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Research Output 1997 2020

2019

A Stock Market Trading System Based on Foreign and Domestic Information

Brzeszczynski, J. & Ibrahim, B. M., 15 Mar 2019, In : Expert Systems with Applications. 118, p. 381-399 19 p.

Research output: Contribution to journalArticle

Open Access
File
Fuzzy logic
Momentum
Systems analysis
Economics
Costs

Carry trades and commodity risk factors

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., Sep 2019, In : Journal of International Money and Finance. 96, p. 121-129 9 p.

Research output: Contribution to journalArticle

Currency
Commodities
Risk factors
Carry trade
Factors

OTC Trades and Liquidity in the European Carbon Market: More than meets the eye

Kalaitzoglou, I. A. & Ibrahim, B. M., 17 Oct 2019, In : Applied Economics. p. 1-18 18 p.

Research output: Contribution to journalArticle

Carbon markets
Liquidity
Trade intensity
Price impact

Rising corporate debt and value relevance of supply-side factors in South Africa

Machokoto, M., Areneke, G. & Ibrahim, B. M., 3 Dec 2019, In : Journal of Business Research. 109, p. 26-37 12 p.

Research output: Contribution to journalArticle

Open Access
File
Factors
Supply side
Corporate debt
Corporate value
South Africa
2018

Common Information in Carry Trade Risk Factors

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., Jan 2018, In : Journal of International Financial Markets, Institutions and Money. 52, p. 37-47 11 p.

Research output: Contribution to journalArticle

Open Access
File
Common factors
Carry trade
Market risk
Stock market
Risk factors
2017

Carry Trades and Commodity Risk Factors

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., 14 Aug 2017, (MPRA Working Paper; no. 80789).

Research output: Working paperDiscussion paper

File
Carry trade
Currency
Commodities
Risk factors
Stock market

International Stock Return Co-movements and Trading Activity

Sheng, X., Brzeszczynski, J. & Ibrahim, B. M., 9 Jun 2017, In : Finance Research Letters.

Research output: Contribution to journalArticle

Open Access
File
Comovement
International stock returns
Trading activity
Price changes
Liquidity

The Time-Varying Risk Price of Currency Carry Trades

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., 14 Aug 2017, (MPRA Working Paper; no. 80788).

Research output: Working paperDiscussion paper

File
Currency
Time-varying risk
Carry trade
Expected returns
Economics
2016

Common Information in Carry Trade Risk Factors

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., 2016, (Unpublished).

Research output: Working paperDiscussion paper

File
Common factors
Factors
Carry trade
Market risk
Stock market

Why do carbon prices and price volatility change?

Ibrahim, B. M. & Kalaitzoglou, I., Feb 2016, In : Journal of Banking and Finance. 63, p. 76-94 19 p.

Research output: Contribution to journalArticle

Open Access
File
Carbon
Autocorrelation
Costs
Carbon price
Price volatility
2015

Liquidity and resolution of uncertainty in the European carbon futures market

Kalaitzoglou, I. A. & Ibrahim, B. M., Jan 2015, In : International Review of Financial Analysis. 37, 1, p. 89-102 14 p.

Research output: Contribution to journalArticle

Carbon
Financial markets
Uncertainty
Futures markets
Liquidity
2014

How beneficial Is international stock market information in domestic stock market trading?

Ibrahim, B. M. & Brzeszczyński, J., 2014, In : European Journal of Finance. 20, 3, p. 201-231

Research output: Contribution to journalArticle

Market information
Stock market
International stock markets
Momentum
Domestic market
2013

Does order flow in the European carbon allowances market reveal information?

Kalaitzoglou, I. & Ibrahim, B. M., Aug 2013, In : Journal of Financial Markets. 16, 3, p. 604-635 32 p.

Research output: Contribution to journalArticle

Trading patterns in the European Carbon Market: the role of trading intensity and OTC transactions

Kalaitzoglou, I. & Ibrahim, B. M., 2013, In : Quarterly Review of Economics and Finance. 53, 4, p. 402–416 35 p.

Research output: Contribution to journalArticle

Open Access
File
Carbon
Autocorrelation
Specifications
Carbon markets
Trade intensity
2009
International stock markets
Stock market returns
Foreign exchange market
Stock market

Mean Reversion in Equity Returns, "Student" Distributions and Optimal Investment Behaviour

Ibrahim, B. M. & Tippett, M., 1999.

Research output: Contribution to conferencePaper

1998

Optimal asset allocation with liability hedging

Ibrahim, B. M., 1998.

Research output: Contribution to conferencePaper

1997

Asset allocation

Ibrahim, B. M., 1997

Research output: ThesisDoctoral Thesis

Optimal Asset Allocation with Liability Hedging

Ibrahim, B. M., 1997.

Research output: Contribution to conferencePaper