Professor Ian Marsh

Head of Faculty of Finance

Bayes Business School, Faculty of Finance

Contact

Visit Ian Marsh

Room BR5056, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Ian has worked in the City of London as an international banker and financial market economist, for the IMF, and in academia. He has been at Bayes since 1998 but was on leave of absence at the Bank of England between June 2001 and September 2003 where he managed a research team focusing on capital market issues. His research interests are credit risk transfer markets and the market for foreign exchange.

Qualifications

B.Sc. (Sheffield), M.Sc. (Birkbeck) and PhD (Economics; Strathclyde).

Award

  • INQUIRE (2011) Inquire prize for research
    Inquire prize for research, awarded for paper on Banning Short Sales and Market Quality: the UK’s experience, co-authored with Richard Payne.

Languages

Italian.

Expertise

Primary topics

  • Capital Markets
  • Econometric & Statistical Methods
  • Finance
  • Financial Econometrics
  • Financial Economics
  • Financial Markets
  • International Finance
  • International Financial Markets

Research

My recent research has been in three main areas:

1. Macroeconomic exchange rate modelling.
Macroeconomic theory cannot explain well the month-to-month behaviour of major exchange rates. However, it does better in explaining long term equilibria (Marsh, Passari and Sarno, 2012) and in predicting crises and regime change (Hallwood, MacDonald and Marsh, 2010 and 2012).

2. Microstructure of FX and equity markets.
While macroeconomic variables have limited success in explaining exchange rate movements, microeconomic variables, especially the order flow of informed customers, can explain and even predict prices. I have extended our understanding of this through work with two PhD students. First, we take this approach to emerging markets with the first analysis of African exchange rate markets (Duffuor, Marsh and Phylaktis, 2012) and show that the same relationships hold even in under-developed FX markets. In Marsh and Miao (2012) we show that orders in FX markets are relevant also for equity valuation, and are therefore likely to contain fundamental information rather than being transient and liquidity-related.

Market design, regulations and policy decisions impact the effectiveness of financial markets. My work has investigated how two major regulation/policy changes affected markets. The imposition of bans on short-selling financial stocks in the UK at the height of the recent crisis impaired efficiency with no noticeable gains (March and Payne, 2012). This paper won considerable attention in the press including coverage in FT and several EU financial newspapers, and in the practitioner community (it was awarded the Inquire prize for research). Second, intervention by Japanese authorities, while of only limited use in stemming the yen's appreciation, did disrupt the workings of the FX market sufficiently to break down the usual relationship between end-user transactions in the market and spot prices.

3. Credit derivatives markets.
In ongoing research with Wagner of Tilburg University, I examine the operation of the credit default swap market. We show that the price at which this market allows default risk to be insured follows a pattern also observed in goods (especially gasoline) markets - namely, prices rise rapidly on bad news yet only fall slowly on good news. We expalin this as the reaction of profit maximising but less the fully competitive intermediaries who can exploit uninformed couterparties and extract a higher than warranted price following good news.

Research topics

Foreign exchange market microstructure

Analysis of the roles played by customer and interbank order flows in the determination of foreign exchange rates.

Credit risk markets

How are prices in credit derivatives market set? My research suggests they lead prices in other credit markets but lag prices in equities. This lag is only manifest following good economic news, however, and is suggested of market inefficiencies related to imperfect competition.

Computer-based trading in equity markets

Electronic trading is now dominant in financial markets. I investigate how the impact of such computer-based trading varies in the cross-section of UK stocks and show how this relates to the effectiveness of price determination in equity markets.

Research students

Jason Cen

Attendance: Sep 2012 – Sep 2016, full-time

Thesis title: Essays in International Finance

Role: 1st Supervisor

Slawa Roschkow

Attendance: Oct 2007 – May 2013, full-time

Thesis title: Price Discovery in Cross Listed Russian Stocks

Role: 1st Supervisor

Maxim Zagonov

Attendance: Oct 2007 – Jun 2011, full-time

Thesis title: Financial Intermediation and Interest Rate Risk

Role: 1st Supervisor

Teng Miao

Attendance: Oct 2006 – Aug 2010, full-time

Thesis title: Essays in Microstructure Analysis in the Foreign Exchange Market

Role: 1st Supervisor

Kwabena Duffuor

Attendance: Oct 2006 – Jan 2010, full-time

Thesis title: Order Flow and Exchange Rate Dynamics in Emerging Markets: The Case of Ghana

Role: 1st Supervisor

Lorenzo Bertolini

Attendance: Oct 2006 – Nov 2010, full-time

Thesis title: Carry Trades

Role: 2nd Supervisor

Attendance: Oct 2006 – Dec 2009, full-time

Role: 2nd Supervisor

H Al A E Hoque

Attendance: Oct 2006 – present, full-time

Role: 2nd Supervisor

Myria Kyriakou

Attendance: Oct 2005 – Jun 2010, full-time

Thesis title: Foreign Exchange Market Microstructure and Forecasting

Role: 1st Supervisor

H W Chang

Attendance: Oct 2005 – present, full-time

Role: 2nd Supervisor

Publications

Books (2)

  1. James, J., Sarno, L. and Marsh, I. (Eds.), (2012). Handbook of Exchange Rates. Wiley. ISBN 978-0-470-76883-9.
  2. Marsh, I. and MacDonald, R. (1999). Exchange Rate Modelling. Boston: Springer. ISBN 978-0-7923-8668-1.

Chapters (13)

  1. Marsh, I.W. and Miao, T. (2016). High-frequency information content in end-user foreign exchange order flows. High Frequency Trading and Limit Order Book Dynamics (pp. 133–152). ISBN 978-1-138-82938-1.
  2. Marsh, I.W., Passari, E. and Sarno, L. (2012). Purchasing Power Parity in Tradable Goods. In James, J., Marsh, I.W. and Sarno, L. (Eds.), Handbook of Exchange Rates Wiley.
  3. Hallwood, C.P., Macdonald, R. and Marsh, I.W. (2012). Crash! expectational aspects of the UK’s and the U.S.’s departures from the inter-war gold standard. In Bordo, M.D. and MacDonald, R. (Eds.), Credibility and the International Monetary Regime: A Historical Perspective (pp. 116–132). Cambridge University Press. ISBN 978-1-139-04584-1.
  4. Paul Hallwood, C., Macdonald, R. and Marsh, I.W. (2012). Did impending war in Europe help destroy the gold bloc in 1936? An internal inconsistency hypothesis. In Bordo, M.D. and MacDonald, R. (Eds.), Credibility and the International Monetary Regime: A Historical Perspective (pp. 133–150). Cambridge University Press. ISBN 978-1-139-04584-1.
  5. Hallwood, C.P., Macdonald, R. and Marsh, I.W. (2012). Credibility and fundamentals: Were the classical and inter-war gold standards well-behaved target zones? In Bordo, M.D. and MacDonald, R. (Eds.), Credibility and the International Monetary Regime: A Historical Perspective (pp. 17–45). Cambridge: Cambridge University Press. ISBN 978-0-521-81133-0.
  6. Hallwood, C.P., Marsh, I.W. and MacDonald, R. (2012). Realignment expectations and the US dollar, 1890–7: was there a peso problem? In Bordo, M.D. and MacDonald, R. (Eds.), Credibility and the International Monetary Regime A Historical Perspective (pp. 71–88). Cambridge University Press. ISBN 978-0-521-81133-0.
  7. Hallwood, C.P., Macdonald, R. and Marsh, I.W. (2012). Credibility and fundamentals: Were the classical and inter-war gold standards well-behaved target zones? Credibility and the International Monetary Regime: A Historical Perspective (pp. 17–45). ISBN 978-0-521-81133-0.
  8. Marsh, I., Hallwood, P. and MacDonald, R. (2010). THE GOLD BLOC: DID IMPENDING WAR IN EUROPE HELP DESTROY THE GOLD BLOC IN 1936? AN INTERNAL INCONSISTENCY HYPOTHESIS. In MacDonald, R. and Bordo, M. (Eds.), Credibility and the International Monetary Regime: An Historical Perspective Cambridge: CUP.
  9. Marsh, I., Hallwood, P. and Scheibe, J. (2005). Economic Shocks and Choice of Currency Area: The Case of Argentina, 1991-2002. In Sinclair, P.J.N., Driver, R. and Thoenissen, C. (Eds.), Exchange rates and capital flows (pp. 77–97). London: Routledge.
  10. Marsh, I. and Phylaktis, K. (2003). The International Monetary Fund: Past, Present and Future. In Mullineux, A.W. and Murinde, V. (Eds.), Handbook of International Banking (pp. 699–720). Edward Elgar. ISBN 978-1-84064-093-9.
  11. Marsh, I. (2002). What central banks can learn about default risk from credit markets. Market functioning and central bank policy (BIS Papers No 12) (pp. 329–339). Basel, Switzerland: Bank for International Settlements. ISBN 92-9131-636-9.
  12. Hallwood, P., MacDonald, R. and Marsh, I. (1996). Credibility and Fundamentals: Was the Gold Standard a Well-Behaved Target Zone? In Bayoumi, T., Eichengreen, B. and Taylor, M.P. (Eds.), Modern Perspectives on the Gold Standard (pp. 129–164). Cambridge University Press.
  13. Marsh, I.W. and MacDonald, R. (1994). On Long- and Short-Run Purchasing Power Parity. In Kaehler, J. and Kugler, P. (Eds.), Econometric Analysis of Financial Markets (pp. 23–46). Physica-Verlag HD. ISBN 978-3-642-48668-5.

Conference papers and proceedings (24)

  1. Marsh, I. (2010). Some evidence on the effectiveness of a securities transactions tax from the US equity markets. Queens Uni Belfast.
  2. Marsh, I. (2008). Banking in a world of credit risk transfer. FSA, London.
  3. Marsh, I., Nagayasu, J. and Wandrin, J. (2008). Some evidence on the effectiveness of a securities transactions tax from the US equity markets. ICMA Centre, Reading.
  4. Marsh, I., Nagayasu, J. and Wandrin, J. (2007). Some evidence on the effectiveness of a securities transaction tax from the US equity markets. University of Sydney.
  5. Marsh, I., Nagayasu, J. and Wandrin, J. (2007). Some evidence on the effectiveness of a securities transactions tax from the US equity markets. Exeter University.
  6. Marsh, I., Nagayasu, J. and Wandrin, J. (2007). Some evidence on the effectiveness of a securities transactions tax from the US equity markets. University College Dublin.
  7. Marsh, I., Nagayasu, J. and Wandrin, J. (2007). Some evidence on the effectiveness of a securities transactions tax from the US equity markets. Warwick Business School.
  8. Marsh, I., Goderis, B., Vall Castello, J. and Wagner, W. (2006). Bank behaviour with access to credit risk transfer markets. Graduate School of Finance, Helsinki.
  9. Marsh, I. (2006). The effect of lenders' credit risk transfer activities on borrowing firms' equity returns. Bank of Finland.
  10. Goderis, B. and Marsh, I. (2005). Bank Behaviour with Access to Credit Derivative Markets. Second annual CERF seminar on financial innovation Cambrdige University.
  11. Marsh, I. (2005). Bank Behaviour with Access to Credit Risk Transfer Markets. Capital Markets, Corporate Finance, Money and Banking Conference Cass Business School.
  12. Marsh, I. (2005). Customer Order Flows in Foreign Exchange Markets: Do They Really Contain Information? Norges Bank - BI Microstructure of equity and currency markets conference Oslo.
  13. Marsh, I. (2004). An Empirical Analysis of the Dynamic Relationship Between Credit Spreads and the Credit Default Swap Market. Federal Reserve Bank of Atlanta Atlanta, US.
  14. Marsh, I. (2004). An Empirical Analysis of the Dynamic Relationship Between Credit Spreads and the Credit Default Swap Market. The Credit Market: Recent Advances in Research New York University.
  15. Marsh, I. (2004). An Empirical Analysis of the Dynamic Relationship Between Credit Spreads and the Credit Default Swap Market. University of Verona Italy.
  16. Marsh, I. (2003). An Empirical Analysis of the Dynamic Relationship Between Credit Spreads and the Credit Default Swap Market. Western Finance Association Cabo Real, Mexico.
  17. Marsh, I. (2001). Liquidity Measurement and Modelling in an Electronic Order Book Market. European University Institute, Florence,.
  18. Marsh, I. (2001). Liquidity Measurement and Modelling in an Electronic Order Book Market. Glasgow University.
  19. Marsh, I. (2001). What Central Banks Can Learn About Default Risk From Credit Markets. Central Banking Studies Bank of England.
  20. Marsh, I. (2001). What Central Banks Can Learn About Default Risk From Credit Markets. Bank for International Settlements, Basel, Switzerland.
  21. Marsh, I. (2000). How Do UK-Based Foreign Exchange Dealers Think Their Market Operates? Centre for Economic Policy Research, London.
  22. Marsh, I. (1999). The Gold Bloc in the 1930s at Centre for Economic Policy Research. Global Economic Institutions Research, London.
  23. Marsh, I. (1998). Realignment Expectations and the US Dollar, 1879-1897: Was There a >Peso= Problem? Imperial College, London.
  24. Marsh, I. (1996). On Casselian PPP, Cointegration and Exchange Rate Forecasting. The Royal Economic Society Summer School University of Birmingham.

Journal articles (51)

  1. Baeckström, Y., Marsh, I.W. and Silvester, J. (2021). Financial advice and gender: Wealthy individual investors in the UK. Journal of Corporate Finance, 71, pp. 101882–101882. doi:10.1016/j.jcorpfin.2021.101882.

    [publisher’s website]

  2. Fullwood, J., James, J. and Marsh, I.W. (2021). Volatility and the cross-section of returns on FX options. Journal of Financial Economics, 141(3), pp. 1262–1284. doi:10.1016/j.jfineco.2021.04.030.

    [publisher’s website]

  3. Dupuy, P., James, J. and Marsh, I.W. (2021). Attractive and non-attractive currencies. Journal of International Money and Finance, 110, pp. 102253–102253. doi:10.1016/j.jimonfin.2020.102253.

    [publisher’s website]

  4. Accominotti, O., Cen, J., Chambers, D. and Marsh, I.W. (2019). Currency Regimes and the Carry Trade. Journal of Financial and Quantitative Analysis, 54(5), pp. 2233–2260. doi:10.1017/s002210901900019x.

    [publisher’s website]

  5. Alizadeh, A., Huang, C.-.Y. and Marsh, I. (2019). Modelling the Volatility of TOCOM Energy Futures: A Regime Switching Realised Volatility Approach. Energy Economics. doi:10.1016/j.eneco.2019.06.019.
  6. Marsh, I.W., Rincon-Aznar, A., Vecchi, M. and Venturini, F. (2017). We see ICT spillovers everywhere but in the econometric evidence: a reassessment. Industrial and Corporate Change, 26(6), pp. 1067–1088. doi:10.1093/icc/dtx008.

    [publisher’s website]

  7. Hayley, S. and Marsh, I.W. (2016). What do retail FX traders learn? Journal of International Money and Finance, 64, pp. 16–38. doi:10.1016/j.jimonfin.2016.02.001.

    [publisher’s website]

  8. Marsh, I.W. and Wagner, W. (2016). News-Specific Price Discovery in Credit Default Swap Markets. Financial Management, 45(2), pp. 315–340. doi:10.1111/fima.12095.

    [publisher’s website]

  9. Zhang, G., Marsh, I. and MacDonald, R. (2016). A hybrid approach to exchange rates. Studies in Economics and Finance, 33(1), pp. 50–68. doi:10.1108/sef-10-2014-0185.

    [publisher’s website]

  10. Iwatsubo, K. and Marsh, I.W. (2014). ORDER FLOWS, FUNDAMENTALS AND EXCHANGE RATES. International Journal of Finance & Economics, 19(4), pp. 251–266. doi:10.1002/ijfe.1490.

    [publisher’s website]

  11. James, J., Marsh, I.W. and Sarno, L. (2012). Preface. Handbook of Exchange Rates. doi:10.1002/9781118445785.
  12. Marsh, I.W. and Miao, T. (2012). High-frequency information content in end-user foreign exchange order flows. European Journal of Finance, 18(9), pp. 865–884. doi:10.1080/1351847X.2011.601652.
  13. Duffuor, K., Marsh, I.W. and Phylaktis, K. (2012). Order flow and exchange rate dynamics: An application to emerging markets. International Journal of Finance and Economics, 17(3), pp. 290–304. doi:10.1002/ijfe.451.
  14. Marsh, I.W. and Payne, R. (2012). Banning short sales and market quality: The UK's experience. Journal of Banking and Finance, 36(7), pp. 1975–1986. doi:10.1016/j.jbankfin.2012.03.005.
  15. Marsh, I.W. and Payne, R. (2012). Banning short sales and market quality: The UK's experience. Journal of Banking and Finance.
  16. Marsh, I.W. (2011). Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market. Journal of International Money and Finance, 30(2), pp. 377–392. doi:10.1016/j.jimonfin.2010.10.001.
  17. Marsh, I.W. (2011). Order Flow and Central Bank Intervention: An Empirical Analysis of Recent Bank of Japan Actions in the Foreign Exchange Market. Journal of International Money and Finance, 30, pp. 377–392.
  18. Marsh, I.W. and Paul Hallwood, R.M. (2011). Remilitarization and the End of the Gold Bloc in 1936. De Economist, 159(3), pp. 305–321. doi:10.1007/s10645-011-9160-y.
  19. Hawkesby, C., Marsh, I.W. and Stevens, I. (2007). Comovements in the equity prices of large complex financial institutions. Journal of Financial Stability, 2(4), pp. 391–411. doi:10.1016/j.jfs.2006.12.001.
  20. Marsh, I.W., Hawkesby, C., W, and Stevens, I. (2007). Comovements in the equity prices of large complex financial institutions. Journal of Financial Stability, 2, pp. 391–411.
  21. Wagner, W. and Marsh, I.W. (2006). Credit risk transfer and financial sector stability. Journal of Financial Stability, 2(2), pp. 173–193. doi:10.1016/j.jfs.2005.11.001.
  22. Hallwood, P., Marsh, I.W. and Scheibe, J. (2006). An assessment of the case for monetary union or official dollarization in five Latin American countries. Emerging Markets Review, 7(1), pp. 52–66. doi:10.1016/j.ememar.2005.12.001.
  23. Marsh, I.W., Hallwood, P. and Scheibe, J.R. (2006). An assessment of the case for monetary union or official dollarization in five Latin American countries. Emerging Markets Review, 7, pp. 52–66.
  24. Marsh, I.W. and Wagner, W. (2006). Credit risk transfer and financial sector stability. Journal of Financial Stability, 2, pp. 173–193.
  25. Marsh, I.W. (2006). Order Flow and Central Bank Intervention: An Empirical Analysis of Recent Bank of Japan Actions in the Foreign Exchange Market. SSRN. doi:10.2139/ssrn.942805.

    [publisher’s website]

  26. Blanco, R., Brennan, S. and Marsh, I.W. (2005). An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. Journal of Finance, 60(5), pp. 2255–2281. doi:10.1111/j.1540-6261.2005.00798.x.
  27. Marsh, I.W., Blanco, R. and Brennan, S. (2005). An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps. Journal of Finance, 60, pp. 2255–2281.
  28. Blanco, R., Brennan, S. and Marsh, I.W. (2005). An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps. Journal of Finance, 60(5), pp. 1–27. doi:10.1111/j.1540-6261.2005.00798.x.
  29. Cheung, Y.W., Chinn, M.D. and Marsh, I.W. (2004). How do UK-based foreign exchange dealers think their market operates? International Journal of Finance and Economics, 9(4), pp. 289–306. doi:10.1002/ijfe.252.
  30. Hallwood, C.P. and Marsh, I.W. (2004). Exchange market pressure on the pound-dollar exchange rate: 1925-1931. North American Journal of Economics and Finance, 15(2), pp. 249–264. doi:10.1016/j.najef.2004.01.002.
  31. MacDonald, R. and Marsh, I.W. (2004). Currency spillovers and tri-polarity: A simultaneous model of the US dollar, German mark and Japanese yen. Journal of International Money and Finance, 23(1), pp. 99–111. doi:10.1016/j.jimonfin.2003.08.003.
  32. Marsh, I.W. and MacDonald, R. (2004). Currency spillovers and tri-polarity: a simultaneous model of the US dollar, German mark and Japanese yen. Journal of International Money and Finance, 23, pp. 99–111.
  33. Marsh, I. and Hallwood, P. (2004). Exchange market pressure on the pound�dollar exchange rate: 1925�1931. North American Journal of Economics and Finance, 15, pp. 249–264.
  34. Marsh, I., Cheung, Y.W. and Chinn, M.D. (2004). How Do UK-based Foreign Exchange Dealer Think Their Market Operates? International Journal of Finance and Economics, 9, pp. 289–306.
  35. Marsh, I., Hawkesby, C. and Stevens, I. (2003). Large Complex Financial Institutions: Common Influences on Asset Price Behaviour? Financial Stability Review, 2003(15), pp. 124–134.
  36. Marsh, I., Cortes, F. and Lyon, M. (2002). Is There Still Magic in Corporate Earnings? Financial Stability Review, 2002(13), pp. 142–152.
  37. Paul Hallwood, C., MacDonald, R. and Marsh, I.W. (2000). Realignment expectations and the US dollar, 1890–1897: Was there a ‘Peso problem’? Journal of Monetary Economics, 46(3), pp. 605–620. doi:10.1016/s0304-3932(00)00040-4.

    [publisher’s website]

  38. Hallwood, P., MacDonald, R. and Marsh, I.W. (2000). An Assessment of the Causes of the Abandonment of the Gold Standard by the U. S. in 1933. Southern Economic Journal, 67(2), pp. 448–448. doi:10.2307/1061480.

    [publisher’s website]

  39. Marsh, I.W. (2000). High-frequency Markov switching models in the foreign exchange market. Journal of Forecasting, 19(2), pp. 123–134. doi:10.1002/(sici)1099-131x(200003)19:23.0.co;2-c.

    [publisher’s website]

  40. Marsh, I., Hallwood, P. and MacDonald, R. (2000). An Assessment of the Causes of the Abandonment of the Gold Standard by the U.S. in 1933. Southern Economic Journal, 67, pp. 448–459.
  41. Marsh, I. (2000). High-frequency Markov Switching Models in the Foreign Exchange Market. Journal of Forecasting, 19, pp. 123–134.
  42. Marsh, I., Paul Hallwood, C. and MacDonald, R. (2000). Realignment expectations and the US dollar, 1890-1897: Was there a `Peso problem`? Journal of Monetary Economics, 46, pp. 605–620.
  43. MacDonald, R. and Marsh, I.W. (1997). On Fundamentals And Exchange Rates: A Casselian Perspective. The Review of Economics and Statistics, 79(4), pp. 655–664.
  44. Hallwood, C.P., MacDonald, R. and Marsh, I.W. (1997). Crash! Expectational Aspects of the Departures of the United Kingdom and the United States from the Inter-War Gold Standard. Explorations in Economic History, 34(2), pp. 174–194. doi:10.1006/exeh.1997.0668.

    [publisher’s website]

  45. Marsh, I.W. and Tokarick, S.P. (1996). An assessment of three measures of competitiveness. Weltwirtschaftliches Archiv, 132(4), pp. 700–722. doi:10.1007/bf02707590.

    [publisher’s website]

  46. Macdonald, R. and Marsh, I.W. (1996). Currency forecasters are heterogeneous: confirmation and consequences. Journal of International Money and Finance, 15(5), pp. 665–685. doi:10.1016/0261-5606(96)00030-7.

    [publisher’s website]

  47. Marsh, I.W. and Power, D.M. (1996). A note on the performance of foreign exchange forecasters in a portfolio framework. Journal of Banking & Finance, 20(3), pp. 605–613. doi:10.1016/0378-4266(95)00007-0.

    [publisher’s website]

  48. Marsh, I. and MacDonald, R. (1996). Forecaster Heterogeneity: An Investigation of the Expectations of Foreign Exchange Forecasters (in French). Economie et Prevision, 125.
  49. Macdonald, R. and Marsh, I.W. (1994). Combining exchange rate forecasts: What is the optimal consensus measure? Journal of Forecasting, 13(3), pp. 313–332. doi:10.1002/for.3980130306.

    [publisher’s website]

  50. Ronald, M. and Ian, M. (1993). On the efficiency of oil price forecasts. Applied Financial Economics, 3(4), pp. 293–302. doi:10.1080/758534940.

    [publisher’s website]

  51. Marsh, I.W. and MacDonald, R. (1993). The Efficiency Of Spot And Futures Stock Indices: A Survey Based Perspective. Review of Futures Markets, 12(2), pp. 431–454.

Reports (2)

  1. Goderis, B., Marsh, I.W., Vall Castello, J. and Wagner, W. (2007). Bank behaviour with access to credit risk transfer..
  2. Marsh, I.W., Nagayasu, J. and Wandrin, J. (2007). Some evidence on the effectiveness of a security transactions tax from the US equity market..

Scholarly editions (8)

  1. Marsh, I.W. and Wagner, W. (2012). Why is Price Discovery in Credit Default Swap Markets News-Specific?
  2. Marsh, I.W. and Wagner, W. (2012). Why is Price Discovery in Credit Default Swap Markets News-Specific?
  3. Marsh, I.W. and Wagner, W. (2012). Why is price discovery in credit default swap markets news-specific?
  4. Marsh, I.W. and Tokarick, S. Competitiveness Indicators; A Theoretical and Empirical Assessment.
  5. Hawkesby, C., Marsh, I.W. and Stevens, I. Comovements in the prices of securities issued by large complex financial institutions.
  6. Hallwood, P., Marsh, I.W. and Scheibe, J. Official Dollarization in Latin America: Could it Work?
  7. Hallwood, P., Marsh, I.W. and Scheibe, J. An Assessment of the Case for Monetary Union or Official
    Dollarization in Argentina, Brazil, Chile, Uruguay and Venezuela.
  8. Marsh, I.W. and Wagner, W. Credit Risk Transfer and Financial Sector Performance.

Working papers (3)

  1. Alizadeh, A.H., Huang, C.-.Y. and Marsh, I.W. (2021). Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach. Elsevier BV
  2. Alizadeh-Masoodian, A.H., Marsh, I. and Huang, C.-.Y. (2018). Modelling the Volatility of TOCOM Energy Futures: A Regime Switching Realised Volatility Approach.
  3. Marsh, I.W. (2006). The effect of lenders’ credit risk transfer activities on borrowing
    firms’ equity returns.

Other (2)

  1. Marsh, I.W., James, J. and Sarno, L. (2012). Handbook of Exchange Rates.
  2. Marsh, I.W. and Payne, R. Banning Short Sales.

Education

Course Directorship

- 2008 - 2010, MSc Finance, Director
- 2011 - present, PhD Finance, Director
- 1999 - 2001, BSc Banking and International Finance, Director

Professional activities

Consultancy (3)

  1. HVB Europe (Private Sector) (Jan 2007 – present)
    On-going consultancy on exchange rate valuation models
  2. PLUS Markets Group (Private Sector) (Sep 2005 – present)
    On/going consulting on trading structures for small/medium cap stocks
  3. Bank of Finland (Public Sector) (Mar 2005 – present)
    On-going consultancy on the implications of credit risk transfer innovations

Editorial activity (4)

  1. Review of Economics and Institutions, Member of Editorial Board, 2010 – present.
  2. Journal of Banking and Finance, Referee, 2009 – present.
  3. Journal of Financial Economics, Referee, 2009 – present.
  4. Review of Financial Studies, Referee, 2008 – present.

Events/conferences (39)

  1. Rotterdam Behavioural Finance Conference. (Conference) Rotterdam, Holland (2014).
    Paper: Do Retail FX Traders Learn?
    Author: Marsh IW
    Co-authors: Simon Hayley
  2. European Financial Management Association. (Conference) Rome, Italy (2014).
    Paper: Off the Golden Fetters
    Author: Marsh IW
    Co-authors: Jason Cen
  3. European Finance Association. (Conference) Lugano, Switzerland (2014).
    Paper: Off the Golden Fetters
    Author: Marsh IW
    Co-authors: Jason Cen
  4. EFMA 2013. (Conference) Reading, UK (2013). Organising Committee.
  5. University of Liverpool. (Workshop) Liverpool, UK (2013). Invited speaker.
    Paper: Fast Aggressive Trading
    Author: Marsh IW
    Co-authors: R. Payne
  6. 3L Conference. (Conference) Brussels, Belgium (2013). Invited speaker.
    Paper: Off Golden Fetters
    Author: Marsh IW
    Co-authors: J. Cen
  7. 3L Conference. (Conference) Brussels (2013). Invited speaker.
    Paper: Fast Trading
    Author: Marsh IW
    Co-authors: R. Payne
  8. EMG Conference, Cass, City University. (Conference) Cass, City University (2012). Organising Committee.
  9. (Conference) Toulouse (2012). Invited speaker.
    Paper: Computer-Based Trading in the Cross-Section
    Author: Marsh IW
    Co-authors: R. Payne
  10. Frontiers of Finance. (Conference) Warwick (2012). Invited speaker.
    Paper: Computer-Based Trading in the Cross Section
    Author: Marsh IW
    Co-authors: R. Payne
  11. EMG Conference. (Conference) Cass, City University (2011). Organising Committee.
  12. (Workshop) Essex University (2011). Invited speaker.
    Paper: Banning Short Sales and Market Quality
    Author: Marsh IW
    Co-authors: R. Payne
  13. EMG Conference. (Conference) Cass, City University (2010). Organising Committee.
  14. (Seminar) Glasgow Uni (2010). Invited speaker.
    Paper: Some evidence on the effectiveness of a securities transactions tax from the US equity markets
    Author: Marsh I
  15. (Seminar) Hannover University (2010). Invited speaker.
    Paper: Some evidence on the effectiveness of a securities transactions tax from the US equity markets
    Author: Marsh I
  16. (Seminar) Queens Uni Belfast (2010). Invited speaker.
    Paper: Some evidence on the effectiveness of a securities transactions tax from the US equity markets
    Author: Marsh I
  17. (Seminar) BIS, Basel (2010). Invited speaker.
    Paper: Banning Short Sales
    Author: Marsh I.W.
    Co-authors: R.Payne
  18. ICMA Centre, Reading. (Seminar) Reading (2008). Invited speaker.
    Paper: Some evidence on the effectiveness of a securities transactions tax from the US equity markets
    Author: Marsh I.
    Co-authors: J. Nagayasu, J. Wandrin
  19. FSA, London. (Seminar) London (2008). Invited speaker.
    Paper: Banking in a world of credit risk transfer
    Author: Marsh I.
  20. Warwick Business School. (Seminar) (2007). Invited speaker.
    Paper: Some evidence on the effectiveness of a securities transactions tax from the US equity markets
    Author: Marsh I
    Co-authors: J. Nagayasu, J. Wandrin
  21. University of Sydney. (Seminar) (2007). Invited speaker.
    Paper: Some evidence on the effectiveness of a securities transaction tax from the US equity markets
    Author: Marsh I.
    Co-authors: J. Nagayasu, J. Wandrin
  22. University College Dublin. (Seminar) (2007). Invited speaker.
    Paper: Some evidence on the effectiveness of a securities transactions tax from the US equity markets
    Author: Marsh I
    Co-authors: J. Nagayasu, J. Wandrin
  23. Exeter University. (Seminar) (2007). Invited speaker.
    Paper: Some evidence on the effectiveness of a securities transactions tax from the US equity markets
    Author: Marsh I
    Co-authors: J. Nagayasu, J. Wandrin
  24. Graduate School of Finance, Helsinki. (Seminar) (2006). Invited speaker.
    Paper: Bank behaviour with access to credit risk transfer markets
    Author: Marsh I
    Co-authors: B. Goderis, J. Vall Castello, W. Wagner
  25. Bank of Finland. (Seminar) (2006). Invited speaker.
    Paper: The effect of lenders' credit risk transfer activities on borrowing firms' equity returns
    Author: Marsh I
  26. - Second annual CERF seminar on financial innovation. (Seminar) Cambrdige University (2005).
    Paper: Bank Behaviour with Access to Credit Derivative Markets
    Co-authors: B. Goderis
  27. Norges Bank - BI Microstructure of equity and currency markets conference. (Conference) Cass Business School (2005).
    Paper: Bank Behaviour with Access to Credit Risk Transfer Markets
  28. University of Verona. Italy (2004).
    Paper: An Empirical Analysis of the Dynamic Relationship Between Credit Spreads and the Credit Default Swap Market
  29. The Credit Market: Recent Advances in Research. New York University (2004).
    Paper: An Empirical Analysis of the Dynamic Relationship Between Credit Spreads and the Credit Default Swap Market
  30. Federal Reserve Bank of Atlanta. Atlanta, US (2004).
    Paper: An Empirical Analysis of the Dynamic Relationship Between Credit Spreads and the Credit Default Swap Marke
  31. Western Finance Association. Cabo Real, Mexico (2003).
    Paper: An Empirical Analysis of the Dynamic Relationship Between Credit Spreads and the Credit Default Swap Market
  32. Bank for International Settlements, Basel, Switzerland (2001).
    Paper: What Central Banks Can Learn About Default Risk From Credit Markets
  33. European University Institute, Florence (2001).
    Paper: Liquidity Measurement and Modelling in an Electronic Order Book Market
  34. Glasgow University (2001).
    Paper: Liquidity Measurement and Modelling in an Electronic Order Book Market
  35. Central Banking Studies. Bank of England (2001).
    Paper: What Central Banks Can Learn About Default Risk From Credit Markets
  36. Centre for Economic Policy Research, London (2000).
    Paper: How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?
  37. Global Economic Institutions Research, London (1999).
    Paper: The Gold Bloc in the 1930s at Centre for Economic Policy Research
  38. Imperial College, London (1998).
    Paper: Realignment Expectations and the US Dollar, 1879-1897: Was There a >Peso= Problem?
  39. The Royal Economic Society Summer School. University of Birmingham (1996).
    Paper: On Casselian PPP, Cointegration and Exchange Rate Forecasting

Media appearances (30)

  1. (2012) Financial Times (newspaper).
  2. Spain and Italy's short-selling bans come under attack. (2012) www.ft.com (website).
  3. Will Italy and Spain's decision to ban short selling have any serious effect whatsoever? (2012) www.cityam.com (website).
  4. Will Italy and Spain's decision to ban short selling have any serious effect whatsoever? (2012) City AM (newspaper).
  5. European debt crisis putting credit default swaps in harsh light. (2011) www.pionline.com (website).
  6. Comments on EU CDS ban. (2011) www.thehedgefundjournal.com (website).
  7. (2011) BBC Radio 2 (radio).
  8. Verbot von Leerverkaufen versechlechtert Qualitat der britischen Aktienmarkte. (2010) Finanzen Markt & Meinungen.
  9. Short-selling ban imposed by the FSA has determinental impact on UK financial markets. (2010) Next Finance.
  10. Banques : l'interdiction des ventes ˆ dŽcouvert dans le secteur financier contre-productive ? (2010) Futura Techno.
  11. Short selling ban. (2010).
  12. Banques : l'interdiction des ventes adŽcouvert dans le secteur financier contre-productive. (2010) Challenges.FR (website).
  13. Banques : l'interdiction des ventes ˆ dŽcouvert dans le secteur financier contre-productive. (2010) ActuFinance.
  14. Banques : l'interdiction des ventes ˆ dŽcouvert dans le secteur financier contre-productive. (2010) Yahoo Finance (website).
  15. Need to make clear views on short selling. (2009) Financial Times (newspaper).
  16. Who will be sweating under the spotlight? (2009) Pensions Week.
  17. Research shows short selling restrictions don't affect market. (2009) www.finalternatives.com (website).
  18. FSA to lift short selling ban. (2009) www.londonstockexchange.com (website).
  19. Pressure on regulator grows as short-selling ban approaches expiry. (2009) Guardian (newspaper).
  20. MPs call for extension to ban on short-selling of financial stocks. (2009) Financial Times (newspaper).
  21. Short-selling debate restarts as British regulator lifts ban. (2008) irishtimes.com (website).
  22. How can you cope with the crunch? (2008) www.guardian.co.uk (website).
  23. (2008) Bloomberg TV (television).
  24. (2008) Les Echos.
  25. Experts differ over forecasts on length of credit crunch. (2008) www.fundstrategy.co.uk (website).
  26. Experts differ over forecasts on length of credit crunch. (2008) Fund Strategy.
  27. Debate: the credit squeeze. (2008) Financial Times (newspaper).
  28. Are we in global financial meltdown? (2008) www.ft.com (website).
  29. Finanssikriisin jatko selviaa paasiaiseen mennessa. (2008) www.hs.fi (website).
  30. (2007) Bloomberg (website).