Research Explorer

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Researcher

Michael Frömmel

Publications & Research Data

Awards & Distinctions

102 Results

2025

Microstructure approach to the Chinese yuan 'one currency, two markets'

Qisi ZhangMichael Frömmel

Permanent and transitory volatility spillovers between conventional and Islamic stock indices during the SARS-CoV‐2 pandemic

Mustafa ÖzerMichael FrömmelDarko B. VukovićMelik Kamişli

A1 Journal Article in INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS

Risk factors in cryptocurrency pricing

Tian LanMichael Frömmel

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

Spillovers between cryptocurrencies and financial markets in a global framework

Darko B. VukovićMichael FrömmelSamuel A. VigneVyacheslav Zinovev

A1 Journal Article in JOURNAL OF INTERNATIONAL MONEY AND FINANCE

The 2024 US presidential election, Trump's victory, and equity market responses : event-study evidence

Fahad AliMichael FrömmelTabassum Kamal

A1 Journal Article in FINANCE RESEARCH LETTERS

Volatility spillovers and market decoupling : evidence from BRICS and China’s green sector

Darko B. VukovićDmitrii Leonidovich FefelovMichael FrömmelElena Moiseevna Rogova

A2 Journal Article in RISKS

2024

Are simple technical trading rules profitable in bitcoin markets?

Niek DeprezMichael Frömmel

A1 Journal Article in INTERNATIONAL REVIEW OF ECONOMICS & FINANCE

Do bitcoin shocks truly Cointegrate with financial and commodity markets?

Mustafa ÖzerMichael FrömmelMelik KamişliDarko B. Vukovic

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

Donald Trump's tweets, political value judgment, and the Renminbi exchange rate

Qisi ZhangMichael FrömmelEdwin Baidoo

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

Essays on empirical asset pricing

Wenqiong LiuMichael FrömmelXing Han

Nonstandard errors

Albert J. MenkveldAnna DreberFelix HolzmeisterJuergen HuberMagnus JohannessonMichael KirchlerSebastian NeusussMichael RazenUtz WeitzelDavid Abad-Diaz et al.

A1 Journal Article in JOURNAL OF FINANCE

Socially responsible investments : doing good while doing well in developed versus emerging markets?

Michael FrömmelJenjang Sri Lestari

A1 Journal Article in RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

2023

Corruption, business environment, and firm growth in Vietnam

Phuoc Vu HaMichael Frömmel

A1 Journal Article in INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS

Impact of trading hours extensions on foreign exchange volatility : intraday evidence from the Moscow exchange

Michael FrömmelEyüp Kadioglu

A1 Journal Article in FINANCIAL INNOVATION

Quantifying the asymmetric information flow between Bitcoin prices and electricity consumption

Moinak MaitiDarko B. VukovicMichael Frömmel

A1 Journal Article in FINANCE RESEARCH LETTERS

The effects of Covid-19 related response policies on the performances of technology-driven financial services companies

Mustafa ÖzerDarko B. VukovicMichael FrömmelSerap Kamisli

A1 Journal Article in FINANCE RESEARCH LETTERS

2022

Exchange rate exposure for exporting and domestic firms in central and Eastern Europe

Raheel AsifMichael Frömmel

A1 Journal Article in Emerging Markets Review

Inflation and portfolio selection

Darko B. VukovicMoinak MaitiMichael Frömmel

A1 Journal Article in FINANCE RESEARCH LETTERS

International financial markets in the digital era

Michael Frömmel

Bookchapter in Digitalization and the future of financial services : innovation and impact of digital finance

Low liquidity beta anomaly in China

Michael FrömmelXing HanYouwei LiSamuel A. Vigne

A1 Journal Article in EMERGING MARKETS REVIEW

Manipulation in the bond market and the role of investment funds : evidence from an emerging market

Eyüp KadiogluMichael Frömmel

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

Sustainable economy in light of COVID-19

Darko VukovicMoinak MaitiMichael Frömmel

Editorial material

Testing Long memory in the exchange rates and its implications for the adaptive market hypothesis

Raheel AsifMichael Frömmel

A1 Journal Article in PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

The crisis alpha of managed futures : myth or reality?

Raheel AsifMichael FrömmelAlexander Mende

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

The dollar exchange rate, adjustment to the purchasing power parity, and the interest rate differential

Michael FrömmelDarko VukovicJinyuan Wu

A1 Journal Article in MATHEMATICS

The influence of Covid-19 on sustainable economy

The role of gender for the risk-shifting behavior of hedge fund and CTA managers

Kobra AhmadpourMichael Frömmel

A1 Journal Article in FINANCE RESEARCH LETTERS

2021

A panel data analysis of uncovered interest parity and time-varying risk premium

Dinçer AfatMichael Frömmel

A1 Journal Article in OPEN ECONOMIES REVIEW

Boards of directors and corporate sustainability performance : evidence from the emerging East Asian markets

Thi Xuan Linh NguyenAnh N. P. DoanMichael Frömmel

A2 Journal Article in INTERNATIONAL JOURNAL OF DISCLOSURE AND GOVERNANCE

COVID-19 pandemic : is the crypto market a safe haven? The impact of the first wave

Darko VukovicMoinak MaitiZoran GrubisicElena M. GrigorievaMichael Frömmel

A1 Journal Article in SUSTAINABILITY

Daily currency interventions in an emerging market : incorporating reserve accumulation to the reaction function

Michael FrömmelMurat Midiliç

A1 Journal Article in ECONOMIC MODELLING

Essays in behavioral finance : investor response to oil spills, and hedge fund and CTA managers' risk shifting behavior

Kobra AhmadpourMichael Frömmel

Essays on asset pricing, financial crisis, and market efficiency

Raheel AsifMichael Frömmel

The accuracy of trade classification systems on the foreign exchange market : evidence from the RUB/USD market

Michael FrömmelDick D'HooreKevin Lampaert

A1 Journal Article in FINANCE RESEARCH LETTERS

2020

An alternative version of purchasing power parity

Dinçer AfatMichael Frömmel

A1 Journal Article in INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS

Corporate sustainability performance in the emerging East Asian markets

Thi Xuan Linh NguyenMichael FrömmelNgoc Phi Anhh Doan

Political connection heterogeneity and firm value in Vietnam

Phuoc Vu HaMichael Frömmel

A2 Journal Article in COGENT BUSINESS & MANAGEMENT

2019

Social capital, credit choices and growth in vietnamese household businesses

Phuoc Vu HaMichael Frömmel

A2 Journal Article in JOURNAL OF DEVELOPMENTAL ENTREPRENEURSHIP

2018

Governance and firm efficiency in Vietnam

Phuoc Vu HaMichael FrömmelLi Youwei

Intraday momentum in FX markets : disentangling informed trading from liquidity provision

Gert ElautKevin LampaertMichael Frömmel

A1 Journal Article in JOURNAL OF FINANCIAL MARKETS

2017

Duration dependence, behavioral restrictions, and the market timing ability of commodity trading advisors

Gert ElautMichael FrömmelAlexander Mende

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCE

Essays on exchange rates

Dinçer AfatMichael Frömmel

Essays on the FX market microstructure

Kevin LampaertMichael Frömmel

Finance 2 : asset allocation and market efficiency

Michael Frömmel

Microeconomics of financial markets

Gert ElautMichael Frömmel

2016

Does frequency matter for intraday technical trading?

Michael FrömmelKevin Lampaert

A1 Journal Article in FINANCE RESEARCH LETTERS

Editorial to the special issue "EMERGING MARKET FINANCE AND INSTITUTIONAL INVESTORS"

Michael Frömmel

Editorial material

Essays on nonlinear time-series modeling and financial markets in emerging economies

Murat MidiliçMichael Frömmel

Essays on the procyclicality of financial cycles and the vulnerability of emerging markets

Garo GarabedianMichael FrömmelKoen Inghelbrecht

Finance 1: Portfolio theory and management

Michael Frömmel

The role of the real exchange rate in credit growth in central and eastern European countries : a bank-level analysis

Michael FrömmelMurat Midiliç

A1 Journal Article in FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE

2015

Crystallization: a hidden dimension of CTA fees

Gert ElautMichael FrömmelJohn Sjödin

A1 Journal Article in FINANCIAL ANALYSTS JOURNAL

Essays on market microstructure and liquidity

Xing HanMichael Frömmel

Further evidence on foreign exchange jumps and news announcements

Michael FrömmelXing HanFrederick Van Gysegem

A1 Journal Article in EMERGING MARKETS FINANCE AND TRADE

Interest rate convergence in the EMS prior to European Monetary Union

Michael FrömmelRobinson Kruse

A1 Journal Article in JOURNAL OF POLICY MODELING

ПОРТФЕЛЬНОЕ ИНВЕСТИРОВАНИЕ: БАЗОВЫЙ КУРС

Michael FrömmelTatiana V NikitinaAnna V Repeta-TursunovaAlexander V Yadrin

2014

Are exporting firms always a good hedge against currency risk? Evidence from Central and Eastern European Countries

Michael FrömmelMarina Luetje

Crystallization: the hidden dimension of Hedge funds' fee structure

Gert ElautMichael FrömmelJohn Sjödin

Crystallization: the hidden dimension of hedge funds' fee structure

Gert ElautMichael FrömmelJohn Sjödin

Essays on behavior and extreme events

Martien LamersMichael FrömmelJaap WB Bos

Modeling the daily electricity price volatility with realized measures

Michael FrömmelXing HanStepan Kratochvil

A1 Journal Article in ENERGY ECONOMICS

2013

Banking and finance in Central and Eastern European countries

Nora SrzentićMichael Frömmel

FDI, terrorism and the availability heuristic for U.S. investors before and after 9/11

Jaap BosMichael FrömmelMartien Lamers

Liquidity provision in the interbank foreign exchange market

Frederick Van GysegemMichael Frömmel

News, liquidity dynamics and intraday jumps: evidence from the HUF/EUR market

Michael FrömmelXing HanFrederick Van Gysegem

2012

Jumps, news, and liquidity in high-frequency exchange rates

Michael FrömmelXing HanFrederick Van Gysegem

Spread components in the Hungarian Forint-Euro market

Michael FrömmelFrederick Van Gysegem

A1 Journal Article in EMERGING MARKETS FINANCE AND TRADE

What do we know about real exchange rate nonlinearities?

Robinson KruseMichael FrömmelLukas MenkhoffPhilipp Sibbertsen

A1 Journal Article in EMPIRICAL ECONOMICS

2011

Estimating credit equations for CESEE: short- and long-run dynamics, and regime-switches

Michael Frömmel

Bookchapter in Почему Германия? Перспективы международного сотрудничества в области науки, образования, культуры, экономики и политики = Warum Deutschland? Perspektive internationalen Zusammenarbeit im Bereich Wissenschaft, Ausbildung, Kultur, Wirtschaft und Politik

Exchange rate policy in central and Eastern European countries

Michael FrömmelFrederick Van Gysegem

Bookchapter in Exchange rates : policies, effects and fluctuations

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

Michael FrömmelNorbert M KissKlara Pinter

A1 Journal Article in INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS

Monetary policy rules in central and Eastern European countries: does the exchange rate matter?

Michael FrömmelGaro GarabedianFranziska Schobert

A1 Journal Article in JOURNAL OF MACROECONOMICS

Portfolios and investments

Michael Frömmel

Testing for a rational bubble under long memory

Michael FrömmelRobinson Kruse

Testing for a rational bubble under long memory

Michael FrömmelRobinson Kruse

A1 Journal Article in QUANTITATIVE FINANCE

What has driven private sector credit developments in Central, Eastern, and Southeastern Europe?

Markus EllerMichael FrömmelNora Srzentić

Bookchapter in The future of banking in CESEE after the financial crisis

2010

Portfolios and investments: an introduction

Michael Frömmel

Private sector credit in CESEE: long-run relationships and short-run dynamics

Markus EllerMichael FrömmelNora Srzentić

A2 Journal Article in FOCUS ON EUROPEAN ECONOMIC INTEGRATION

Volatility regimes in central and Eastern European countries' exchange rates

Michael Frömmel

A1 Journal Article in FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE

2009

Interest rate convergence in the EMS prior to European Monetary Union

Michael FrömmelRobinson Kruse

Interest rate convergence in the EMS prior to European Monetary Union

Michael FrömmelRobinson Kruse

Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market

Michael FrömmelNorbert Kiss M.Klara Pinter

Markov switching regimes in a monetary exchange rate model

Michael FrömmelRonald MacDonaldLukas Menkhoff

Bookchapter in Exchange Rate Economics : selected essays

Monetary Policy Rules in Central and Eastern European Countries: Does the Exchange Rate Matter?

Michael FrömmelGaro GarabedianFranziska Schobert

2008

Bank Lending and Asset Prices: evidence from Bulgaria

Michael FrömmelKristina Karagyozova

Order flows, news, and exchange rate volatility

Michael FrömmelA MENDEL MENKHOFF

A1 Journal Article in JOURNAL OF INTERNATIONAL MONEY AND FINANCE

2007

Book Review: Paul de Grauwe (ed.): Exchange Rate Economics: Where Do We Stand?

Michael Frömmel

2006

Bank Lending and Asset Prices in the Euro Area

Michael FrömmelTorsten Schmidt

Exchange rate regimes in Central and East European countries: deeds vs. words

Michael FrömmelF SCHOBERT

A1 Journal Article in JOURNAL OF COMPARATIVE ECONOMICS

2005

Do fundamentals matter for the D-Mark/Euro - Dollar? A regime switching approach

Michael FrömmelR MACDONALDL MENKHOFF

A2 Journal Article in GLOBAL FINANCE JOURNAL

Langfristige Trends der Wechselkursvolatilität unter alternativen Währungsregimes

Michael Frömmel

Markov switching regimes in a monetary exchange rate model

Michael FrömmelRonald MacDonaldLukas Menkhoff

A1 Journal Article in ECONOMIC MODELLING

The evolution of exchange rate regimes and monetary policy strategies in Central and Eastern European countries

Michael FrömmelF SCHOBERT

Bookchapter in Issues on monetary theory and policy : proceedings of a Colloquium in Honour of Wolfgang Gebauer

2004

Jennes, Barbara, Die Wirkung der Geldpolitik in Deutschland

Michael Frömmel

2003

Increasing exchange rate volatility during the recent float

Michael FrömmelL MENKHOFF

A2 Journal Article in APPLIED FINANCIAL ECONOMICS

Nominal anchors in EU accession countries: recent experiences

Michael FrömmelFranziska Schobert

2002

Internationalisierung der Kapitalmärkte und die Finanzierung des Mittelstandes

Michael FrömmelL MENKHOFF

Bookchapter in Mittelstandsfinanzierung im Umbruch

Volatilitätsmaße für Finanzmarktreihen

Michael Frömmel

A2 Journal Article in WIRTSCHAFTSWISSENSCHAFTLICHTES STUDIUM

2001

Die Effizienz internationaler Finanzmärkte

Michael Frömmel

Bookchapter in Neue Weltwährungsarchitektur

Risk reduction in the EMS? Evidence from trends in exchange rate properties

Michael FrömmelLukas Menkhoff

A1 Journal Article in JOURNAL OF COMMON MARKET STUDIES

1999

The Informational Efficiency of Financial Markets and Macroeconomic Equilibrium

Michael FrömmelL MENKHOFF

Bookchapter in Macroeconomic Causes of Unemployment

Wechselkursvolatilität und institutsspezifische Value at Risk-Ansätze

Michael FrömmelL MENKHOFFN TOLKSDORF

A4 Journal Article in Sparkasse