Professor Owain Ap Gwilym
Deputy Head of School / Profess
Lead (The Institute of European Finance - Credit Risk)
Overview
Profile
Professor of Finance
Professor ap Gwilym has published over ninety academic research articles. His work has appeared in many internationally recognised journals such as Journal of Banking and Finance, Journal of International Money and Finance, European Financial Management, Financial Analysts Journal, Journal of Futures Markets and Journal of Business Finance and Accounting. Previously he was Professor of Finance at Aberystwyth University until joining Bangor in 2008, and he has also held academic posts at the universities of Southampton and Swansea.
For Accounting & Finance, Bangor Business School is ranked 5th in the UK in The Guardian 2024 university rankings. The School is ranked 3rd in the UK in the 2023 Postgraduate Taught Experience Survey (PTES) for Business & Management.
Owain is a member of the management board of the Institute of European Finance (IEF) at Bangor. Within the IEF, he leads the Responsible Banking research planning group and is a member of the Credit Risk research planning group. Both groups involve productive collaborations among academic staff, doctoral students, emeritus staff, external associate members, regulators and industry.
He has engaged in projects with various organisations including CFA UK, Chartered Banker Institute, Financial Times, Fitch Learning, Fitch Ratings, InteractiveData, Inquire, Moody’s Investors Service, Risk Books and Scottish Widows.
He is an associate editor of the European Journal of Finance and has been editor of World Banking Abstracts.
Qualifications
PhD (Finance), University of Wales (Swansea).
BSc (Management Science), University of Wales (Swansea).
Roles within Bangor Business School
- Deputy Head of School.
- Postgraduate programme director in accounting, banking, business data analytics and finance.
- Link tutor with Bangor University International College (BUIC).
Additional Contact Information
Professor Owain ap Gwilym
Division: Financial Studies
Location: Room 1.17, Hen Goleg
Telephone: 01248 38 2176
Email: owain.apgwilym@bangor.ac.uk
Teaching and Supervision
Research Interests
Credit risk and credit ratings, European banking, Investment and financial technology.
Research Supervision
I have supervised 25 completed PhDs.
Some of my PhD graduates have subsequently held academic posts (up to professorial level) at the universities of Aberdeen, Bath, East Anglia, Essex, Heriot-Watt, Newcastle, Reading, Southampton, Strathclyde, Surrey, Swansea and Vlerick, amongst others.
Teaching
Postgraduate Teaching
- International Financial Markets (ABJ/ASB-4403).
- Financial Technology (ABJ/ASB-4008).
- FinTech with Project (ABJ/ASB-4013).
- Applied Business Projects (ABJ/ASB-4904/5).
- Finance Dissertation (co-ordinator, ABJ/ASB-4909).
- Chartered Financial Analyst (CFA) Pathway (co-ordinator, ABJ/ASB-4910).
- MSc Dissertations (co-ordinator).
- Core Competencies for Postgraduate Researchers (ASB-4931).
- Current Issues in Business & Management (ASB-4936).
Undergraduate Teaching
- Financial Technology (ASB-3008, ASB-3010).
Postgraduate Project Opportunities
Publications
2024
- PublishedThe evolution and determinants of the non-performing loan burden in Italian banking
Pancotto, L., ap Gwilym, O. & Williams, J., Apr 2024, In: Pacific-Basin Finance Journal. 84, 102306.
Research output: Contribution to journal › Article › peer-review
2023
- PublishedDeal! Market reactions to the agreement on the EU Covid-19 recovery fund
Pancotto, L., ap Gwilym, O. & Molyneux, P., 31 Jul 2023, In: Journal of Financial Stability.
Research output: Contribution to journal › Article › peer-review - PublishedTechnical analysis as a sentiment barometer and the cross-section of stock returns
Ding, W., Mazouz, K., ap Gwilym, O. & Wang, Q., Nov 2023, In: Quantitative Finance. 23, 11, p. 1617-1636
Research output: Contribution to journal › Article › peer-review
2022
- PublishedDoes competition improve sovereign credit rating quality?
Vu, H., Alsakka, R. & ap Gwilym, O., Jan 2022, In: Journal of International Financial Markets, Institutions and Money. 76, 101478.
Research output: Contribution to journal › Article › peer-review - PublishedRegulating rating agencies: A conservative behavioural change
Jones, L., Alsakka, R., ap Gwilym, O. & Mantovan, N., Jun 2022, In: Journal of Financial Stability. 60, 100999.
Research output: Contribution to journal › Article › peer-review - PublishedThe Impact of Regulatory Reforms on European Bank Behaviour: A Dynamic Structural Estimation
Jones, L., Alsakka, R., ap Gwilym, O. & Mantovan, N., Nov 2022, In: European Economic Review. 150, 104280.
Research output: Contribution to journal › Article › peer-review
2020
- PublishedCommonality in Liquidity across Options and Stock Futures Markets
Benzennou, B., ap Gwilym, O. & Williams, G., Jan 2020, In: Finance Research Letters. 32, 101096.
Research output: Contribution to journal › Article › peer-review - PublishedMarket reactions to the implementation of the Banking Union in Europe
Pancotto, L., ap Gwilym, O. & Williams, J., 23 May 2020, In: European Journal of Finance. 26, 7-8, p. 640-665
Research output: Contribution to journal › Article › peer-review
2019
- PublishedInvestors’ heterogeneous beliefs and the impact of sovereign credit ratings in foreign exchange and equity markets
Tran, V., Alsakka, R. & ap Gwilym, O., 2 Sept 2019, In: European Journal of Finance. 25, 13, p. 1211-1233
Research output: Contribution to journal › Article › peer-review - PublishedThe European Bank Recovery and Resolution Directive: A market assessment
Pancotto, L., ap Gwilym, O. & Williams, J., Oct 2019, In: Journal of Financial Stability. 44
Research output: Contribution to journal › Article › peer-review - PublishedThe impact of ESMA regulatory identifiers on the quality of ratings
Klusak, P., Alsakka, R. & ap Gwilym, O., Nov 2019, In: International Review of Financial Analysis. 66, 101365.
Research output: Contribution to journal › Article › peer-review
2018
- PublishedAre single stock futures used as an alternative during a short-selling ban?
Benzennou, B., ap Gwilym, O. & Williams, G., Jan 2018, In: Journal of Futures Markets. 38, 1, p. 66-82
Research output: Contribution to journal › Article › peer-review - PublishedThe influence of rating levels and rating convergence on the spillover effects of sovereign credit actions
Abad, P., Alsakka, R. & ap Gwilym, O., Jul 2018, In: Journal of International Money and Finance. 85, p. 40-57
Research output: Contribution to journal › Article › peer-review
2017
- PublishedDifferences of opinion in sovereign credit signals during the European crisis
Alsakka, R., ap Gwilym, O. M. & Vu, H., 2017, In: European Journal of Finance. 23, p. 859-884
Research output: Contribution to journal › Article › peer-review - PublishedDoes the disclosure of unsolicited sovereign rating status affect bank ratings?
Klusak, P., Alsakka, R. & ap Gwilym, O., Mar 2017, In: British Accounting Review. 49, 2, p. 194-210
Research output: Contribution to journal › Article › peer-review - PublishedWhat drives differences of opinion in sovereign ratings? The roles of information disclosure and political risk
Vu, H., Alsakka, R. & ap Gwilym, O., Jul 2017, In: International Journal of Finance and Economics. 22, 3, p. 216-233
Research output: Contribution to journal › Article › peer-review
2016
- PublishedCommonality in equity options liquidity: Evidence from European Markets
Verousis, T., ap Gwilym, O. & Voukelatos, N., 24 May 2016, In: European Journal of Finance. 22, 12, p. 1204-1223
Research output: Contribution to journal › Article › peer-review - PublishedIn Search of Concepts: The Effects of Speculative Demand on Stock Returns
ap Gwilym, O. M., Hasan, I., Wang, Q. & Xie, R., 2 Jun 2016, In: European Financial Management. 22, 3, p. 427-449
Research output: Contribution to journal › Article › peer-review - PublishedThe Impact of a Premium-Based Tick Size on Equity Option Liquidity
Verousis, T., ap Gwilym, O. & Voukelatos, N., 7 Mar 2016, In: Journal of Futures Markets. 36, 4, p. 397-417
Research output: Contribution to journal › Article › peer-review
2015
- PublishedDoes sovereign creditworthiness affect bank valuations in emerging markets?
Williams, G. L., Alsakka, R. & ap Gwilym, O. M., 10 Feb 2015, In: Journal of International Financial Markets, Institutions and Money. 36, p. 113-129
Research output: Contribution to journal › Article › peer-review - PublishedMarket impact under a new regulatory regime: Credit rating agencies in Europe
Alsakka, R., ap Gwilym, O., Klusak, P. & Tran, V., 28 Jun 2015, In: Economic Notes. 44, 2, p. 275-308
Research output: Contribution to journal › Article › peer-review - PublishedThe credit signals that matter most for sovereign bond spreads with split rating
Vu, H., Alsakka, R. & ap Gwilym, O. M., May 2015, In: Journal of International Money and Finance. 53, p. 174-191
Research output: Contribution to journal › Article › peer-review - PublishedThe intraday determination of liquidity in the NYSE LIFFE equity option markets
Verousis, T., ap Gwilym, O. & Chen, X., 13 Mar 2015, In: European Journal of Finance.
Research output: Contribution to journal › Article › peer-review
2014
- PublishedSovereign rating actions and the implied volatility of stock index options
Tran, V., Alsakka, R. & ap Gwilym, O. M., 5 Jun 2014, In: International Review of Financial Analysis. 34, p. 101-113
Research output: Contribution to journal › Article › peer-review - PublishedSpeculate against speculative demand
ap Gwilym, O. M., Ap Gwilym, O., Kita, A. & Wang, Q., 26 Mar 2014, In: International Review of Financial Analysis. 34, p. 212-221
Research output: Contribution to journal › Article › peer-review - PublishedThe implications of a price anchoring effect at the upstairs market of the London Stock Exchange
Verousis, T. & ap Gwilym, O., Mar 2014, In: International Review of Financial Analysis. 32, p. 37-46
Research output: Contribution to journal › Article › peer-review - PublishedThe sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis
ap Gwilym, O. M., Alsakka, R., Ap Gwilym, O. & Vu, T. N., 13 Apr 2014, In: Journal of International Money and Finance. 49, part B, p. 235-257
Research output: Contribution to journal › Article › peer-review
2013
- PublishedA substitution effect between price clustering and size clustering in credit default swaps
Meng, L., Verousis, T. & ap Gwilym, O., 1 Apr 2013, In: Journal of International Financial Markets, Institutions and Money. 24, April, p. 139-152
Research output: Contribution to journal › Article › peer-review - PublishedPrice Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
ap Gwilym, O. M. & Verousis, T., 1 Jan 2013, In: Journal of Futures Markets. 33, 1, p. 55-76
Research output: Contribution to journal › Article › peer-review - PublishedRating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers
Alsakka, R. & ap Gwilym, O. M., 1 Jan 2013, In: Journal of Economic Behavior and Organization. 85, p. 144-162
Research output: Contribution to journal › Article › peer-review - PublishedThe impact of sovereign rating actions on bank ratings in emerging markets
ap Gwilym, O. M., Williams, G. L. & Alsakka, R., 1 Feb 2013, In: Journal of Banking and Finance. 37, 2, p. 563-577
Research output: Contribution to journal › Article › peer-review
2012
- PublishedForeign exchange market reactions to sovereign credit news
Alsakka, R. & ap Gwilym, O., 1 Jun 2012, In: Journal of International Money and Finance. 31, 4, p. 845-864
Research output: Contribution to journal › Article › peer-review - PublishedRating agencies' credit signals: An analysis of sovereign watch and outlook
Alsakka, R. & ap Gwilym, O., 1 Jan 2012, In: International Review of Financial Analysis. 21, p. 45-55
Research output: Contribution to journal › Article › peer-review - PublishedTactical Equity Investing Across Bull and Bear Markets
ap Gwilym, O., Clare, A., Seaton, J. & Thomas, S., 1 Mar 2012, In: Journal of Wealth Management. p. 61-69
Research output: Contribution to journal › Article › peer-review - PublishedThe causes and extent of split sovereign credit ratings in emerging markets.
Alsakka, R. & ap Gwilym, O., 1 Jan 2012, In: Emerging Markets Finance and Trade. 48, 1, p. 4-24
Research output: Contribution to journal › Article › peer-review - PublishedTrade size clustering and the cost of trading at the London Stock Exchange
ap Gwilym, O. M., Verousis, T. & Ap Gwilym, O., 18 Sept 2012, In: International Review of Financial Analysis.
Research output: Contribution to journal › Article › peer-review
2011
- PublishedExplaining international equity valuation ratios: The roles of commodity price inflation and relative asset volatilities
Clare, A., ap Gwilym, O., Seaton, J. & Thomas, S., 2011, In: Journal of Asset Management. 12, p. 11-29
Research output: Contribution to journal › Article › peer-review - PublishedGold stocks, the gold price and market timing
ap Gwilym, O., Clare, A., Seaton, J. & Thomas, S., 4 Aug 2011, In: Journal of Derivatives and Hedge Funds. 17, p. 266-278
Research output: Contribution to journal › Article › peer-review - PublishedReturn reversals and the compass rose: insights from high frequency options data
ap Gwilym, O. M., Verousis, T. & Ap Gwilym, O., 1 Sept 2011, In: European Journal of Finance. 17, 9-10, p. 883-896
Research output: Contribution to journal › Article › peer-review - PublishedSovereign rating actions: is the criticism justified?
Alsakka, R. & ap Gwilym, O., 1 Dec 2011, In: Intereconomics : review of European economic policy. 46, 5, p. 248-253
Research output: Contribution to journal › Article › peer-review - PublishedStructural changes, bid-ask spread composition and tick size in inter-bank futures trading.
McGroarty, F., ap Gwilym, O. M. & Thomas, S., 1 Apr 2011, In: European Journal of Finance. 17, 4, p. 285-306
Research output: Contribution to journal › Article › peer-review
2010
- PublishedA random effects ordered probit model for rating migrations
Alsakka, R. & ap Gwilym, O., 1 Sept 2010, In: Finance Research Letters. 7, 3, p. 140-147
Research output: Contribution to journal › Article › peer-review - PublishedAn improved algorithm for cleaning Ultra high-frequency data.
ap Gwilym, O. M., Verousis, T. & Ap Gwilym, O., 1 Feb 2010, In: Journal of Derivatives and Hedge Funds. 15, 4, p. 323-340
Research output: Contribution to journal › Article › peer-review - PublishedLeads and lags in sovereign credit ratings.
Alsakka, R. & ap Gwilym, O. M., 1 Nov 2010, In: Journal of Banking and Finance. 34, 11, p. 2614-2626
Research output: Contribution to journal › Article › peer-review - PublishedMarket structure and microstructure, in international interest rate futures markets.
ap Gwilym, O. M., McGroarty, F., Ap Gwilym, O. & Thomas, S., 1 Sept 2010, In: Research in International Business and Finance. 24, 3, p. 253-266
Research output: Contribution to journal › Article › peer-review - PublishedOpen interest, cross listing, and information shocks.
Aguenaou, S., ap Gwilym, O. M. & Rhodes, M., 5 Nov 2010, In: Journal of Futures Markets. 31, 8, p. 755-778
Research output: Contribution to journal › Article › peer-review - PublishedPrice and momentum as robust tactical approaches to global equity investing.
ap Gwilym, O. M., Ap Gwilym, O., Clare, A., Seaton, J. & Thomas, S., 1 Oct 2010, In: Journal of Investing. 19, 3, p. 80-91
Research output: Contribution to journal › Article › peer-review - PublishedPrice clustering and underpricing in the IPO aftermarket.
ap Gwilym, O. M., Ap Gwilym, O. & Verousis, T., 1 Mar 2010, In: International Review of Financial Analysis. 19, 2, p. 89-97
Research output: Contribution to journal › Article › peer-review - PublishedSize clustering in the FTSE100 index futures market.
ap Gwilym, O. M., Ap Gwilym, O. & Meng, L., 1 May 2010, In: Journal of Future Markets. 30, 5, p. 432-443
Research output: Contribution to journal › Article › peer-review - PublishedSplit sovereign ratings and rating migrations in emerging economies.
ap Gwilym, O. M., Alsakka, R. & Ap Gwilym, O., 1 Jun 2010, In: Emerging Markets Review. 11, 2, p. 79-97
Research output: Contribution to journal › Article › peer-review
2009
- PublishedConsistent dividend growth investment strategies.
ap Gwilym, O. M., Ap Gwilym, O., Clare, A. D., Seaton, J. & Thomas, S. H., 1 Dec 2009, In: Journal of Wealth Management. 12, 3, p. 113-124
Research output: Contribution to journal › Article › peer-review - PublishedDividends and Momentum.
ap Gwilym, O. M., Ap Gwilym, O., Clare, A. D., Seaton, J. & Thomas, S. H., 1 Jun 2009, In: Journal of Investing. 18, 2, p. 42-49
Research output: Contribution to journal › Article › peer-review - PublishedFutures market liquidity under floor and electronic trading.
ap Gwilym, O. M., McManus, I., Ap Gwilym, O., Thomas, S., Morrey, J. (ed.) & Guyton, A. (ed.), 1 Jan 2009, Liquidity: Interest Rates and Banking. 2009 ed. Nova Science, p. 111-138
Research output: Chapter in Book/Report/Conference proceeding › Chapter - PublishedHeterogeneity of sovereign rating migrations in emerging countries.
ap Gwilym, O. M., Alsakka, R. & Ap Gwilym, O., 1 Jun 2009, In: Emerging Markets Review. 10, 2, p. 151-165
Research output: Contribution to journal › Article › peer-review - PublishedProspective utility and time-varying optimal asset allocation for the UK: 1803-1995.
ap Gwilym, O. M., McManus, I., Ap Gwilym, O. & Thomas, S., 25 Jul 2009, In: International Journal of Behavioural Accounting and Finance. 1, 2, p. 95-110
Research output: Contribution to journal › Article › peer-review - PublishedThe determinants of trading volume for cross-listed Euribor futures contracts.
ap Gwilym, O. M., Ap Gwilym, O., Aguenaou, S. & Rhodes, M., 1 Jan 2009, In: European Journal of Finance. 15, 1, p. 89-102
Research output: Contribution to journal › Article › peer-review - PublishedThe role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market.
McGroarty, F., ap Gwilym, O. M. & Thomas, S., 1 Apr 2009, In: Journal of International Financial Markets, Institutions and Money. 19, 2, p. 387-401
Research output: Contribution to journal › Article › peer-review - PublishedVolatility Transmission Among the CDS, Equity, and Bond Markets.
ap Gwilym, O. M., Meng, L., Ap Gwilym, O. & Varas, J., 1 Nov 2009, In: Journal of Fixed Income. 18, 3, p. 33-46
Research output: Contribution to journal › Article › peer-review
2008
- PublishedThe determinants of CDS bid-ask spreads.
ap Gwilym, O. M., Meng, L. & Ap Gwilym, O., 1 Oct 2008, In: Journal of Derivatives. 16, 1, p. 70-80
Research output: Contribution to journal › Article › peer-review - PublishedVery long term equity investment strategies: real stock prices and mean reversion.
ap Gwilym, O. M., Ap Gwilym, O., Seaton, J. & Thomas, S., 1 Jun 2008, In: Journal of Investing. 17, 2, p. 15-23
Research output: Contribution to journal › Article › peer-review
2007
- PublishedProspective utility and the equity risk premium.
ap Gwilym, O. M., Thomas, S., Ap Gwilym, O. & McManus, I., 1 Jan 2007, In: Professional Investor. 17, 7, p. 24-28
Research output: Contribution to journal › Article › peer-review - PublishedThe Use of Credit Ratings in Investment Management in the US and Europe
ap Gwilym, O. M., Cantor, R., Ap Gwilym, O. & Thomas, S., 1 Oct 2007, In: Journal of Fixed Income. 17, 2, p. 13-26
Research output: Contribution to journal › Article › peer-review - PublishedThe characteristics and evolution of credit default swap trading.
ap Gwilym, O. M., Meng, L. & Ap Gwilym, O., 1 Nov 2007, In: Journal of Derivatives and Hedge Funds. 13, 3, p. 186-198
Research output: Contribution to journal › Article › peer-review - PublishedThe components of electronic inter-dealer spot FX bid-ask spreads.
ap Gwilym, O. M., McGroarty, F., Ap Gwilym, O. & Thomas, S., 1 Nov 2007, In: Journal of Business Finance and Accounting. 34, 9-10, p. 1635-1650
Research output: Contribution to journal › Article › peer-review
2006
- PublishedDoes the Fed Model travel well?: For short run tactical allocation, yes, but not for the long haul.
ap Gwilym, O. M., Ap Gwilym, O., Seaton, J., Suddason, K. & Thomas, S. H., 1 Sept 2006, In: Journal of Portfolio Management. 33, 1, p. 68-75
Research output: Contribution to journal › Article › peer-review - PublishedInternational evidence on the payout ratio, earnings, dividends, and returns.
ap Gwilym, O. M., Ap Gwilym, O., Seaton, J., Suddason, K. & Thomas, S. H., 1 Jan 2006, In: Financial Analysts Journal. 62, 1, p. 36-53
Research output: Contribution to journal › Article › peer-review - PublishedMicrostructure effects, bid-asks spreads and volatility in the spot foreign exchange market pre and post-EMU.
ap Gwilym, O. M., McGroarty, F., Ap Gwilym, O. & Thomas, S., 1 Sept 2006, In: Global Finance Journal. 17, 1, p. 23-49
Research output: Contribution to journal › Article › peer-review - PublishedModelling sovereign credit ratings: Neural networks versus ordered probit.
Bennell, J. A., Crabbe, D., Thomas, S., ap Gwilym, O. & Ap Gwilym, O., 1 Apr 2006, In: Expert Systems with Applications. 30, 3, p. 415-425
Research output: Contribution to journal › Article › peer-review - PublishedPayment history, past returns and the performance of UK zero dividend stocks.
ap Gwilym, O. M., McManus, I. D., Ap Gwilym, O. & Thomas, S. H., 1 Jan 2006, In: Managerial Finance. 32, 6, p. 518-536
Research output: Contribution to journal › Article › peer-review
2005
- PublishedCredit default swaps: Theory and Empirical Evidence.
ap Gwilym, O. M., Meng, L. & Ap Gwilym, O., 1 Mar 2005, In: Journal of Fixed Income. 14, 4, p. 17-28
Research output: Contribution to journal › Article › peer-review - PublishedDividend yield investment strategies, the payout ration and zero-dividend stocks.
ap Gwilym, O. M., Ap Gwilym, O., Seaton, J. & Thomas, S. H., 1 Dec 2005, In: Journal of Investing. 14, 4, p. 69-74
Research output: Contribution to journal › Article › peer-review - PublishedFractional versus decimal pricing: evidence from the UK Long Gilt futures market.
ap Gwilym, O. M., Ap Gwilym, O., McManus, I. & Thomas, S., 1 May 2005, In: Journal of Futures Markets. 25, 5, p. 419-442
Research output: Contribution to journal › Article › peer-review - PublishedImpact of demographic and economic variables on financial policy purchase timing decisions.
ap Gwilym, O. M., Thomas, L. C., Thomas, S., Tang, L. & Ap Gwilym, O., 1 Sept 2005, In: Journal of the Operational Research Society. 56, 9, p. 1051-1062
Research output: Contribution to journal › Article › peer-review
2004
- PublishedThe role of payout ratio in the relationship between stock returns and dividend yield.
ap Gwilym, O. M., McManus, I., Ap Gwilym, O. & Thomas, S., 1 Nov 2004, In: Journal of Business Finance and Accounting. 31, 9-10, p. 1355-1387
Research output: Contribution to journal › Article › peer-review
2003
- PublishedDecreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading.
ap Gwilym, O. M., Ap Gwilym, O. & Alibo, E., 1 Jul 2003, In: Journal of Futures Markets. 23, 7, p. 647-659
Research output: Contribution to journal › Article › peer-review
2002
- PublishedAn empirical comparison of quoted and implied bid-ask spreads on futures contracts.
ap Gwilym, O. M., Ap Gwilym, O. & Thomas, S., 1 Feb 2002, In: Journal of International Financial Markets, Institutions and Money. 12, 1, p. 81-99
Research output: Contribution to journal › Article › peer-review - PublishedBid-ask spreads and the liquidity of international bonds.
ap Gwilym, O. M., Ap Gwilym, O., Trevino, L. & Thomas, S. H., 1 Sept 2002, In: Journal of Fixed Income. 12, 2, p. 82-91
Research output: Contribution to journal › Article › peer-review - PublishedEvidence on trading mechanisms.
ap Gwilym, O. M., Ap Gwilym, O., Board, J. (ed.), Sutclifee, C. (ed.) & Wells, S. (ed.), 1 Jan 2002, Transparency and Fragmentation: Financial Market Regulation in a Dynamic Environment. 2002 ed. Palgrave Macmillan, p. 101-140
Research output: Chapter in Book/Report/Conference proceeding › Chapter
2001
- PublishedForecasting volatility for options pricing for the U.K. stock market.
ap Gwilym, O. M. & Ap Gwilym, O., 1 Jul 2001, In: Journal of Financial Management and Analysis. 14, 2, p. 55-62
Research output: Contribution to journal › Article › peer-review - PublishedProblems encountered when using high frequency financial market data: suggested solutions.
ap Gwilym, O. M., Ap Gwilym, O. & Sutcliffe, C., 1 Jan 2001, In: Journal of Financial Management and Analysis. 14, 1, p. 38-51
Research output: Contribution to journal › Article › peer-review - PublishedThe lead-lag relationship between the FTSE100 stock index and its derivative contracts.
ap Gwilym, O. M., Ap Gwilym, O. & Buckle, M., 1 Aug 2001, In: Applied Financial Economics. 11, 4, p. 385-393
Research output: Contribution to journal › Article › peer-review
2000
- PublishedDividend stability, dividend yield and stock returns: UK evidence.
ap Gwilym, O. M., Ap Gwilym, O., Morgan, G. & Thomas, S., 1 Apr 2000, In: Journal of Business Finance and Accounting. 27, 3-4, p. 261-281
Research output: Contribution to journal › Article › peer-review - PublishedForecasting UK stock market volatility.
ap Gwilym, O. M., McMillan, D., Speight, A. & Ap Gwilym, O., 1 Aug 2000, In: Applied Financial Economics. 10, 4, p. 435-448
Research output: Contribution to journal › Article › peer-review - PublishedIntra-day volatility components in FTSE-100 stock index futures.
ap Gwilym, O. M., Speight, A. E., McMillan, D. G. & Ap Gwilym, O., 1 Jan 2000, In: Journal of Futures Markets. 20, 5, p. 425-444
Research output: Contribution to journal › Article › peer-review - PublishedPrice clustering under floor and electronic trading.
Bennell, J. & ap Gwilym, O., 1 Jan 2000, In: Derivatives Use, Trading and Regulation. 5, 4, p. 354-362
Research output: Contribution to journal › Article › peer-review
Other Information
Activities
Associate Editor
Journal of Banking and Finance, 2013-17.
International Review of Financial Analysis, 2011-17.
Editor
World Banking Abstracts, 2022.
PhD external examinations
Universities of Bath, Bradford, Bristol, Cardiff, City University of London, Durham, Edinburgh, Hull, Manchester, Reading, Robert Gordon, Southampton, St Andrews, Swansea, Sydney.
MSc External Examination
Universities of Aston, Exeter, John Moores, Lancaster, Manchester, York.
MBA External Examination
Bayes Business School (formerly Cass).
BSc External Examination
University of London (LSE), Bristol, Cardiff.
Quality Assurance Agency for Higher Education
Member of the advisory group for revising the Subject Benchmark Statement for Finance, 2024. www.qaa.ac.uk/the-quality-code/subject-benchmark-statements/subject-benchmark-statement-reviews-2024-25
Other indicators of the impact of research
Research profiled in the Financial Times and the New York Times.
Ranked as one of the top 30 most prolific authors in mathematical finance journals between 1999 and 2016, according to Samitas and Kampouris (2018, International Review of Financial Analysis). https://doi.org/10.1016/j.irfa.2017.11.006