008)
Current working papers relating to Financial Markets are available via the School's working papers database.
