Economics and Finance

Economics and Finance

Dr Jedrzej Bialkowski

Position

Senior Lecturer

Qualifications

Undergraduate Diploma (B.Sc.) in Mathematics
Postgraduate Diploma (M.Sc.) in Mathematical Finance
Doctor of Philosophy (Ph.D.) in Finance
FRM (Financial Risk Manager) certified by GARP (Global Association of Risk Professionals)
PRM (Professional Risk Manager) certified by PRMIA (Professional Risk Managers’ International Association)

Room

Kirkwood KH02

Contact Details

Phone: +64 3 364 3316
Internal Phone: 3316
Email: jedrzej.bialkowski@canterbury.ac.nz
Fax: +64-3-3642635

Postal address:
Department of Economics and Finance
University of Canterbury
Private Bag 4800
Christchurch 8140
New Zealand

Background

Dr Jedrzej Bialkowski joined the Economics and Finance Department at Canterbury in February 2009. Before joining University of Canterbury he worked at the AUT University in Auckland, New Zealand.
His academic work has been published, among others, in the Journal of Banking and Finance, Quarterly Review of Economics and Finance and the Quantitative Finance. He was awarded two prestigious scholarships such as Stiftungsfonds Deutsche Bank im Stifterverband für die Deutsche Wissenschaft and Marie Curie scholarship.

Undergraduate Courses

FINC312-12S2 Derivative Securities

Graduate Courses

FINC604-12S2 Advanced Derivatives Securities

Recent Research

"Piety and Profits: Stock Market Anomaly During the Muslim Holy Month", co-authored with Ahmad Etebari (Erskine Fellow, 2009) and Tomasz Wisniewski (Teaching Fellow, 2010), finds, - among other things - that stock market returns are nine times higher during the Muslim holy month of Ramadan. The authors conjecture that Ramadan positively affects investor psychology, as it promotes feelings of solidarity and social identity among Muslims worldwide, leading to optimistic beliefs that extend to investment decisions.

This research has been cited by many internet news sites, including Reuters, Voice of America, the Huffington Post, the Economist, Financial Times (Germany) and Les Echos (France)

The paper may be downloaded here: [download]

Research Interests

  • Derivatives
  • Risk Management
  • Investments
  • Behavioural Finance
  • International Finance  

Current Projects

Trading Activity on Single Stock Futures Market-Evidences from European Exchanges

"Inefficiencies in the Polish Mutual Fund Market"

Selected Recent Publications


  1. “Stock market volatility around National elections“, (with T. Wisniewski and K. Gottschalk), Journal of Banking and Finance, Vol. 32, 2008.
  2. “Improving VWAP Strategies: A Dynamical Volume Approach“, (with S. Darolles and G. Le Fol), Journal of Banking and Finance, Vol. 32, 2008.
  3. “Stock index futures arbitrage in emerging markets: Polish evidence“, (with J. Jakubowski), International Review of Financial Analysis, Vol. 17, 2008.
  4. “Testing for Financial Spillovers in Calm and Turbulent Periods”, (with M.T. Bohl and D. Serwa), Quarterly Review of Economics and Finance Vol. 46, 2006.
  5. “Financial Contagion, Spillovers, and Causality in the Markov Switching Framework”, (with D. Serwa), Quantitative Finance Vol. 5, 2005.
  6. “On pricing of forward and futures contracts on zero-coupon bonds in the Cox-Ingersoll-Ross model“, (with J. Jakubowski), Mathematics of Finance, Series: Contemporary Mathematics, American Mathematical Society, 2004.
  7. "Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange", with J. Jakubowski), Journal of Derivatives, Vol. 19, Spring 2012.
  8. "Fast profits: Investor sentiment and stock returns during Ramadan", Journal of Banking and Finance, (with A. Etebari and T. Wisniewski), Vol. 36, 2012.
  9. "Emerging Market Mutual Fund Performance: Evidence for Poland", (with Roger Otten), North-American Journal of Economics and Finance, Vol. 22, 2011.
  10. Individual Investors Surpass their Reputation: An Intraday Analysis of the Polish Futures Market;, (with M.T. Bohl, Ch. Goodfellow), Economic Systems, Vol. 34, 2012 (forthcoming).