Article

Williams, G. and Alsakka, R. and Ap Gwilym, O. (2015) Does sovereign creditworthiness affect bank valuations in emerging markets? Journal of International Financial Markets, Institutions and Money, 36. pp. 113-129. DOI: 10.1016/j.intfin.2015.02.001

Vu, H. and Alsakka, R. and Ap Gwilym, O. (2015) The credit signals that matter most for sovereign bond spreads with split rating. Journal of International Money and Finance, 53. pp. 174-191. DOI: 10.1016/j.jimonfin.2015.01.005

Tran, V. and Alsakka, R. and Ap Gwilym, O. (2014) Sovereign rating actions and the implied volatility of stock index options. International Review of Financial Analysis, 34. pp. 101-113. DOI: 10.1016/j.irfa.2014.05.010

Alsakka, R. and Ap Gwilym, O. and Vu, T.N. (2014) The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis. Journal of International Money and Finance, 49 (part B). pp. 235-257. DOI: 10.1016/j.jimonfin.2014.03.012

Ap Gwilym, O. and Kita, A. and Wang, Q. (2014) Speculate against speculative demand. International Review of Financial Analysis, 34. pp. 212-221. DOI: 10.1016/j.irfa.2014.03.001

Verousis, T. and Ap Gwilym, O. (2013) The implications of a price anchoring effect at the upstairs market of the London Stock Exchange. International Review of Financial Analysis, 32. pp. 37-46. DOI: 10.1016/j.irfa.2013.12.001

Williams, G. and Alsakka, R. and Ap Gwilym, O. (2013) The impact of sovereign rating actions on bank ratings in emerging markets. Journal of Banking & Finance, 37 ((2)). pp. 563-577. DOI: 10.1016/j.jbankfin.2012.09.021

Ap Gwilym, O. and Verousis, T. (2013) Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level. Journal of Futures Markets, 33 ((1)). pp. 55-76. DOI: 10.1002/fut.21547

Alsakka, R. and Ap Gwilym, O. (2013) Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers. Journal of Economic Behavior & Organization, 85. pp. 144-162. DOI: 10.1016/j.jebo.2011.12.007

Verousis, T. and Ap Gwilym, O. (2012) Trade size clustering and the cost of trading at the London Stock Exchange. International Review of Financial Analysis. DOI: 10.1016/j.irfa.2012.08.007

Alsakka, R. and Ap Gwilym, O. (2012) Foreign exchange market reactions to sovereign credit news. Journal of International Money and Finance, 31 ((4)). pp. 845-864. DOI: 10.1016/j.jimonfin.2012.01.007

Alsakka, R. and Ap Gwilym, O. (2012) The causes and extent of split sovereign credit ratings in emerging markets. Emerging Markets Finance and Trade, 48 ((1)). pp. 4-24. DOI: 10.2753/REE1540-496X480101

Alsakka, R. and Ap Gwilym, O. (2012) Rating agencies' credit signals: An analysis of sovereign watch and outlook. International Review of Financial Analysis, 21. pp. 45-55. DOI: 10.1016/j.irfa.2011.10.002

Alsakka, R. and Ap Gwilym, O. (2011) Sovereign rating actions: is the criticism justified? Intereconomics : review of European economic policy, 46 ((5)). pp. 248-253. DOI: doi:

Verousis, T. and Ap Gwilym, O. (2011) Return reversals and the compass rose: insights from high frequency options data. The European Journal of Finance, 17 ((9-10)). pp. 883-896. DOI: 10.1080/1351847X.2010.538524

McGroarty, F. and Ap Gwilym, O. and Thomas, S. (2011) Structural changes, bid-ask spread composition and tick size in inter-bank futures trading. European Journal of Finance, 17 ((4)). pp. 285-306. DOI: 10.1080/1351847X.2010.481465

Aguenaou, S. and Ap Gwilym, O. and Rhodes, M. (2010) Open interest, cross listing, and information shocks. Journal of Futures Markets, 31 ((8)). pp. 755-778. DOI: 10.1002/fut.20494

Alsakka, R. and Ap Gwilym, O. (2010) Leads and lags in sovereign credit ratings. Journal of Banking and Finance, 34 ((11)). pp. 2614-2626. DOI: 10.1016/j.jbankfin.2010.05.001

Ap Gwilym, O. and Clare, A. and Seaton, J. and Thomas, S. (2010) Price and momentum as robust tactical approaches to global equity investing. Journal of Investing, 19 ((3)). pp. 80-91. DOI: 10.3905/joi.2010.19.3.080

McGroarty, F. and Ap Gwilym, O. and Thomas, S. (2010) Market structure and microstructure, in international interest rate futures markets. Research in International Business and Finance, 24 ((3)). pp. 253-266. DOI: 10.1016/j.ribaf.2009.12.005

Alsakka, R. and Ap Gwilym, O. (2010) A random effects ordered probit model for ranting migrations. Finance Research Letters, 7 ((3)). pp. 140-147. DOI: 10.1016/j.frl.2010.02.004

Alsakka, R. and Ap Gwilym, O. (2010) A random effects ordered probit model for rating migrations. Finance Research Letters, 7 ((3)). pp. 140-147. DOI: 10.1016/j.frl.2010.02.004

Alsakka, R. and Ap Gwilym, O. (2010) Split sovereign ratings and rating migrations in emerging economies. Emerging Markets Review, 11 ((2)). pp. 79-97. DOI: 10.1016/j.ememar.2009.11.005

Ap Gwilym, O. and Meng, L. (2010) Size clustering in the FTSE100 index futures market. Journal of Future Markets, 30 ((5)). pp. 432-443. DOI: 10.1002/fut.20429

Ap Gwilym, O. and Verousis, T. (2010) Price clustering and underpricing in the IPO aftermarket. International Review of Financial Analysis, 19 ((2)). pp. 89-97. DOI: 10.1016/j.irfa.2010.01.007

Verousis, T. and Ap Gwilym, O. (2010) An improved algorithm for cleaning Ultra high-frequency data. Journal of Derivatives and Hedge Funds, 15 ((4)). pp. 323-340. DOI: 10.1057/jdhf.2009.16

Book Section

Alsakka, R. and Ap Gwilym, O. (2011) The information content of sovereign watchlist and outlook: S&P versus Moody's. In: Bank Strategy. Governance and Ratings . Unknown, pp. 134-156. ISBN 978-0230313347

Conference or Workshop Item

Alsakka, R. and Ap Gwilym, O. (2010) The extent and causes of sovereign split ratings. In: Euro Conference 2010, Society for the Study of Emerging Markets.