Janusz Brzeszczynski

Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom

Professor of Finance

Department of Accounting and Financial Management

City Campus East

Newcastle upon Tyne, NE1 8ST

United Kingdom

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 17,631

in Total Papers Downloads

3,327

SSRN CITATIONS
Rank 41,565

SSRN RANKINGS

Top 41,565

in Total Papers Citations

7

CROSSREF CITATIONS

10

Scholarly Papers (12)

1.

Dividend Yield Strategy in the British Stock Market 1994-2007

Number of pages: 19 Posted: 06 Mar 2008
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, Heriot-Watt University, University of Lodz and Heriot-Watt University
Downloads 1,312 (17,746)
Citation 4

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dividends, investment strategy, stock market, returns predictability, asset pricing, efficient markets theory

2.

Rethinking Financial Contagion: Information Transmission Mechanism During the COVID-19 Pandemic.

Number of pages: 46 Posted: 17 May 2020 Last Revised: 01 Jun 2020
University of Southampton - Southampton Business School, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Akron - Department of Finance, College of Business Administration, Trinity Business School, Trinity College Dublin and University of Huddersfield
Downloads 1,210 (20,050)
Citation 20

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Contagion, COVID-19, Return and Volatility Transmission, Spillovers Effect, Coronavirus, Black Swan

3.

Heteroscedasticity and Interval Effects in Estimating Beta: UK Evidence

Applied Financial Economics 21, 2011, pp. 1525-38
Number of pages: 39 Posted: 06 Mar 2008 Last Revised: 04 Oct 2014
Seth Armitage and Janusz Brzeszczynski
University of Edinburgh - Accounting and Finance and Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom
Downloads 358 (99,626)
Citation 2

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beta estimation, heteroscedasticity, ARCH models, thin trading, interval effects

4.

Price and Volatility Spillovers Across the International Steam Coal Market

Number of pages: 53 Posted: 31 Mar 2017
RMIT University, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of North Carolina at Wilmington, University of Huddersfield, Trinity Business School, Trinity College Dublin and University of Southampton - Southampton Business School
Downloads 83 (351,108)
Citation 1

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Integration; Information transmissions; Generalized VAR model; Steam coal

5.

Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007.

Number of pages: 36 Posted: 23 Oct 2014
Boulis Maher Ibrahim and Janusz Brzeszczynski
Heriot Watt University and Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom
Downloads 77 (366,858)

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Stock Markets Interdependence, Meteor Shower Effects, Global Financial Crisis (GFC), Foreign Information Transmission (FIT) model

6.

Liquidity Measures and Cost of Trading in an Illiquid Market.

Forthcoming in: Journal of Emerging Market Finance
Number of pages: 46 Posted: 27 Sep 2014
Seth Armitage, Janusz Brzeszczynski and Anna Serdyuk
University of Edinburgh - Accounting and Finance, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and University of Edinburgh
Downloads 68 (392,938)

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liquidity, cost of trading, emerging stock market, market microstructure, Ukraine

7.

Investment Performance of Component Stocks from the Respect Sustainability Index at the Warsaw Stock Exchange

31st Australasian Finance and Banking Conference 2018
Number of pages: 21 Posted: 30 Jul 2018
Janusz Brzeszczynski, Jerzy Gajdka and Tomasz Schabek
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Lodz and University of Lodz - Faculty of Economics and Sociology
Downloads 53 (443,843)

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Socially Responsible Investments (SRI), Sustainability, Stock Market Performance, Indexing effect, RESPECT index

8.

Large Capital Inflows and Stock Returns in a Thin Market

National Bank of Poland Working Paper No. 120
Number of pages: 38 Posted: 18 Jul 2012 Last Revised: 08 Jul 2016
Janusz Brzeszczynski, Martin T. Bohl and Dobromil Serwa
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Muenster and National Bank of Poland
Downloads 46 (471,379)

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Institutional Investors, Stock Market Returns, Pension Funds, Capital Flows

9.

Does Central Bank Communication Matter in Emerging European Markets? Evidence from Poland

Number of pages: 55 Posted: 14 Sep 2014
Janusz Brzeszczynski, Jerzy Gajdka and Ali M. Kutan
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Lodz and Southern Illinois University at Edwardsville
Downloads 45 (475,609)

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macroeconomic announcements, central bank, foreign exchange market, stock market, returns volatility and market activity

10.

The Relevance of the Strength and Direction of Return Signals from Foreign and Domestic Markets to Investment Strategies

Number of pages: 44 Posted: 25 Feb 2014
Janusz Brzeszczynski and Boulis Maher Ibrahim
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and Heriot Watt University
Downloads 39 (502,149)

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Meteor shower; Information transmission; Kalman filter; Foreign Information Transmission model

11.

Public Information Arrival and Investor Reaction During a Period of Institutional Change: An Episode of Early Years of a Newly Independent Central Bank

Number of pages: 46 Posted: 02 May 2012
Janusz Brzeszczynski and Ali M. Kutan
Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and Southern Illinois University at Edwardsville
Downloads 24 (583,479)

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institutional change, foreign exchange market, central bank, macroeconomic announcements, investor reaction, trading volume and volatility

12.

The COVID-19 Storm and the Energy Sector: The Impact and Role of Uncertainty

Energy Economics, Forthcoming
Number of pages: 63 Posted: 01 Apr 2021
Jan Szczygielski, Janusz Brzeszczynski, Ailie Charteris and Princess Bwanya
Department of Financial Management, University of Pretoria, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of Cape Town (UCT) - Department of Finance and Tax and Newcastle Business School, Northumbria Univeristy
Downloads 12 (673,438)

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COVID-19, pandemic, returns, volatility, uncertainty, energy sector

Other Papers (1)

Total Downloads: 32
1.

Institutional Investors and Stock Returns Volatility: Empirical Evidence from a Natural Experiment

Number of pages: 17 Posted: 17 Feb 2005
Martin T. Bohl, Janusz Brzeszczynski and Bernd Wilfling
University of Muenster, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom and Westfälische Wilhelms-Universität
Downloads 32

Abstract:

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Institutional traders, Polish stock market, pension fund investors, stock market volatility, Markov-switching-GARCH model