Andrew Urquhart

ICMA Centre, Henley Business School

Associate Professor Finance

University of Reading

Whiteknights

Reading, Berkshire RG6 6BA

United Kingdom

SCHOLARLY PAPERS

35

DOWNLOADS
Rank 2,958

SSRN RANKINGS

Top 2,958

in Total Papers Downloads

15,231

SSRN CITATIONS
Rank 4,729

SSRN RANKINGS

Top 4,729

in Total Papers Citations

270

CROSSREF CITATIONS

20

Ideas:
“  Fintech in general, but specifically Crowdfunding, Cryptocurrencies and Blockchain, as well as high-frequency trading, investments and corporate governance.  ”

Scholarly Papers (35)

1.

Optimal vs. Naïve Diversification in Cryptocurrencies

Economics Letters, Forthcoming
Number of pages: 11 Posted: 27 Jul 2018 Last Revised: 23 Jan 2019
University of Bath - School of Management, University of Reading - ICMA Centre and ICMA Centre, Henley Business School
Downloads 2,185 (8,252)
Citation 7

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Cryptocurrencies, Optimal Diversification, Naive Diversification, Portfolio Optimization

2.

Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach

The British Accounting Review, Forthcoming
Number of pages: 41 Posted: 07 Aug 2018 Last Revised: 23 Jun 2019
Emmanouil Platanakis and Andrew Urquhart
University of Bath - School of Management and ICMA Centre, Henley Business School
Downloads 2,121 (8,655)
Citation 13

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Bitcoin; Diversification; Out-of-Sample Performance; Portfolio Optimization

3.

Portfolio Management with Cryptocurrencies: The Role of Estimation Risk

Economics Letters, Forthcoming
Number of pages: 12 Posted: 09 Dec 2018 Last Revised: 23 Jan 2019
Emmanouil Platanakis and Andrew Urquhart
University of Bath - School of Management and ICMA Centre, Henley Business School
Downloads 1,994 (9,598)
Citation 13

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Cryptocurrencies, Estimation Errors, Portfolio Optimization

4.

Cryptocurrencies as a Financial Asset: A Systematic Analysis

Number of pages: 49 Posted: 19 Mar 2018
Dublin City University, Trinity Business School, Trinity College Dublin, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 1,213 (20,885)
Citation 72

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Cryptocurrencies, Pricing Bubbles, Regulation, Cyber Criminality, Systematic Literature Review

5.

The Inefficiency of Bitcoin

Number of pages: 7 Posted: 24 Aug 2016 Last Revised: 26 Aug 2016
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 1,151 (22,600)
Citation 74

Abstract:

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Bitcoin, Market Efficiency, Cryptocurrency, Random Walk

6.

A Seasonality Factor in Asset Allocation

Number of pages: 40 Posted: 05 Nov 2018 Last Revised: 20 Mar 2019
University of Southampton - Southampton Business School, University of Bath - School of Management, University of Nottingham and ICMA Centre, Henley Business School
Downloads 937 (30,420)

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asset allocation; turn-of-the-month; seasonality; timing; portfolio optimization

7.

Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver

Number of pages: 23 Posted: 29 Aug 2015
ICMA Centre, Henley Business School, RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 850 (34,858)

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Gold, Silver, Technical analysis, Trading, High frequency

8.

Intraday Time Series Momentum: Global Evidence and Links to Market Characteristics

Journal of Financial Markets, Forthcoming
Number of pages: 62 Posted: 10 Oct 2019 Last Revised: 08 Jan 2021
Zeming Li, Athanasios Sakkas and Andrew Urquhart
University of Southampton, University of Nottingham and ICMA Centre, Henley Business School
Downloads 581 (57,811)

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High frequency trading, Intraday, International markets, Momentum, Market characteristics

9.

Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis

Number of pages: 25 Posted: 10 Feb 2018
Andrew Urquhart and Hanxiong Zhang
ICMA Centre, Henley Business School and Sheffield University Management School
Downloads 512 (67,669)
Citation 33

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Safe Haven; Hedge; Bitcoin; High Frequency; Dynamic Conditional Correlation

10.

Technical Analysis and Cryptocurrencies

Annals of Operations Research, Forthcoming
Number of pages: 33 Posted: 03 Jun 2019 Last Revised: 09 Sep 2019
Robert Hudson and Andrew Urquhart
Hull University Business School (HUBS) and ICMA Centre, Henley Business School
Downloads 422 (85,499)
Citation 3

Abstract:

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Technical Analysis, Cryptocurrencies, Bitcoin, Data-Snooping, Market Efficiency

11.

Price Clustering in Bitcoin

Number of pages: 7 Posted: 18 Jul 2017
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 332 (112,359)
Citation 28

Abstract:

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Bitcoin, Price Clustering, Cryptocurrency

12.

The Intraday Dynamics of Bitcoin

Number of pages: 24 Posted: 07 Aug 2017
Andrea Eross, Frank McGroarty, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, University of Southampton - Southampton Business School, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 330 (113,091)
Citation 9

Abstract:

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Bitcoin; Cryptocurrency; Intraday Patterns; Granger causality; Lead-Lag; High-Frequency

13.

What Causes the Attention of Bitcoin?

Number of pages: 12 Posted: 10 Jan 2018
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 321 (116,512)
Citation 26

Abstract:

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Investor Attention, Bitcoin, Google Search Volume Index, Realized Volatility

14.

The Adaptive Market Hypothesis and Stock Return Predictability: Evidence from Major Stock Indices

Number of pages: 29 Posted: 08 Aug 2015
Andrew Urquhart and Frank McGroarty
ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 310 (120,923)
Citation 2

Abstract:

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Adaptive market hypothesis, stock return predictability, market conditions, market efficiency

15.

Do Momentum and Reversal Strategies Work in Commodity Futures? A Comprehensive Study

Number of pages: 36 Posted: 15 Nov 2018
Andrew Urquhart and Hanxiong Zhang
ICMA Centre, Henley Business School and Sheffield University Management School
Downloads 253 (149,276)

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Commodity futures, Momentum, Reversal, Formation-holding windows, Herding

16.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School, The University of Sydney and ICMA Centre, Henley Business School
Downloads 211 (177,672)

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Precious metals; High-frequency; Intraday periodicity; Correlation; Gold; Silver; Platinum; Palladium

17.

Ultra-High-Frequency Pairs Trading in Gold ETFs

Number of pages: 31 Posted: 07 Jun 2017
Thong Dao, Frank McGroarty and Andrew Urquhart
University of Southampton - Business School, University of Southampton - Southampton Business School and ICMA Centre, Henley Business School
Downloads 180 (205,127)

Abstract:

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pairs trading, statistical arbitrage, high frequency, gold ETFs

18.

An Early Warning Indicator for Liquidity Shortages in the Interbank Market

Number of pages: 30 Posted: 12 Sep 2015 Last Revised: 29 Oct 2016
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 155 (232,968)
Citation 1

Abstract:

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interbank market, liquidity, financial crisis, regime switching, Bayesian

19.

Liquidity Risk Contagion in the Interbank Market

Number of pages: 33 Posted: 03 Feb 2016 Last Revised: 26 Aug 2016
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 148 (242,020)
Citation 1

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Interbank market, Liquidity shocks, Structural breaks, Financial crisis, Contagion

20.

How Predictable Are Precious Metal Returns?

Number of pages: 28 Posted: 20 Aug 2015 Last Revised: 26 Aug 2016
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 141 (251,666)
Citation 2

Abstract:

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Precious Metals, Predictability, Adaptive Market Hypothesis, Market Efficiency

21.

What If Bitcoin Futures Had Never Been Introduced?

Number of pages: 46 Posted: 08 Dec 2019
Akanksha Jalan, Roman Matkovskyy and Andrew Urquhart
ESC Rennes School of Business, Rennes School of Business and ICMA Centre, Henley Business School
Downloads 127 (272,650)
Citation 2

Abstract:

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Bitcoin Futures, Returns, Volatility, Liquidity

22.

Forecasting the Volatility of Bitcoin: The Importance of Jumps and Structural Breaks

European Financial Management, Forthcoming
Number of pages: 40 Posted: 17 Sep 2019 Last Revised: 15 Dec 2019
Dehua Shen, Andrew Urquhart and Pengfei Wang
Tianjin University - College of Management and Economics, ICMA Centre, Henley Business School and Tianjin University - College of Management and Economics
Downloads 99 (324,498)
Citation 4

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Volatility Forecasting, Bitcoin, Realized Volatility, Jumps, Structural Breaks

23.

Forecasting GDP Growth Rates Using Google Trends in the United States and Brazil

Number of pages: 48 Posted: 09 Jun 2021
Evripidis Bantis, Michael P. Clements and Andrew Urquhart
ICMA Centre, Henley Business School, University of Reading - Henley Business School and ICMA Centre, Henley Business School
Downloads 81 (367,569)

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Big Data, Google Search, Factor Models, Nowcasting, Variable Selection

24.

Investigating Risk Contagion Initiated by Endogenous Liquidity Shocks: Evidence from the US and Eurozone Interbank Market

Number of pages: 35 Posted: 19 Mar 2016 Last Revised: 05 Feb 2018
Andrea Eross, Andrew Urquhart and Simon Wolfe
Heriot-Watt University, ICMA Centre, Henley Business School and University of Southampton - Southampton Business School
Downloads 76 (381,239)
Citation 1

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Contagion, Endogenous risk, Financial crisis, Interbank market, Liquidity shocks, Regime switching

25.

Large Price Changes and Pervasive Non-Linearity in Financial Markets: Implications and Interpretations

Leeds University Business School Working Paper No. 18-03
Number of pages: 47 Posted: 24 Mar 2017
Shima Amini, Robert Hudson, Jian Wang and Andrew Urquhart
University of Leeds, Hull University Business School (HUBS), University of Hull and ICMA Centre, Henley Business School
Downloads 72 (392,933)

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Stock Return; Predictability; Large Price Changes; Autocorrelation; Non-linearity; Technical Trading

26.

UK Vice Chancellor Compensation: Do They Get What They Deserve?

Number of pages: 33 Posted: 30 Jan 2020
Brian M. Lucey, Andrew Urquhart and Hanxiong Zhang
Trinity Business School, Trinity College Dublin, ICMA Centre, Henley Business School and Sheffield University Management School
Downloads 68 (405,249)

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Vice Chancellors, Compensation, Pay Gap, Performance

27.

Political Uncertainty and Sentiment: Evidence From the Impact of Brexit on Financial Markets

Number of pages: 35 Posted: 23 Jul 2020
Robert Hudson, Andrew Urquhart and Hanxiong Zhang
Hull University Business School (HUBS), ICMA Centre, Henley Business School and Sheffield University Management School
Downloads 61 (428,416)

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Event Study, EU Referendum, Risk, Investor Sentiment, Market Efficiency, GARCH

28.

Should Ethical Traders Employ Technical Analysis?

Number of pages: 41 Posted: 12 Jul 2018
Andrew Urquhart and Hanxiong Zhang
ICMA Centre, Henley Business School and Sheffield University Management School
Downloads 57 (442,800)

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Socially Responsible Investments, Technical Analysis, Data-Snooping

29.

What Drives Bitcoin’s Price Crash Risk?

Economics Letters, Forthcoming
Number of pages: 11 Posted: 02 Nov 2019
Department of Banking and Finance, Southampton Business School, University of Southampton, University of Southampton - Department of Banking and Finance, University of Nottingham and ICMA Centre, Henley Business School
Downloads 55 (450,152)
Citation 6

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Bitcoin, Crash Risk, EPU, VIX, VSTOXX, Behavioral Factors

30.

Uncertainty of Uncertainty and Firm Cash Holdings

Journal of Financial Stability, Forthcoming
Number of pages: 35 Posted: 12 Feb 2021
John W. Goodell, Abhinav Goyal and Andrew Urquhart
University of Akron - Department of Finance, College of Business Administration, University College Cork and ICMA Centre, Henley Business School
Downloads 53 (457,589)

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Economic policy uncertainty, Uncertainty of uncertainty, Cash holdings, Real options, Transaction costs

31.

Female CFOs, Leverage and the Moderating Role of Board Diversity and CEO Power

Journal of Corporate Finance, Forthcoming
Number of pages: 53 Posted: 18 Feb 2021
Lisa Schopohl, Andrew Urquhart and Hanxiong Zhang
ICMA Centre, Henley Business School, University of Reading, ICMA Centre, Henley Business School and Sheffield University Management School
Downloads 49 (473,368)

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32.

How Does Social Media Influence Earnings Management?

Number of pages: 52 Posted: 12 Feb 2021 Last Revised: 14 May 2021
Wei Zhang, Yi Li, Andrew Urquhart and Pengfei Wang
Tianjin University - College of Management and Economics, Tianjin University - College of Management and Economics, ICMA Centre, Henley Business School and Tianjin University - College of Management and Economics
Downloads 47 (481,587)

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Internet stock message boards; Earnings management; Cognitive evaluation theory

33.

The Euro and European Stock Market Efficiency

Applied Financial Economics, Vol. 24, No. 19, 2014
Number of pages: 25 Posted: 11 Feb 2014 Last Revised: 20 Aug 2015
Andrew Urquhart
ICMA Centre, Henley Business School
Downloads 39 (517,541)

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market efficiency, Euro currency, predictability, changing efficiency

34.

MAX Momentum in Cryptocurrency Markets

Posted: 29 Jun 2020
Yi Li, Andrew Urquhart, Pengfei Wang and Wei Zhang
Tianjin University - College of Management and Economics, ICMA Centre, Henley Business School, Tianjin University - College of Management and Economics and Tianjin University - College of Management and Economics

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Cryptocurrency; MAX effect; Momentum

35.

The Volatility of Bitcoin

Posted: 22 Feb 2017
Andrew Urquhart
ICMA Centre, Henley Business School

Abstract:

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Bitcoin, Realized Volatility, Cryptocurrency, HAR models, GARCH models