Ben R. Marshall

Massey University - School of Economics and Finance

Private Bag 11-222

Palmerston North, 30974

New Zealand

SCHOLARLY PAPERS

41

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34,620

SSRN CITATIONS
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Top 15,351

in Total Papers Citations

48

CROSSREF CITATIONS

27

Scholarly Papers (41)

1.

Technical Analysis Around the World

Number of pages: 31 Posted: 30 Jul 2008 Last Revised: 01 Dec 2011
Ben R. Marshall, Rochester H. Cahan and Jared Cahan
Massey University - School of Economics and Finance, Macquarie Capital (USA) and Macquarie Bank Ltd
Downloads 7,459 (1,036)
Citation 5

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Technical Analysis, Quantitative, Market Timing

2.

Market Timing with Candlestick Technical Analysis

Number of pages: 18 Posted: 16 Apr 2007 Last Revised: 14 Sep 2009
Ben R. Marshall, Martin R. Young and Lawrence C. Rose
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University
Downloads 5,307 (1,838)

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Market Timing, Candlesticks, Technical Analysis, Quantitative Investment

3.

ETF Arbitrage: Intraday Evidence

Number of pages: 45 Posted: 16 Nov 2010 Last Revised: 24 Jan 2013
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 4,676 (2,325)
Citation 11

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Arbitrage, Pairs Trading, ETF

4.

Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies?

Number of pages: 28 Posted: 26 Jul 2007 Last Revised: 12 Nov 2007
Ben R. Marshall, Rochester H. Cahan and Jared Cahan
Massey University - School of Economics and Finance, Macquarie Capital (USA) and Macquarie Bank Ltd
Downloads 2,603 (6,320)
Citation 12

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Commodity, Futures, Technical Analysis, Quantitative, Market Timing

5.

Time-Series Momentum versus Moving Average Trading Rules

Number of pages: 45 Posted: 27 Feb 2013 Last Revised: 26 Feb 2015
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 2,597 (6,342)
Citation 6

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G11, G12

6.

Return Predictability Revisited

EFA 2007 Ljubljana Meetings Paper, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 73 Posted: 25 Feb 2007 Last Revised: 19 Nov 2009
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 2,281 (7,845)
Citation 1

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observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity

7.

Is Technical Analysis Profitable on U.S. Stocks With Certain Size, Liquidity or Industry Characteristics?

Number of pages: 25 Posted: 15 Sep 2006 Last Revised: 13 Nov 2007
Ben R. Marshall, Qian Sun and Martin R. Young
Massey University - School of Economics and Finance, Fudan University and Massey University - School of Economics and Finance
Downloads 1,551 (14,514)

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Technical Analysis, Size, Liquidity

8.

Stock Market Predictability and Industrial Metal Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 19 Aug 2010 Last Revised: 12 Jul 2016
Ben Jacobsen, Ben R. Marshall and Nuttawat Visaltanachoti
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 904 (32,477)
Citation 6

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industrial metals, state-switching, return predictability, gradual information diffusion, business cycle

9.

Is There Momentum or Reversal in Weekly Currency Returns?

26th Australasian Finance and Banking Conference 2013
Number of pages: 41 Posted: 30 Apr 2013 Last Revised: 10 Jun 2015
Ahmad Raza, Ben R. Marshall and Nuttawat Visaltanachoti
University of Otago - Department of Accountancy and Finance, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 562 (60,991)

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currency, momentum, reversal

10.

Risk Perceptions and International Stock Market Liquidity

29th Australasian Finance and Banking Conference 2016
Number of pages: 59 Posted: 25 May 2016 Last Revised: 27 May 2018
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - Department of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 495 (71,812)
Citation 2

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liquidity, international stock markets, risk perception, VIX

11.

Bitcoin Liquidity

Number of pages: 45 Posted: 27 Jun 2018 Last Revised: 05 Jun 2019
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 493 (71,812)
Citation 1

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Bitcoin, Liquidity, Cryptocurrency

12.

Stock Market Liquidity and Trading Activity: Is China Different?

Number of pages: 47 Posted: 04 Apr 2017 Last Revised: 29 Jun 2017
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - Department of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 480 (74,571)

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Liquidity, trading activity, volume, stock market, China

13.

Market Volatility, Liquidity Shocks, and Stock Returns: Worldwide Evidence

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018
Number of pages: 56 Posted: 13 Nov 2017 Last Revised: 18 Mar 2018
Rui Ma, Hamish D. Anderson and Ben R. Marshall
La Trobe University - Department of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 464 (77,704)

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market volatility, liquidity, returns, international stock markets

14.

Liquidity Commonality in Commodities

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 30 Posted: 12 May 2010 Last Revised: 27 Jul 2011
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 397 (92,772)
Citation 7

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Commodity, Liquidity, Commonality

15.

Risk Reduction Using Trailing Stop-Loss Rules

Number of pages: 31 Posted: 01 Apr 2019
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 339 (111,014)

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Stop-Loss Rule, Risk Reduction

16.

Frontier Market Transaction Costs and Diversfication

Number of pages: 40 Posted: 13 Oct 2011 Last Revised: 20 Nov 2013
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 308 (123,118)
Citation 5

Abstract:

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Frontier market, liquidity, transaction cost, diversification

17.

Time Diversification in Developed and Emerging Markets

Number of pages: 33 Posted: 12 Feb 2008 Last Revised: 10 May 2009
Massey University - School of Economics and Finance, School of Economics and Finance, Massey University and Massey University - School of Economics and Finance
Downloads 288 (132,267)
Citation 1

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stocks, bonds, value at risk, VaR, investment horizon, time diversification, time in the market, emerging markets

18.

Liquidity Measurement in Frontier Markets

Number of pages: 26 Posted: 30 Oct 2012
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 279 (136,637)
Citation 1

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frontier market, liquidity proxy, transaction cost

19.

Do Liquidity Proxies Measure Liquidity Accurately in ETFs?

2016 Financial Markets and Corporate Governance
Number of pages: 48 Posted: 11 Dec 2015 Last Revised: 31 Jul 2017
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 271 (140,799)
Citation 3

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Liquidity Measurement, Liquidity Proxy, Transaction Costs, Exchange Traded Funds, ETF

20.

Takeover Motives in a Weak Regulatory Environment Surrounding a Market Shock

Number of pages: 31 Posted: 13 Jun 2006
Hamish D. Anderson and Ben R. Marshall
Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 263 (145,216)

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Mergers and Acquisitions Motives, Regulation, Stock Market Crash

21.

Peer Effects, Personal Characteristics and Asset Allocation

Number of pages: 40 Posted: 13 Jun 2014 Last Revised: 21 Jul 2015
Annie Zhang, Ben Jacobsen and Ben R. Marshall
Independent, Tilburg University - TIAS School for Business and Society and Massey University - School of Economics and Finance
Downloads 244 (156,288)
Citation 1

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Asset allocation, behavioral finance, financial advice, household finance, individual investors, mutual funds, personal characteristics, peer effects, social

22.

A Note on Intraday Event Studies

Number of pages: 24 Posted: 09 Aug 2017 Last Revised: 17 Aug 2017
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 239 (159,507)
Citation 1

Abstract:

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Intraday, Event Study

23.

Predicting ETF Liquidity

Number of pages: 43 Posted: 04 Aug 2020 Last Revised: 16 Sep 2021
Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 202 (186,992)

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ETFs, Liquidity, Bid-Ask Spread, Forecasting

24.

The Announcement and Implementation Reaction to China’s Margin Trading and Short Selling Pilot Programme

Sharif, S., Anderson, H.D. & Marshall, B.R. (2014). The Announcement and Implementation Reaction to China’s Margin Trading and Short Selling Pilot Programme. International Journal of Managerial Finance, Volume 10, Issue 3, pages 368-384.
Number of pages: 39 Posted: 25 Jun 2012 Last Revised: 28 Jun 2019
Saqib Sharif, Hamish D. Anderson and Ben R. Marshall
Institute of Business Administration, Karachi, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 198 (190,533)
Citation 5

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Short selling, Margin trading, China, Information asymmetry, Overvaluation, Volume

25.

Does a Change in the Information Environment Affect Labor Adjustment Costs?

International Review of Financial Analysis, Forthcoming
Number of pages: 45 Posted: 05 Oct 2018 Last Revised: 04 Feb 2021
Massey University - School of Economics and Finance, Victoria University of Wellington, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 189 (198,646)
Citation 1

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Information Environment, Information Asymmetry, Labor Adjustment Costs

26.

Lottery Stocks and Stop-loss Rules

Number of pages: 35 Posted: 04 May 2021
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 186 (202,416)

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Lottery Stocks, Stop-loss Rules, Trading Strategies, Individual Investors

27.

Country Governance and International Equity Returns

2016 Financial Markets and Corporate Governance, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 67 Posted: 11 Dec 2015 Last Revised: 16 Jan 2018
Massey University - School of Economics and Finance, Auckland University of Technology, Massey University, Massey Business School and Massey University - Department of Economics and Finance
Downloads 186 (201,426)
Citation 1

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Governance, Return Predictability, International Equity Markets, Information Diffusion, Slow Moving Capital

28.

Forecasting Individual Stock Returns Using Macroeconomic and Technical Variables

Number of pages: 37 Posted: 13 Mar 2019 Last Revised: 19 Jan 2021
Massey University - Department of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 163 (225,620)

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Firm level predictability, macroeconomic and technical predictors, principal component analysis (PCA), limits to arbitrage, cross-sectional predictability, business cycle.

29.

Investment Returns Under Right- and Left-Wing Governments in Australasia

Number of pages: 31 Posted: 26 Apr 2007
Massey University - School of Economics and Finance, School of Economics and Finance, Massey University and Massey University - School of Economics and Finance
Downloads 141 (254,293)
Citation 2

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presidential puzzle, political cycle, investment returns, stock market, real estate market, property returns, bond market

30.

Politics and Liquidity

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 28 Posted: 18 Nov 2016 Last Revised: 29 May 2018
Massey University - School of Economics and Finance, Massey University, Massey Business School, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 133 (266,131)

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Liquidity, Politics, Information Asymmetry, Economic Policy Uncertainty

31.

Active ETF Liquidity

Number of pages: 60 Posted: 08 May 2019 Last Revised: 27 Mar 2020
Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 127 (277,132)

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ETFs; Portfolio Liquidity; Diversification

32.

Liquidity Spillover between ETFs and Their Constituents

Number of pages: 58 Posted: 18 Mar 2021
Massey University -School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 123 (282,160)

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ETFs; Portfolio Liquidity; Spillover; Arbitrage; Short Sale Constraints

33.

Climate Events and Return Comovement

Number of pages: 37 Posted: 09 Aug 2021
La Trobe University - Department of Economics and Finance, Massey University - School of Economics and Finance, Massey University, Massey Business School, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 96 (343,487)

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Comovement, climate event, disaster

34.

Financial Markets and Carbon Dioxide Emissions

Number of pages: 55 Posted: 13 Jul 2021
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 89 (350,716)

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Financial Markets, Carbon Dioxide Emissions

35.

Asset Class Jumps

Number of pages: 29 Posted: 30 Aug 2017 Last Revised: 19 Apr 2018
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 84 (363,376)

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Asset Classes, Jump Risk

36.

A Note on Green Investment: Do Climate Disasters Matter?

Number of pages: 24 Posted: 23 Feb 2021 Last Revised: 12 Aug 2021
Massey University - School of Economics and Finance, Massey University, Massey Business School, Auckland University of Technology, Massey University - Department of Economics and Finance and Massey University - School of Economics and Finance
Downloads 72 (396,968)
Citation 1

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Salience, Climate Disasters, Socially Responsible Investing, Mutual Funds

Transaction Costs in an Illiquid Order-Driven Market

Number of pages: 27 Posted: 23 Oct 2014
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 72 (401,572)

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Liquidity, transaction cost, order splitting

Transaction Costs in an Illiquid Order‐Driven Market

Accounting & Finance, Vol. 56, Issue 4, pp. 917-933, 2016
Number of pages: 17 Posted: 05 Dec 2016
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
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Liquidity, Transaction cost, Order splitting

38.

Do Stop-loss Rules Add Value in International Equity Market Allocation?

Number of pages: 31 Posted: 29 Sep 2020 Last Revised: 17 Dec 2020
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 53 (462,183)

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Asset Allocation, Stop-Loss Rule

39.

Beta Estimation in New Zealand

Number of pages: 31 Posted: 15 Sep 2021 Last Revised: 16 Sep 2021
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 6 (742,056)

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Beta, Cost of Capital

40.

Against the Tide: The Commencement of Short Selling and Margin Trading in Mainland China

Accounting & Finance, Vol. 54, Issue 4, pp. 1319-1355, 2014
Number of pages: 37 Posted: 18 Dec 2014
Saqib Sharif, Hamish D. Anderson and Ben R. Marshall
Institute of Business Administration, Karachi, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 0 (803,671)
Citation 1
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Short selling, Margin trading, Overvaluation, Liquidity, Volatility

41.

Sell the Rumour, Buy the Fact?

Accounting & Finance, Vol. 54, Issue 1, pp. 237-249, 2014
Number of pages: 13 Posted: 04 Mar 2014
Massey University - School of Economics and Finance, Massey University - Department of Economics and Finance and Massey University
Downloads 0 (803,671)
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Rumour, Gradual Information Diffusion, Investor Inattention, Limits to Arbitrage

Other Papers (2)

Total Downloads: 0
1.

Financial Distress Prediction in China

Review of Pacific Basin Financial Markets and Policies, Forthcoming
Posted: 26 Sep 2005
Jianguo Chen, Ben R. Marshall, Jenny Zhang and Siva Ganesh
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and affiliation not provided to SSRN

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Financial insolvency, prediction, Chinese market, financial ratios

2.

Country and Sector Effects in Asia Pacific Markets

Posted: 29 May 2005
Jianguo Chen, Ben R. Marshall and Jenny Zhang
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance

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Country effects, Industry Effects, International Finance, Portfolio Risk, Asian Pacific Markets