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Professor Patricia Chelley-Steeley

Finance Group

Patricia Chelley-Steeley

Position: Professor
Phone:+44(0)121 204 3060
Email: p.l.chelley-steeley@aston.ac.uk
Room: ABS418

“Investing in Large Firms”, in

  • Sunday Telegraph, March 10, 2001,

  • FT-Money, March 13. 2001,

  • Investors Chronicle, March 23, 2001

  • Derby Evening Telegraph, March 27, 2001

  • Birmingham Post, March 31, 2001

  • Money Marketing, April 12, 2001,

  • Independent on Sunday, April 14, 2001

  • PhD in Economics from Loughborough University 1996 Title : Small Firm Effects in the U.K. Stock Market
  • M.A. in Economics from Manchester University 1988
  • BA in Economics, University of Swansea 1987
  • Chair in Finance
  • Course Director for Msc Finance and Investments and Msc in Investment Analysis. 
  • Associate Editor Journal of Banking and Finance

External Positions

2007- Current 

  • Academic Board member for Institute of Financial Services  
  • Associate Editor Journal of Behavioral Accounting and Finance
  • Editorial Board Journal of Management and Commerce

 

2007-2010 

  • Reviewer for ESRC Post-doctoral fellowships.

My current research focuses on Market Microstructure and Experimental Finance.

Equity Market Volatility, Market Microstructure, Equity Buy-Backs, Equity Market Integration, Portfolio Predictability, Small Firm Effects in the UK.

Competitive Research Income (external)

  • £4,275, INQUIRE UK, 2001/03. Funding for a research project on Concentration of the UK Stock Market.
  • £3,500, Virgin-Direct, 2000/01. Funding for a research project on Investing in Large Firms
  • £2,500, INQUIRE UK and INQUIRE Europe, 1995/96. Annual research paper prize (joint with J.M.Steeley).
  • £400, Conference Funding for FMA 2007-British Academy.
  • £700, Funding via Money, Macro and Finance Association for hosting of one day symposium on experimental finance held at Aston July 2008.

 

Peer Reviewed Journal Articles

  • Chelley-Steeley, P.L. (2013), Bid-ask spread dynamics in foreign exchange markets, International Review of Financial Analysis, (with Nikolaos Tsorakidis) forthcoming.
  • Chelley-Steeley, P.L. (2013) Illiquidity shocks and the comovement between stocks: new evidence using smooth transition, Journal of Empirical Finance, (with Neophytos Lambertides and Christos Savva) forthcoming.

  • Chelley-Steeley, P.L. (2013), The role of pre-existing liquidity in determining price efficiency and liquidity gains following the introduction of SETSmm, European Financial Management, forthcoming.

  • Chelley-Steeley, P.L. (2010), “Efficiency and the Trading System:  The case of  SETSmm”, (with Leonid Skortsov) Journal of Financial Markets Institutions and Money., Vol 20 5 509-518.

  • Chelley-Steeley, P.L., with Christopher Battig (2010), “The Impact of the Closing Call Auction: An Examination of Effects in London”, Applied Financial Economics, 20 303-315.

  • Chelley-Steeley, P.L, (2010), “Intraday Trading Patterns in London Listed Traded Funds”, (with Keebong Park) International Review of Financial Analysis, Vol 19 1 65-76.
  • Chelley-Steeley, P.L., (2009), Price synchronicity: the closing call auction and The London Stock Market,  Journal of Financial Markets, Institutions, markets and Money vol 19 777-791.

  • Chelley-Steeley, P.L., (2009) Measuring and modeling the influence of investor behaviour on investment decision making (with James M. Steeley). International Journal of Behavioral Finance and Accounting 1 91-94.

  • Chelley-Steeley, P.L., (2008), The Effect of Universal Futures on Opening and Closing Stock Market prices, Studies in Economics and Finance,  12 279-311.

  • Chelley-Steeley, P.L., (2008), Market Quality Changes to the London Stock Market: The Effect of a Closing Call Auction. Journal of Banking and Finance 31 2248-2253.

  • Chelley-Steeley, P.L., (2008)  “The Microstructure of the Irish Stock Market”, (with B. Lucey), Multinational  Finance Journal 12 279-311.

  • Chelley-Steeley, P.L., (2008 )  “Explaining Exchange Rate Volatility in Greece”, (with N. Tsorakidis), Applied Financial Economics.   

  • Chelley-Steeley, P.L., (2008), “Concentration of the UK Stock Market,” Journal of Business Finance and Accounting.

  • Chelley-Steeley, P.L,  (2007),  “Momentum profits in alternative stock market structures”, Journal of Multinational Financial Management  17 5 .

  • Chelley-Steeley, P.L., (2006) “Momentum in bull and bear markets”, (with Antonios Siganos), Journal of Asset Management 6(5) pp381-388 .
  • Chelley-Steeley, P.L., (2005)  “Volatility and the Trading System: A Markov Switching Application”, (with Y. Li ), Applied Financial Economics Letters, 1 1-10.  

  • Chelley-Steeley, P.L., (2005), “Explaining Volatility and Serial Correlation in Opening and Closing Returns: A study of the FT-30 components”, Global Finance Journal, 16, 1-15.

  • Chelley-Steeley, P.L., (2005), “The Propensity to Hedge with Futures Contracts: The Case of Potato Futures”,  (with C. Lavers), Applied Economics,  37, 2143-2146.

  • Chelley-Steeley, P.L., (2005), “The Leverage Effect in the UK Stock Market”, (with J.M. Steeley),  Applied Financial  Economics, 15, 409-423.

  • Chelley-Steeley, P.L., (2005), “Testing for Market Segmentation in the A and B share markets of China”, (with Weihua Qian), Applied Financial Economics, 15, 791-803.
  • Chelley-Steeley, P.L., (2005), “Modeling Equity Market Integration Using Smooth Transition Analysis: A Study of Eastern European Stock Markets”, Journal of International Money and Finance, 24, 818-831.

  • Chelley-Steeley, P.L., (2005), “Noise and the Trading System: The Case of SETS”, European Financial  Management, 3,pp389-425.

  • Chelley-Steeley, P.L., (2004), “Momentum and Macroeconomic Factors”, (with A. Siganos), Applied Economics Letters, 11, 433-436. 

  • Chelley-Steeley, P.L., (2004), “Equity Market Integration in the Asia-Pacific Region: Information from Smooth Transition Analysis”, International Review of  Financial Analysis, 13 (Special Issue on Market Integration), 621-632. 

  • Chelley-Steeley, P.L., (2004), “Time Variation in Capitalisation Based Portfolios”,  Applied Financial Economics, 14, 975-979.

  • Chelley-Steeley, P.L., (2003), “The Trading Mechanism, Cross Listed Stocks: A Comparison of the Paris Bourse and SEAQ-International”, Journal of International Financial Markets, Institutions and Money,13 , 401-417.

  • Chelley-Steeley, P.L., (2001), “Noise, Overreaction and the Trading Mechanism,” Journal of Financial Research, 24, 513-521.

  • Chelley-Steeley, P.L., (2000), “Mean Reversion in U.K. Portfolio Returns”, Journal of Business Finance and Accounting, 28, 107-126. 
  • Chelley-Steeley, P.L., (2000), “Exchange Controls and the Transmission of Equity Market Volatility,” Applied Financial Economics, 10, 317-322. 

  • Chelley-Steeley, P.L., (2000), “Portfolio Diversification and Filter Rule Profits”, (with J.M. Steeley), Applied Economics Letters, 7, 171-175.

  • Chelley-Steeley, P.L., (2000), “Interdependence of Equity Market Volatility,” Applied Economics Letters, 7 47-59.

  • Chelley-Steeley, P.L., (1999), “Macroeconomic Integration, Exchange Controls and the Interdependence of European Equity Markets,”(with J.M. Steeley), Economic Inquiry ,37, 473-489.

  • Chelley-Steeley, P.L., (1998), “Exchange Controls and European Stock Market Integration,” (with E.J. Pentecost (10%) and J.M. Steeley (45%)), Applied Economics, 30, 263-267.

  • Chelley-Steeley, P.L., (1997), “The Impact of Portfolio Diversification on Trading Rule  Profits. Some evidence for U.K. share portfolios”, (with J.M. Steeley), Journal of Business Finance and Accounting, 24, 759-780.

  • Chelley-Steeley, P.L., (1996), “Volatility, Leverage and Firm Size: The U.K. Evidence”, (with J.M. Steeley), Manchester School 44, Supplement, 83-104.

  • Chelley-Steeley, P.L., (1996), “Volatility Transmission in the U.K. Stock Market,” (with J.M. Steeley). European Journal of Finance, 2,145-160.  

  • Chelley-Steeley, P.L., (1996), “Risk, Seasonality and the Asymmetric Behavior of Stock Returns”, Journal of Business Finance and Accounting,23 145-154. 
  • Chelley-Steeley, P.L., (1995), “Calendar Effects and the Pricing of Risk: The UK Evidence”, European Journal of Finance, 11, 237-255.

  • Chelley-Steeley, P.L., (1995), “Conditional Volatility and Firm Size, (with J.M. Steeley), Applied Financial Economics, 5, 433-440.

  •  Chelley-Steeley, P.L., (1994), “Cointegration, Market Efficiency and the Small Firm Effect”, (with E.J. Pentecost), Applied Financial Economics, 4, 405-411.

Professional Publications

  • Chelley-Steeley, P.L., (2006, in press), “The increasing momentum of momentum trading in the UK Stock Market,” (with A. Siganos), in Almanac 2006, (Harriman House, 2006).
  • Chelley-Steeley, P.L., (2001), Investing in Large firms. Research monograph (Published by Virgin-Direct).

Awards

  • 2000 - ANBAR award for Excellence for “Exchange Controls and the Transmission  of Equity Market Volatility”, Applied Economics.

  • 1998 - ANBAR award for Excellence for “Exchange controls and European stock market integration,” (with E.J. Pentecost and J.M. Steeley), Applied Economics.

  • 1997 - ANBAR award for Excellence for “The Impact of Portfolio Diversification on Trading Rule Profits: Some evidence for U.K. share portfolios”, (with J.M. Steeley), Journal of Business Finance and Accounting.

  • 1996 - INQUIRE UK and INQUIRE Europe Prize for best research paper presented at their 1995-96 conferences (joint with J.M.Steeley).

  • 1987 - Thomas and Elizabeth Williams Scholarship, for postgraduate study

Employable Graduates; Exploitable Research