Senior Lecturer of Finance
Phone: Phone: +64 9 921 9999 – ext: 5061
As an emerging researcher, Ivan has built a significant research foundation in the area of market microstructure based on his PhD research. His thesis focuses on the price formation process of stocks listed and traded in multiple markets (particularly in the US and Canada). The price formation process is explored through three viewpoints, each constitutes a chapter in his thesis: (1) the price discovery during macroeconomic news announcements, (2) the dynamics of price discovery and (3) the dynamics of intermarket bid and ask quotes.
Ivan has further expanded his research and produced several more research papers which focus on understanding the efficiency of stock markets in the US, Canada and Australia, as well as the efficiency of agricultural futures market. His research has led to a range of conference papers and refereed journal publications.
Beyond market microstructure, Ivan has also had the opportunity to examine the New Zealand stock market. In particular, he assesses (1) the trading behaviour in the NZ stock market, (2) the performance of mutual funds, and (3) market anomaly in New Zealand.
(2019) Market quality and the connectedness of steel rebar and other industrial metal futures in China (with Q. Liu and Y. Tse). Journal of Futures Markets, forthcoming. (ABDC ranking: A)
(2019) The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks (with B. Frijns, Y. Otsubo and A. Tourani-Rad). International Review of Economics and Finance Vol. 60, pp. 176-187. (ABDC ranking: A)
(2019) Surprise and dispersion: Informational impact of USDA announcements (with A. Fernandez-Perez, B. Frijns and A. Tourani-Rad). Agricultural Economics Vol. 50, pp. 113-126. (ABDC ranking: A)
(2018) Market quality around macroeconomic news announcements: Evidence from the Australian stock market. Pacific Basin Finance Journal, forthcoming. (ABDC ranking: A)
(2018) Turn of the month effect in the New Zealand stock market (with J. Chen, B. Frijns and H. Ren). New Zealand Economic Papers, forthcoming. (ABDC ranking: B)
(2018) On the ability of New Zealand actively managed funds to generate outperformance in their domestic equity allocations (with B. Frijns). Pacific Accounting Review Vol. 30, pp. 463-481. (ABDC ranking: B)
(2018) Market quality around macroeconomic news announcements: Evidence from the U.S. and Canadian markets (with B. Frijns, A. Tourani-Rad and Y. Tse). International Review of Finance, forthcoming. (ABDC ranking: A)
(2018) The interactions between price discovery, liquidity and algorithmic trading for US-Canadian cross-listed shares (with B. Frijns and A. Tourani-Rad). International Review of Financial Analysis Vol. 56, pp. 136-152. (ABDC ranking: A)
(2016) Behavioural heterogeneity in the New Zealand stock market (with B. Frijns). New Zealand Economics Paper Vol. 52, pp. 53-71. (ABDC ranking: B)
(2015) Macroeconomic news announcements and price discovery: Evidence from Canadian-U.S. cross-listed firms (with B. Frijns and A. Tourani-Rad). Journal of Empirical Finance Vol. 32, pp. 35-48. (ABDC ranking: A)
(2012) Political crises and the stock market integration of emerging markets (with B. Frijns and A. Tourani-Rad). Journal of Banking and Finance Vol. 36, pp. 644-653. (ABDC ranking: A*)