Research

 

Published papers:

1) Yarovaya, L., Brzeszczynski, J. & Lau, C.K.M. (2016). Intra- and Interregional Return and Volatility Spillovers across Emerging and Developed Markets: Evidence from Stock Indices and Stock Index Futures. International Review of Financial Analysis, 43, 96-114.

2) Apergis, N., Lau, C.K.M., Yarovaya, L.A. (2016). Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries. International Review of Financial Analysis, 47, 50-59.

3) Yarovaya, L. & Lau, C.K.M.  (2016). Stock market comovements around the Global Financial Crisis: Evidence from the UK, BRICS and MIST markets. Research in International Business and Finance, 37, 605–619.

4) Yarovaya, L., Brzeszczynski, J. & Lau, C.K.M. (2016). Volatility Spillovers across Stock Index Futures in Asian Markets: Evidence from Range Volatility Estimators. Finance Research Letters, 17, 158-166.

5) Aloui, C., Hkiri, B., Lau, C.K.M. & Yarovaya, L. (2016). Investors’ sentiment and US Islamic and conventional indexes nexus: a time-frequency analysis. Finance Research Letters. http://dx.doi.org/10.1016/j.frl.2016.06.002

 

Research Papers (under review):

1) Cornwell, A., Yarovaya, L.A., Thompson, M. (2016). Advancing the Puzzle: Toward a Unified Model of MNE Decision-Making in Conflict-Settings. Journal of International Business Studies. (Revise and Resubmit/currently under review);

2)  Apergis, N., Lau, C.K.M., Yarovaya (2016). Evidence on Price and Volatility Spillovers across Australian Electricity Markets. Energy Economics. (Currently under review).

3) Harrathi, N., Aloui, C., Yarovaya, L.A., Lau, C.K.M. (2016). The Euro-American-British financial CDS markets: who are the stress transmitters and receivers of volatility spillovers? Economic Modelling. (Currently under review).

4) Yarovaya, L., Brzeszczynski, J. & Lau, C.K.M. (2016). Asymmetry in spillover effects: Evidence for international stock index futures markets. International Review of Financial Analysis (under review in Infiniti 2016 Special Issue).

5) Lau, C.K.M., Vigne, S., Wang, S., Yarovaya (2016). Return spillovers between White Metals ETFs: The Role of Oil, Gold, and Global Equity. International Review of Financial Analysis (Under Review in White Metals Special Issue).

Working papers:

Yarovaya, L., Lucey, B., Brzeszczynski, J. &  Lau, C.K.M. (2016)  International return and volatility transmission: a review of academic literature.

Aloui, C., Lau, C.K.M. & Yarovaya, L. (2016). Information transmission across stock indices and stock index futures: international evidence using wavelet framework.

Batten, J., Brzeszczynski, J., Ciner, C., Lau, C.K.M., Lucey, B., Yarovaya L. (2016). Evidence on Price and Volatility Spillovers across International Steam Coal Markets.

Bohl, M, Brzeszczynski, J., Wilfling, B., Yarovaya (2016). Institutional investors and stock returns volatility: Empirical evidence from a Chinese public pension funds.

Yarovaya, L. & Lucey, B. (2016) Economic determinants of financial markets spillovers.

Conferences attended:

Paper Harrathi, N., Aloui, C., Yarovaya, L.A., Lau, C.K.M. (2016). The Euro-American-British financial CDS markets: who are the stress transmitters and receivers of volatility spillovers? Presented at the INFINITI Asia-Pacific conference on International Finance, 7-8 December, Ho Chi Minh City, Vietnam.

Paper “Intra- and Inter-regional Return and Volatility Spillovers across Emerging and Developed Markets: Evidence from Stock Indices and Stock Index Futures” presented at the British Accounting and Finance Association (BAFA) NAG conference, 3-4 September 2015, Hull, UK.

Paper “Global stock price linkages around world financial crisis: UK evidence” presented on the 12th INFINITI Conference on International Finance, 9-10 June 2014, Prato, Italy.

Paper “Intra- and Interregional Return and Volatility Spillovers across Emerging and Developed Markets: Evidence from Stock Indices and Stock Index Futures” presented at Newcastle Business School Research Conference, 29-30 June, 2015, Newcastle upon Tyne, UK.

Poster presentation “Intra- and Interregional Return and Volatility Spillovers across Emerging and Developed Markets: Evidence from Stock Indices and Stock Index Futures” at the second Young Finance Scholar Conference, 25 June 2015, Sussex University, UK

Poster presentation “Application of ANN for assessing IPD in emerging markets” on the Young Finance Scholar Conference’, 8-9 May 2014, Sussex, UK.

Poster presentation “An empirical framework to assess IPD benefits in emerging markets” Newcastle Business School Research conference ,23-24 June 2014, Newcastle upon Tyne, UK.

Proceedings:

Yarovaya, L. (2014). Can macroeconomic indicators predict stock market returns? Evidence from BRICS.  Topical areas of fundamental and applied research IV. Vol. 2: Proceedings of the Conference. North Charleston, USA, 04-05.08

Yarovaya, L.A., Ragulina, U.V., Veneduhina, M.A. & Daurova, A.M. (2012). Public-private partnership in the oil and gas sector of the Russian Federation. Pipeline transport: theory and practice, 3(31), 52-54. [Language: Russian]

Yarovaya, L.A. & Samilin, A.I. (2011). The financing of innovations in corporations. Russian modernization: social, financial, economic and legal aspects. Paper presented at II International Scientific Student Congress, 12-20 April, Moscow, Russia. Conference Proceedings, Vol. 2, p.32-34, Moscow: Finuniversitet. [Language: Russian]

Yarovaya, L.A. & Belgarokova, N.M. (2011). Social adaptation of disabled athletes. Russian modernization: social, financial, economic and legal aspects. Paper presented at II International Scientific Student Congress, 12-20 April, Moscow, Russia. Conference Proceedings, Vol. 2, p. 139-141, Moscow: Finuniversitet. [Language: Russian]

Yarovaya, L.A. & Belyaeva, I. U. (2011). Application of PR-technologies in election campaign of political parties. The system of state and municipal government: Problems and Prospects. Paper presented at VI Russian National Conference of Applied Research, Moscow, Russia. Conference Proceedings, Vol. 1, Moscow: Finuniversitet. [Language: Russian]