Professor Owain ap Gwilym

Division: Financial Studies

Location: Room 1.17, Hen Goleg

Telephone: 01248 38 2176

Email: owain.apgwilym@bangor.ac.uk

Profile

Professor of Finance

Professor ap Gwilym has published over eighty 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, Journal of Derivatives, and Journal of Business Finance and Accounting. Previously he was Professor of Finance at Aberystwyth University, and he has also held academic posts at the universities of Southampton and Swansea.

He leads the credit ratings research group at Bangor, which includes Dr Rasha Alsakka, Dr Edward Jones, Dr Noemi Mantovan, Dr Gwion Williams and several PhD students.

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.

Roles within Bangor Business School

  • Deputy Head of School
  • Director of Studies for taught postgraduate programmes in banking and finance

Research Interests

Credit risk and credit ratings, Market microstructure, Investment management.

Qualifications

PhD (Finance), University of Wales (Swansea).
BSc (Management Science), University of Wales (Swansea).

Selected Recent Publications

  • “What drives differences of opinion in sovereign ratings? The roles of information disclosure and political risk”, International Journal of Finance and Economics (2017), forthcoming. Co-authors: Huong Vu and Rasha Alsakka.
  • “Are single stock futures used as an alternative during a short selling ban?”, Journal of Futures Markets (2017), forthcoming.  Co-authors: Bouchra Benzennou and Gwion Williams.
  • “Differences of opinion in sovereign credit signals during the European crisis”, European Journal of Finance (2017), forthcoming. Co-authors: Rasha Alsakka and Huong Vu.
  • “Does the disclosure of unsolicited sovereign rating status affect bank ratings?”, British Accounting Review (2017), 49 (2), 194-210. Co-authors: Patrycja Klusak and Rasha Alsakka.
  • “In search of concepts: The effects of speculative demand on stock returns”, European Financial Management (2016), 22 (3), 427-449. Co-authors: Iftekhar Hasan, Qingwei Wang and Ru Xie.
  • “Commonality in equity options liquidity: Evidence from European markets”, European Journal of Finance (2016), 22 (12), 1204-1223. Co-authors: Thanos Verousis and Nikolaos Voukelatos.
  • “The intraday determination of liquidity in the NYSE LIFFE equity option markets”, European Journal of Finance (2016), 22 (12), 1164-1188. Co-authors: Thanos Verousis and Chen Xiao Hua.
  • “The impact of a premium based tick size on equity option liquidity”, Journal of Futures Markets (2016), April, 36 (4), 397-417. Co-authors: Thanos Verousis and Nikolaos Voukelatos.
  • “Does sovereign creditworthiness affect bank valuations in emerging markets?”, Journal of International Financial Markets, Institutions & Money (2015), 36, 113-129. Co-authors: Gwion Williams and Rasha Alsakka.
  • “The credit signals that matter most for sovereign bond spreads with split rating”, Journal of International Money and Finance (2015), 53, 174-191. Co-authors: Huong Vu and Rasha Alsakka.
  • “Sovereign rating actions and the implied volatility of stock index options”, International Review of Financial Analysis (2014), 34, 101-113. Co-authors: Vu Tran and Rasha Alsakka.
  • "Speculate against speculative demand", International Review of Financial Analysis (2014), 34, 212-221. Co-authors: Arben Kita and Qingwei Wang.
  • "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis", Journal of International Money and Finance (2014), 49, 235-257. Co-authors: Rasha Alsakka and Nhung Vu.
  • "The implications of a price anchoring effect at the upstairs market of the London Stock Exchange", International Review of Financial Analysis (2014), 32, 37-46. Co-author: Thanos Verousis.
  • "Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers", Journal of Economic Behavior and Organization (2013), 85, 144-162. Co-author: Rasha Alsakka.
  • "A substitution effect between price clustering and size clustering in credit default swaps", Journal of International Financial Markets, Institutions & Money (2013), 24, 139-152. Co-authors: Lei Meng and Thanos Verousis.
  • "The impact of sovereign rating actions on bank ratings in emerging markets", Journal of Banking and Finance (2013), 37 (2), 563-577. Co-authors: Gwion Williams and Rasha Alsakka.
  • "Trade size clustering and the cost of trading at the London Stock Exchange", International Review of Financial Analysis (2013), 27, 91-102. Co-author: Thanos Verousis.
  • "Price clustering in individual equity options: Moneyness, maturity and price level", Journal of Futures Markets (2013), 33 (1), 55-76. Co-author: Thanos Verousis.
  • "Foreign exchange market reactions to sovereign credit news", Journal of International Money and Finance (2012), 31 (4), 845-864. Co-author: Rasha Alsakka.
  • "Rating agencies’ credit signals: An analysis of sovereign watch and outlook", International Review of Financial Analysis (2012), 21, 45-55. Co-author: Rasha Alsakka.
  • "Return reversals and the compass rose: Insights from high frequency options data", European Journal of Finance (2011), 17 (9-10), 883-896. Co-author: Thanos Verousis.
  • "Open interest, cross listing and information shocks", Journal of Futures Markets (2011), 31 (8), 755-778. Co-authors: Samir Aguenaou and Mark Rhodes.
  • "Structural changes, bid-ask spread composition and tick size in inter-bank futures trading", European Journal of Finance (2011), 17 (4), 285-306. Co-authors: Frank McGroarty and Stephen Thomas.
  • "Leads and lags in sovereign credit ratings", Journal of Banking and Finance (2010), 34 (11), 2614-2626. Co-author: Rasha Alsakka.
  • "Price clustering and underpricing in the IPO aftermarket", International Review of Financial Analysis (2010), 19 (2), 89-97. Co-author: Thanos Verousis.
  • "Size clustering in the FTSE100 index futures market", Journal of Futures Markets (2010), 30 (5), 432-443. Co-author: Lei Meng.
  • "The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market", Journal of International Financial Markets, Institutions and Money (2009), 19 (2), 387-401. Co-authors: Frank McGroarty and Stephen Thomas.
  • "The determinants of trading volume for cross-listed Euribor futures contracts", European Journal of Finance (2009), 15 (1), 89-102. Co-authors: Samir Aguenaou and Mark Rhodes.

Teaching

Postgraduate Teaching

  • ASB4403 / 4103 International Financial Markets
  • ASB4441 Current Issues in International Finance
  • ASB9040 Capital Markets and Treasury Management
  • ASB4903 Financial Research Seminars (co-ordinator)
  • MSc / MA Dissertations (co-ordinator)
  • Doctoral Training: Credit Ratings research

Undergraduate Teaching

  • ADB2217 / 3217 Buddsoddiad.

Activities

Associate Editor

Journal of Banking & Finance, 2013-17.

International Review of Financial Analysis, 2011-17.

PhD Supervision

Currently 6 students. I have supervised 21 completed PhDs.

PhD external examinations

Bradford, Bristol, Cardiff, Cass, Durham, Hull, Manchester, Reading, Robert Gordon, Southampton, St Andrews, Swansea, Sydney.

MSc external examination:

Aston, Cass, Exeter, Lancaster, Manchester.

Other indicators of the impact of research

Research profiled in the Financial Times and the New York Times.