Phil Holmes

Chair in Financial Risk Management
Accounting and Finance Division

+44 (0) 113 34 31677
Academic, Accounting and Finance


PhD, Brunel University
MA in Public and Industrial Economics, University of Newcastle Upon Tyne
BA Economics, Newcastle Upon Tyne Polytechnic


Current research interests:

  • Financial Derivatives
  • Behavioural finance
  • Corporate financial decisions
  • Visiting professor at Chulalongkorn University, Thailand, 2007 - 2014.

Student Feedback

  • 'Excellent teaching staff in both lectures and classes!'
  • 'Good professor'
  • 'Excellent module, teachers were of high quality'
  • 'The course lecturer and class tutor are exceptionally good'

Refereed Publications

 32. “Market states, expectations, sentiment and momentum: How naive are investors?”, (with E.C. Galariotis, V. Kallinterakis
         and X. S. Ma) , International Review of Financial Analysis, 32, pp. 1-12, 2014

 31. "Herding in a Concentrated Market: A Question of Intent", (with Kallinterakis, V. and M. P. Leite Ferreira, M. P.),
         European Financial Management
, 19(3), pp.497-520, 2013

 30. "The Relevance of Information and Trading Costs in Explaining Momentum Profits: Evidence from Optioned and
         Non-Optioned Stocks", (with Badreddine, S. and Galariotis, E.C.), Journal of International Financial Markets,
         Institutions & Money, 22, pp.589–608, 2012

 29. "An Analysis of New Firm Survival Using a Hazard Function", (with Hunt, A. and Stone, I.),
         Applied Economics
, 42, pp.185-195, 2010

 28. "Limited Information and the Sustainability of Unlisted Target Acquirers’ Returns", (with Ekkayokkaya, M. and Paudyal, K.),
         Journal of Business Finance and Accounting, 36, pp.1201–1227, 2009

 27. "The Euro and the Changing Face of European Banking:  Evidence from Mergers and Acquisitions", (with Ekkayokkaya, M.
         and Paudyal, K.), European Financial Management, 15, pp.451-476, 2009

 26. "The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics", (with Chau, F. and Paudyal, K.),
         Journal of Business Finance and Accounting, 35, pp.227-249, 2008

 25. "Contrarian and Momentum Profitability Revisited: Evidence from the London Stock Exchange 1964 – 2005",
         (with Galariotis, E. and Ma, X.), Journal of Multinational Financial Management, 17, pp.432-447, 2007

 24. "Trading Volume and Contract Rollover in Stock Index Futures", (with Rougier, J.),
         Journal of Empirical Finance
, 12, pp.317-338, 2005

 23. "The Hedging Effectiveness of UK Stock Index Futures Contracts using an Extended Mean Gini Approach: Evidence
          for the FTSE 100 and FTSE-Mid 250 Contracts", (with Butterworth, D.), Multinational Finance Journal, 9, pp.131-160, 2005

 22. "Information and Noise in UK Futures Markets", (with Tomsett, M.), Journal of Futures Markets, 24, pp.711-731, 2004

 21. "Inter-Market Spread Trading: Evidence from UK Index Futures Markets", (with Butterworth, D.), 
         Applied Financial Economics, 12, pp.783-790, 2002

 20. "The Hedging Effectiveness of Stock Index Futures: Evidence for the FTSE-100 and FTSE-Mid 250 Indexes Traded
         in the UK", (with Butterworth, D.), Applied Financial Economics, 11, pp.57-68, 2001

 19. "Foreign Investment, Regulation and Price Volatility in South-east Asian Stock Markets", (with Wong, M. W.),
         Emerging Markets Review
, 2, pp.371-386, 2001

 18. "Ex ante Hedging Effectiveness of UK Stock Index Futures Contracts: Evidence for the FTSE 100 and FTSE-Mid 250
         Contracts", (with Butterworth, D.), European Financial Management, 6, pp.441-457, 2000

 17. "Mispricing in Stock Index Futures Contracts: Evidence for the FTSE 100 and FTSE-Mid 250 Contracts", (with Butterworth, D.),
         Applied Economics Letters , 12, pp.795-801, 2000

 16. "The Effects of Stock Index Futures on Stock Index Volatility: An Analysis of the Asymmetric Response of Volatility to News",
         (with Antoniou, A. and Priestley, R.), Journal of Futures Markets, 18, pp.151-166, 1998

 15. "The Impact of Regulatory Change and Market Shocks on the Weak-form Efficiency of the Kuwait Stock Exchange",
         (with Abdelrahim, S.), Ekonomia, 2, pp.117-134, 1998
         (invited paper for special issue on emerging capital markets)

 14. "Market Efficiency, Thin Trading and Non-linear Behaviour: Evidence from an Emerging Market", (with Antoniou, A.
         and Ergul, N.), European Financial Management, 3, pp.175-190, 1997

 13. "Technical Analysis, Trading Volume and Market Efficiency: Evidence from an Emerging Market", (with Antoniou, A.,
         Ergul, N. and Priestley,R.), Applied Financial Economics, 7, pp.361-365, 1997

 12. "Stock Index Futures Hedging: Hedge Ratio Estimation, Duration Effects, Expiration Effects and Hedge Ratio Stability",
        Journal of Business Finance and Accounting
, 23, pp.63-77, 1996

 11. "Spot Price Volatility, Information and Futures Trading: Evidence from a Thinly Traded Market",
         Applied Economics Letters
, 3, pp.63-66, 1996

 10. "Futures Market Efficiency, the Unbiasedness Hypothesis and Variance-Bounds Tests: The Case of the FTSE-100
         Futures Contract", (with Antoniou, A.), Bulletin of Economic Research, 48, pp.115-128, 1996

  9. "Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract
        using GARCH", (with Antoniou, A.), Journal of Banking and Finance, 19, pp.117-129, 1995

  8. "Ex ante Hedge Ratios and the Hedging Effectiveness of the FTSE-100 Stock Index Futures Contract",
        Applied Economics Letters
, 2, pp.56-59, 1995

  7. "Hedging Short-Term Interest Rate Risk with Futures: A More Accurate Approach - A Commentary",
        Review of Futures Markets
, 13, pp.593-598, 1994

  6.  "Systematic Risk and Returns to Stock Index Futures Contracts: International Evidence", (with Antoniou, A.),
        Journal of Futures Markets
, 14, pp.773-787, 1994

  5.  "An Econometric Analysis of the Growth in the Numbers Claiming Invalidity Benefit", (with Lynch, M. and Molho, I.)
        Journal of Social Policy , 20, pp.87-105, 1991

  4.  "Financial Institutions and the Estate Agents Industry in the 1980s", (with Dietrich, M.),
        Service Industries Journal
, 11, pp.481-490, 1991

  3.  "An Analysis of Invalidity Benefit Claim Durations for New Male Claimants in 1977/78 and 1982/83", (with Lynch, M.),
        Journal of Health Economics, 9, pp.71-83, 1990

  2. "The Market Structure of the Estate Agent's Industry in the 1980s: An Empirical Investigation", (with Dietrich, M.),
        Applied Economics, 22, pp.629-638, 1990

  1. "The Provision, Role and Economic Impact of State Sickness Insurance: A Review",
        British Review of Economic Issues
, 12, pp.17-39, 1990

Editorships/ Editor’s Publications

  4. Founding editor (with Paudyal, K.) of Review of Behavioral Finance (2009 – date)

  3. (with Paudyal, K.), "Editorial", Review of Behavioral Finance, 1, 2009, 1-2. (Managing Editors’ introduction to first issue)

  2. (with Paudyal, K.) "Introduction", European Financial Management, 14, 2008, 11-11. (Guest Editors’ introduction to
        special issue on Behavioral Finance)

  1. Member of the Editorial Advisory Board of the International Journal of Managerial Finance (2005 - 09)

Member of Program Committee:

 5. EFMA Conference, Rome, Italy, June 2014.

 4. MFS Symposium, Cyprus, 2014.

 3. EFMA Conference, Reading, UK, June 2013.

 2. IASTED International Conference on Financial Engineering and Applications, MIT, October 2006

 1. Co-organiser of "EFMA Behavioral Finance Symposium", Durham, April 2006

Published Books and Chapters in Books

  6.  Investment Appraisal, 1998, 160, International Thomson Publishing, London (reprinted 1999)

  5. "The Provision of Finance: Is the North Disadvantaged?". In The Northern Region Economy: Progress and
        Prospects in the North of England, (ed. by Lynne Evans, Peter Johnson and Barry Thomas), 1995, 151-170,
        Mansell Publishing Limited, London

  4. Financial Markets: An Introduction, 1995, 162, (with Dixon, R.), Chapman and Hall, London.
       (Revised version reprinted in paperback of:)

  3.  Financial Markets: The Guide for Business, 1992, 162, (with Dixon, R.), Chapman and Hall, London.

  2.  "An Analysis of the Growth in Invalidity Benefit Claims", 16-19, (with Lynch, M. and Molho, I.), Department of Social
        Security Research Yearbook, HMSO, 1991

  1. "Housing", In Markets, Intervention and Planning, (ed. by Roper, B. A. and Snowdon, B.), 1987, 213-233,
        Longman Group Ltd., London

Read more about: