Kate Phylaktis

City University London - Sir John Cass Business School

Professor of International Finance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

http://www.cass.city.ac.uk/faculty/k.phylaktis/

SCHOLARLY PAPERS

43

DOWNLOADS
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7,842

SSRN CITATIONS
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SSRN RANKINGS

Top 10,262

in Total Papers Citations

77

CROSSREF CITATIONS

44

Scholarly Papers (43)

1.

Stock Prices and Exchange Rate Dynamics

EFMA 2000 Athens, Cass Business School Research Paper
Number of pages: 40 Posted: 18 Dec 2000
Fabiola Ravazzolo and Kate Phylaktis
City University London and City University London - Sir John Cass Business School
Downloads 1,379 (17,017)
Citation 13

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Stock markets, foreign exchange markets, capital market integration, Asian financial crisis, and Pacific Basin capital markets

2.
Downloads 702 ( 44,663)
Citation 1

Currency Risk in Emerging Equity Markets

City University Business School, Finance Working Paper
Number of pages: 51 Posted: 06 Mar 2002
Fabiola Ravazzolo and Kate Phylaktis
City University London and City University London - Sir John Cass Business School
Downloads 497 (68,740)
Citation 2

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International capital asset pricing models (ICAPM), currency risk, capital market integration, emerging markets, and Pacific-Basin capital markets

Currency Risk in Emerging Equity Markets

Cass Business School Research Paper
Number of pages: 41 Posted: 29 Sep 2004
Kate Phylaktis
City University London - Sir John Cass Business School
Downloads 205 (180,415)

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International capital asset pricing models, ICAPM, currency risk, capital market integration, emerging markets, Pacific Basin capital markets

3.

Stock Market Linkages in Emerging Markets: Implications for International Portfolio Diversification

Cass Business School Research Paper
Number of pages: 26 Posted: 09 Jul 2004
Fabiola Ravazzolo and Kate Phylaktis
City University London and City University London - Sir John Cass Business School
Downloads 589 (56,203)
Citation 5

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Capital market linkages, emerging markets, common stochastic trends, international portfolio diversification

4.
Downloads 542 ( 62,358)
Citation 1

European Integration and Corporate Financing

Number of pages: 77 Posted: 10 Jul 2008 Last Revised: 20 Jul 2013
Yaz Gulnur Muradoglu, Ceylan Onay and Kate Phylaktis
Queen Mary University of London, Bogazici University and City University London - Sir John Cass Business School
Downloads 334 (109,725)
Citation 1

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European Integration, Capital Structure, Debt Maturity, FDI, European Firms

European Integration and Corporate Financing

Number of pages: 77 Posted: 06 Feb 2009 Last Revised: 20 Jul 2013
Yaz Gulnur Muradoglu, Ceylan Onay and Kate Phylaktis
Queen Mary University of London, Bogazici University and City University London - Sir John Cass Business School
Downloads 208 (177,955)

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European Integration, Capital Structure, Debt Maturity, FDI, European Firms

5.

Related Securities and Price Discovery: Evidence from NYSE-Listed Non-U.S. Stocks

EFA 2004 Maastricht Meetings Paper, Cass Business School Research Paper
Number of pages: 52 Posted: 19 Mar 2005 Last Revised: 16 Apr 2010
Piotr Korczak and Kate Phylaktis
University of Bristol - Department of Finance and Accounting and City University London - Sir John Cass Business School
Downloads 436 (81,354)
Citation 8

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NYSE specialists, cross-listing, related stocks, price discovery

6.

Futures Trading and Market Microstructure of the Underlying Security: A High Frequency Experiment at the Single Stock Future Level

Number of pages: 34 Posted: 10 Mar 2008 Last Revised: 24 Oct 2013
Kate Phylaktis and Gikas Manalis
City University London - Sir John Cass Business School and Hellenic Exchanges Holdings SA
Downloads 429 (82,924)

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Futures market; market microstructure

7.

The Changing Role of Industry and Country Effects in Global Equity Markets

Cass Business School Research Paper
Number of pages: 42 Posted: 02 Jun 2006
Lichuan Xia and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 397 (90,727)
Citation 2

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Portfolio diversification, Risk, International Equity Markets, Industrial structure

8.

Equity Market Comovement and Contagion: A Sectoral Perspective

EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper
Number of pages: 40 Posted: 02 Dec 2005
Lichuan Xia and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 326 (113,362)
Citation 1

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Contagion, International Diversification, Industry Returns, Financial Integration, Global Linkages

9.

Measuring Financial and Economic Integration with Equity Prices in Emerging Markets

EFMA 2002 London Meetings, Cass Business School Research Paper
Number of pages: 53 Posted: 20 Jun 2002
Fabiola Ravazzolo and Kate Phylaktis
City University London and City University London - Sir John Cass Business School
Downloads 286 (130,247)
Citation 15

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Capital market integration; emerging markets; and Pacific-Basin capital markets

10.

Firms' Industry and Country Effects in Emerging Markets

Cass Business School Research Paper
Number of pages: 26 Posted: 02 Jun 2006
Lichuan Xia and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 235 (158,648)
Citation 3

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International Diversification, Country/Industry Effects, Emerging Markets, Financial Integration, Global Linkages

11.

Country Funds: A Channel for Emerging Equity Markets Integration

EFMA 2001 Lugano Meetings, Cass Business School Research Paper
Number of pages: 32 Posted: 14 Jun 2001
Fabiola Ravazzolo and Kate Phylaktis
City University London and City University London - Sir John Cass Business School
Downloads 218 (170,483)
Citation 2

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Capital market integration, emerging markets, common stochastic trends

12.

Security Transaction Taxes and Financial Volatility: Athens Stock Exchange

Cass Business School Research Paper
Number of pages: 33 Posted: 02 Jun 2006
Antonis A. Aristidou and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 212 (175,016)
Citation 8

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Security Transaction Taxes, Financial Market Volatility, Athens Stock Exchange

13.

Country and Time Variation in Exchange Rate Pass-Through: What Drives It?

Journal of International Money and Finance 31(4), pp. 818-844
Number of pages: 47 Posted: 19 Aug 2011 Last Revised: 08 Sep 2012
J.P. Morgan Chase & Co., Cass Business School, City University of London and City University London - Sir John Cass Business School
Downloads 198 (186,568)

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pass-through, exchange rate, asymmetry, prices, emerging markets, protectionism

14.

Foreign Currency Forecasting: What Can Stock and Bond Markets Tell Us?

Number of pages: 78 Posted: 18 Mar 2021 Last Revised: 14 May 2021
Kate Phylaktis and Ehab Abdel-Tawab Yamani
City University London - Sir John Cass Business School and Chicago State University
Downloads 160 (224,522)

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exchange rates, out of sample predictability, equity returns, bond market returns, financial crisis

15.

Global Liquidity Risk in the Foreign Exchange Market

Number of pages: 50 Posted: 04 Nov 2011
Chiara Banti, Kate Phylaktis and Lucio Sarno
University of Essex, City University London - Sir John Cass Business School and University of Cambridge - Judge Business School
Downloads 148 (239,446)
Citation 10

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foreign exchange, liquidity, order flow, microstructure

Margin Changes and Futures Trading Activity: A New Approach

Number of pages: 46 Posted: 17 Jan 2008
Antonis A. Aristidou and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 148 (240,075)

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Margin Requirements, Financial Market Volatility-Volume, Athens Stock Exchange

Margin Changes and Futures Trading Activity: A New Approach

European Financial Management, Vol. 19, Issue 1, pp. 45-71, 2013
Number of pages: 27 Posted: 29 Jan 2013
Kate Phylaktis and Antonis A. Aristidou
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
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margin requirements, financial market volatility‐volume, Athens Stock Exchange

17.

Do Top Trading Banks in Foreign Exchange Business Know More?

Number of pages: 34 Posted: 27 Feb 2007 Last Revised: 02 Jan 2008
Kate Phylaktis and Long Chen
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 140 (250,561)

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Market Microstructure, Foreign Exchange Markets, Macroeconomic News Announcements, Price Discovery, Information Shares

18.

FX Market Liquidity, Funding Constraints and Capital Flows

Number of pages: 46 Posted: 11 Jun 2012 Last Revised: 17 Oct 2014
Chiara Banti and Kate Phylaktis
University of Essex and City University London - Sir John Cass Business School
Downloads 117 (286,643)
Citation 3

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foreign exchange, liquidity, funding liquidity constraints, capital flows, microstructure

19.

Macroeconomic Announcements and Private Information in the Foreign Exchange Market

Cass Business School Research Paper
Number of pages: 29 Posted: 07 Mar 2005
Kate Phylaktis and Long Chen
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 109 (301,122)

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Market microstructure, foreign exchange rates, foreign exchange markets, macroeconomic news announcements

20.

Global Liquidity, House Prices and Policy Responses

Number of pages: 51 Posted: 14 Feb 2017 Last Revised: 23 May 2019
Chiara Banti and Kate Phylaktis
University of Essex and City University London - Sir John Cass Business School
Downloads 104 (310,921)
Citation 1

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global liquidity, house prices, repos, macroprudential policies

21.

Capital Market Integration in the Pacific Basin Region: An Analysis of Real Interest Rate Linkages

IMF Working Paper No. 95/133, Cass Business School Research Paper
Number of pages: 32 Posted: 15 Feb 2006
Kate Phylaktis
City University London - Sir John Cass Business School
Downloads 103 (312,981)
Citation 15

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22.

Asymmetric Linkages between High-Frequency Dem/USD and GBP/USD Exchange Rates

Number of pages: 42 Posted: 28 Nov 2007
Long Chen and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 98 (323,277)
Citation 1

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Exchange rate volatility linkages, High Frequency data, Exchange rates

23.

On cross-border bank credit and the U.S. financial crisis transmission to equity markets

Journal of International Money and Finance, Vol. 69, No. 108-134, 2016
Number of pages: 46 Posted: 07 Apr 2015 Last Revised: 24 Mar 2017
Cheng Yan, Kate Phylaktis and Ana-Maria Fuertes
affiliation not provided to SSRN, City University London - Sir John Cass Business School and Cass Business School, City University of London
Downloads 87 (348,496)
Citation 3

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U.S. financial crisis; Crisis transmission channel; Capital flows; Bank credit; International trade; Causality; Emerging markets

24.

Legal Regime, Size, and Liquidity Factors in Asset Pricing

Cass Business School Emerging Markets Group Working Paper WP-EMG-13-2009
Number of pages: 41 Posted: 27 Mar 2009 Last Revised: 01 Jun 2011
Bruce Allen Hearn, Jenifer Piesse and Kate Phylaktis
University of Southampton, University of Stellbosch and City University London - Sir John Cass Business School
Downloads 87 (348,496)

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Portfolio Choice, Asset pricing, International Financial Markets, Sub-Saharan Africa

25.

The Demand for Money During High Inflation Episodes: Some Latin American Evidence on the Cagan Model

IMF Working Paper No. 91/48, Cass Business School Research Paper
Number of pages: 22 Posted: 15 Feb 2006
Kate Phylaktis
City University London - Sir John Cass Business School
Downloads 79 (369,189)
Citation 1

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26.

Price Discovery in Foreign Exchange Markets: A Comparison of Indicative and Actual Transaction Prices

Number of pages: 1 Posted: 12 Nov 2008
Long Chen and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 77 (374,683)
Citation 3

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Exchange rates, Foreign Exchange market microstructure, High frequency data, Order flow, Indicative data

27.

Hot Money in Bank Credit Flows to Emerging Markets During the Banking Globalization Era

Journal of International Money and Finance, Vol. 60, No. 29-52, 2016
Number of pages: 40 Posted: 05 Nov 2014 Last Revised: 24 Mar 2017
Ana-Maria Fuertes, Kate Phylaktis and Cheng Yan
Cass Business School, City University of London, City University London - Sir John Cass Business School and affiliation not provided to SSRN
Downloads 72 (388,961)
Citation 3

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International capital flows; Hot money; Crisis transmission; Banking globalisation; Kalman filter

28.

Is Good Governance Priced?

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 77 Posted: 16 Jan 2018 Last Revised: 17 Aug 2019
Bruce Allen Hearn and Kate Phylaktis
University of Southampton and City University London - Sir John Cass Business School
Downloads 71 (391,972)

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Governance, Governance indices, GIM, Asset pricing

29.

The Influence of Institutions, Investor Protection and Corporate Block-Shareholders in Asset Pricing

Number of pages: 46 Posted: 22 Nov 2011
Bruce Allen Hearn, Kate Phylaktis and Jenifer Piesse
University of Southampton, City University London - Sir John Cass Business School and University of Stellbosch
Downloads 62 (420,683)

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Investor Protection, Legal Origin, Asset pricing, International Financial Markets

30.

Expropriation Risk by Block Holders, Institutional Quality and Expected Stock Returns

Journal of Corporate Finance, Forthcoming
Number of pages: 63 Posted: 22 Jan 2016 Last Revised: 02 May 2017
Bruce Allen Hearn, Kate Phylaktis and Jenifer Piesse
University of Southampton, City University London - Sir John Cass Business School and University of Stellbosch
Downloads 54 (449,277)

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Investor Protection, Legal Origin, Asset pricing, International Financial Markets

31.

The Impact of Macroeconomic Factors on the Yield Curve in Emerging Markets: The Case of Sub-Saharan Africa

Number of pages: 55 Posted: 12 Dec 2018
Joe Delvaux, Kate Phylaktis and Steve Thomas
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Downloads 53 (453,023)

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yield curve, bond markets, emerging market economies, Sub-Saharan Africa

32.

Uncovered Equity 'Disparity' in Emerging Markets

Journal of International Money and Finance, Volume 98, November 2019, 102-166
Number of pages: 49 Posted: 22 Jul 2018 Last Revised: 20 Feb 2020
Ana-Maria Fuertes, Kate Phylaktis and Cheng Yan
Cass Business School, City University of London, City University London - Sir John Cass Business School and affiliation not provided to SSRN
Downloads 46 (481,064)
Citation 3

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Uncovered Equity Parity; Equity flows; Equity returns; Foreign exchange rates; Return-chasing; Asian markets

33.

Cross-Border Bank Flows, Funding Liquidity and House Prices

Number of pages: 37 Posted: 02 Jun 2016
Kate Phylaktis and Chiara Banti
City University London - Sir John Cass Business School and University of Essex
Downloads 28 (570,278)
Citation 1

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global liquidity, house prices, repos

34.

Economic Integration and the Currency and Equity Markets Nexus

Forthcoming in International Journal of Finance & Economics
Number of pages: 42 Posted: 12 Aug 2019 Last Revised: 25 Jun 2020
Muhammad Aftab, Rubi Ahmad, Izlin Ismail and Kate Phylaktis
COMSATS University Islamabad, Department of Finance and Banking, University of Malaya, University of Malaya and City University London - Sir John Cass Business School
Downloads 27 (576,417)
Citation 1

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Economic integration, real exchange rate changes, stock return differentials, dynamic conditional correlations

35.

Capital Structures in developing countries around the world: Are small firms different?

Number of pages: 51 Posted: 14 Mar 2010 Last Revised: 15 Oct 2020
Tugba Bas, Yaz Gulnur Muradoglu and Kate Phylaktis
Istanbul Gelisim University, Queen Mary University of London and City University London - Sir John Cass Business School
Downloads 14 (665,024)

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Leverage, capital structure, developing countries, small firms, large firms

36.

Economic Integration and Exchange Market Pressure in a Policy Uncertain World

Number of pages: 40 Posted: 12 May 2021
Muhammad Aftab and Kate Phylaktis
COMSATS University Islamabad and City University London - Sir John Cass Business School
Downloads 9 (710,589)
Citation 1

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financial integration, economic integration, economic policy uncertainty, monetary policy uncertainty, exchange market pressure

37.

An Examination of the Relationship between Stock Return and Trading Activity Under Different Trading Systems

Greek Economic Review, Vol. 21, No 1, 19-36, Spring 2001
Posted: 07 Feb 2014
Manolis G. Kavussanos and Kate Phylaktis
Athens University of Economics and Business - Department of Accounting and Finance and City University London - Sir John Cass Business School

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38.

Price Limits and the Stock Market Volatility in the Athens Stock Exchange

European Financial Management, Vol. 5, No. 1,1999, 69-84
Posted: 07 Feb 2014
Manolis G. Kavussanos, Kate Phylaktis and Gikas Manalis
Athens University of Economics and Business - Department of Accounting and Finance, City University London - Sir John Cass Business School and Hellenic Exchanges Holdings SA

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price limits and volatility, emerging capital markets, ARCH/GARCH modelling, Athens Stock Exchange

39.

Cross Listing Behavior

Posted: 16 Nov 2010
Thomas O’Connor and Kate Phylaktis
National University of Ireland, Maynooth (Maynooth University) - Department of Economics, Finance and Accounting and City University London - Sir John Cass Business School

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International Cross-Listings, Cross-Delistings, Valuation, Bonding, Capital-Raising

40.

Order Flow and Exchange Rate Dynamics: An Application to Emerging Markets

Posted: 08 Mar 2010
Ian W. Marsh and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School

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Order Flow, Foreign Exchange Markets, Exchange Rates, Forex Microstructure

41.

Asymmetric Information, Price Discovery and Macroeconomic Announcements in FX Market: Do Top Trading Banks Know More?

Posted: 09 Jul 2008
Long Chen and Kate Phylaktis
City University London - Sir John Cass Business School and City University London - Sir John Cass Business School

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Market Microstructure, Foreign Exchange Markets, Macroeconomic News Announcements, Price Discovery, Information Shares

42.

Price Limits and Stock Market Volatility in the Athens Stock Exchange

European Financial Management, Vol. 5, No. 1, March 1999, Cass Business School Research Paper
Posted: 25 Oct 1998
Gikas Manalis, Kate Phylaktis and Manolis G. Kavussanos
Hellenic Exchanges Holdings SA, City University London - Sir John Cass Business School and Athens University of Economics and Business - Department of Accounting and Finance

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Stock Prices and the Flow of Information in the Athens Stock Exchange

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996, Cass Business School Research Paper
Posted: 29 Apr 1998
Gikas Manalis, Kate Phylaktis and Manolis G. Kavussanos
Hellenic Exchanges Holdings SA, City University London - Sir John Cass Business School and Athens University of Economics and Business - Department of Accounting and Finance

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Stock Prices and the Flow of Information in the Athens Stock Exchange

European Financial Management, Vol.2, No. 1, 1996, 113-126
Posted: 07 Feb 2014
Manolis G. Kavussanos, Kate Phylaktis and Gikas Manalis
Athens University of Economics and Business - Department of Accounting and Finance, City University London - Sir John Cass Business School and Hellenic Exchanges Holdings SA

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Other Papers (1)

Total Downloads: 11
1.

Ownership Concentration, Institutions and Expected Stock Returns

Number of pages: 55 Posted: 18 Feb 2014
Bruce Allen Hearn, Kate Phylaktis and Jenifer Piesse
University of Southampton, City University London - Sir John Cass Business School and University of Stellbosch
Downloads 11

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Investor Protection, Legal Origin, Asset pricing, International Financial Markets