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Professor Patricia Chelley-Steeley

Patricia Chelley-Steeley

Finance and Accounting Group

Qualifications

  • 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

Current Position  


Chair in Finance

Course Director for Msc Finance and Investments and Msc in Investment Analysis. 

Associate Editor Journal of Banking and Finance

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

External Positions

2007-2010 - Reviewer for ESRC Post-doctoral fellowships.

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

Research areas


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.

Publications

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).


Research in the Media

“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

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.