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Michael Frömmel
Department of Economics, Ghent University, Sint-Pietersplein, 5 9000 Gent, Belgium

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Short Biography

Michael Frömmel is a professor of Finance at Ghent University.

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Journal article
Published: 31 July 2021 in Sustainability
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The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.

ACS Style

Darko Vukovic; Moinak Maiti; Zoran Grubisic; Elena Grigorieva; Michael Frömmel. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. Sustainability 2021, 13, 8578 .

AMA Style

Darko Vukovic, Moinak Maiti, Zoran Grubisic, Elena Grigorieva, Michael Frömmel. COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave. Sustainability. 2021; 13 (15):8578.

Chicago/Turabian Style

Darko Vukovic; Moinak Maiti; Zoran Grubisic; Elena Grigorieva; Michael Frömmel. 2021. "COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave." Sustainability 13, no. 15: 8578.

Journal article
Published: 01 June 2021 in Emerging Markets Review
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The conventional risk-based theory does not reconcile with the liquidity-beta anomaly in China: Low liquidity-beta stocks outperform high liquidity-beta stocks on a risk-adjusted basis. This striking pattern is robust to different weighting schemes, competing factor models, and other well-known return determinants in the cross section. We propose a competing behavioral-based explanation on the low liquidity beta anomaly in China. Consistent with our new perspective, liquidity beta is a negative return predictor in the cross section. Moreover, the time variation of the return differential between low and high liquidity beta stocks is led by investor sentiment after accounting for other possible economic mechanism.

ACS Style

Michael Frömmel; Xing Han; Youwei Li; Samuel A. Vigne. Low liquidity beta anomaly in China. Emerging Markets Review 2021, 100832 .

AMA Style

Michael Frömmel, Xing Han, Youwei Li, Samuel A. Vigne. Low liquidity beta anomaly in China. Emerging Markets Review. 2021; ():100832.

Chicago/Turabian Style

Michael Frömmel; Xing Han; Youwei Li; Samuel A. Vigne. 2021. "Low liquidity beta anomaly in China." Emerging Markets Review , no. : 100832.

Journal article
Published: 16 December 2020 in Finance Research Letters
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To the best of our knowledge we are the first to test a broad set of trade classification rules on the foreign exchange interbank market. A unique data set on the Russian Rouble/US Dollar trade includes the true trade initiator. The modified EMO (Ellis, Michaely and O'Hara) rule is currently the best choice at classifying trades. When quote data is not present, the tick rule yields a considerably lower accuracy. Yearly variations in the accuracy can be attributed to the difference in the location where trades occurred. Not surprisingly, trades executed at the quotes are the most informative.

ACS Style

Dick D'hoore; Michael Frömmel; Kevin Lampaert. The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market. Finance Research Letters 2020, 101892 .

AMA Style

Dick D'hoore, Michael Frömmel, Kevin Lampaert. The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market. Finance Research Letters. 2020; ():101892.

Chicago/Turabian Style

Dick D'hoore; Michael Frömmel; Kevin Lampaert. 2020. "The Accuracy of Trade Classification Systems on the Foreign Exchange Market: Evidence from the RUB/USD Market." Finance Research Letters , no. : 101892.

Journal article
Published: 30 October 2020 in Economic Modelling
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Understanding the intervention policy of central banks on currency markets is important for both practitioners and researchers. Existing models for central bank interventions exclusively focus on exchange rate targeting in level or volatility. However, central banks in emerging economies use international reserves as an insurance against sudden capital outflows and use interventions to manage them. Omitting the reserve component in the reaction function may therefore lead to a bias and wrong conclusions. We therefore extend the reaction function by incorporating a reserve component and illustrate its benefit by applying it to the case of Turkey. We find that the intervention policy of the Turkish Central Bank indeed incorporated interventions to manage their reserves and is therefore better described by our extended model. Furthermore it provides a more accurate description of changes in the central bank's policy. Our results strongly suggest to incorporate reserve variables in intervention functions for emerging countries.

ACS Style

Michael Frömmel; Murat Midiliç. Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function. Economic Modelling 2020, 97, 461 -476.

AMA Style

Michael Frömmel, Murat Midiliç. Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function. Economic Modelling. 2020; 97 ():461-476.

Chicago/Turabian Style

Michael Frömmel; Murat Midiliç. 2020. "Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function." Economic Modelling 97, no. : 461-476.

Journal article
Published: 06 January 2017 in International Review of Finance
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This paper addresses a potential shortcoming in the work on the market timing ability of fund managers. We adapt the Henriksson-Merton (1981) test for market timing by relaxing a behavioral assumption that is implicit in the use of daily data. To this end, we relax the assumption that managers base their market timing decisions on daily excess returns. Instead, we use results from the literature on bull and bear markets and test whether fund managers can successfully time such trends in financial markets. We make use of a proprietary dataset of daily Commodity Trading Advisors (CTAs) returns to show that CTAs, on average, are able to time the bull and bear markets we identify.

ACS Style

Gert Elaut; Michael Frömmel; Alexander Mende. Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors. International Review of Finance 2017, 17, 427 -450.

AMA Style

Gert Elaut, Michael Frömmel, Alexander Mende. Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors. International Review of Finance. 2017; 17 (3):427-450.

Chicago/Turabian Style

Gert Elaut; Michael Frömmel; Alexander Mende. 2017. "Duration Dependence, Behavioral Restrictions, and the Market Timing Ability of Commodity Trading Advisors." International Review of Finance 17, no. 3: 427-450.

Journal article
Published: 01 August 2016 in Finance Research Letters
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We examine the impact of frequency on the intradaily profitability of more than 8000 technical trading rules using an extensive and unexplored sample of intraday data for the Russian Ruble–US Dollar foreign exchange market. The results indicate that technical trading profits seem much more present on a higher frequency basis. The adjustment for real, rather than estimated transaction costs wipes away most of the profits. However, we do find evidence that technical trading rules applied at a sufficiently high frequency generate superior returns when the central bank conducts a stabilizing exchange rate policy.

ACS Style

Michael Frömmel; Kevin Lampaert. Does frequency matter for intraday technical trading? Finance Research Letters 2016, 18, 177 -183.

AMA Style

Michael Frömmel, Kevin Lampaert. Does frequency matter for intraday technical trading? Finance Research Letters. 2016; 18 ():177-183.

Chicago/Turabian Style

Michael Frömmel; Kevin Lampaert. 2016. "Does frequency matter for intraday technical trading?" Finance Research Letters 18, no. : 177-183.

Journal article
Published: 01 November 2015 in Journal of Policy Modeling
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ACS Style

Michael Frömmel; Robinson Kruse. Interest rate convergence in the EMS prior to European Monetary Union. Journal of Policy Modeling 2015, 37, 990 -1004.

AMA Style

Michael Frömmel, Robinson Kruse. Interest rate convergence in the EMS prior to European Monetary Union. Journal of Policy Modeling. 2015; 37 (6):990-1004.

Chicago/Turabian Style

Michael Frömmel; Robinson Kruse. 2015. "Interest rate convergence in the EMS prior to European Monetary Union." Journal of Policy Modeling 37, no. 6: 990-1004.

Journal article
Published: 01 July 2015 in Financial Analysts Journal
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The authors investigated the impact on fee load of variations in the frequency with which commodity trading advisers update their high-water mark. They documented crystallization frequencies used in practice, analyzed the effect on fee load, and found that the crystallization frequency set by the manager significantly affects fee load and should thus be a relevant consideration for investors. Test your knowledge

ACS Style

Gert Elaut; Michael Frömmel; John Sjödin. Crystallization: A Hidden Dimension of CTA Fees. Financial Analysts Journal 2015, 71, 51 -62.

AMA Style

Gert Elaut, Michael Frömmel, John Sjödin. Crystallization: A Hidden Dimension of CTA Fees. Financial Analysts Journal. 2015; 71 (4):51-62.

Chicago/Turabian Style

Gert Elaut; Michael Frömmel; John Sjödin. 2015. "Crystallization: A Hidden Dimension of CTA Fees." Financial Analysts Journal 71, no. 4: 51-62.

Journal article
Published: 30 June 2015 in Emerging Markets Finance and Trade
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ACS Style

Michael Frömmel; Xing Han; Frederick Van Gysegem. Further Evidence on Foreign Exchange Jumps and News Announcements. Emerging Markets Finance and Trade 2015, 51, 774 -787.

AMA Style

Michael Frömmel, Xing Han, Frederick Van Gysegem. Further Evidence on Foreign Exchange Jumps and News Announcements. Emerging Markets Finance and Trade. 2015; 51 (4):774-787.

Chicago/Turabian Style

Michael Frömmel; Xing Han; Frederick Van Gysegem. 2015. "Further Evidence on Foreign Exchange Jumps and News Announcements." Emerging Markets Finance and Trade 51, no. 4: 774-787.

Journal article
Published: 01 July 2014 in Energy Economics
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ACS Style

Michael Frömmel; Xing Han; Stepan Kratochvil. Modeling the daily electricity price volatility with realized measures. Energy Economics 2014, 44, 492 -502.

AMA Style

Michael Frömmel, Xing Han, Stepan Kratochvil. Modeling the daily electricity price volatility with realized measures. Energy Economics. 2014; 44 ():492-502.

Chicago/Turabian Style

Michael Frömmel; Xing Han; Stepan Kratochvil. 2014. "Modeling the daily electricity price volatility with realized measures." Energy Economics 44, no. : 492-502.

Preprint
Published: 01 January 2014 in SSRN Electronic Journal
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This paper provides a new perspective on liquidity beta. Within the framework of a liquidity-as-sentiment model, we point out that liquidity beta can be treated

ACS Style

Michael Frrmmel; Xing Han. Understanding the Controversy of Liquidity Beta. SSRN Electronic Journal 2014, 1 .

AMA Style

Michael Frrmmel, Xing Han. Understanding the Controversy of Liquidity Beta. SSRN Electronic Journal. 2014; ():1.

Chicago/Turabian Style

Michael Frrmmel; Xing Han. 2014. "Understanding the Controversy of Liquidity Beta." SSRN Electronic Journal , no. : 1.

Preprint
Published: 01 January 2013 in SSRN Electronic Journal
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We investigate the implications of variations in the frequency with which hedge funds update their high-water mark on incentive fees paid by hedge fund investor

ACS Style

Gert Elaut; Michael Frrmmel; John Sjjdin. Crystallization - The Hidden Dimension of Hedge Fundss Fee Structure. SSRN Electronic Journal 2013, 1 .

AMA Style

Gert Elaut, Michael Frrmmel, John Sjjdin. Crystallization - The Hidden Dimension of Hedge Fundss Fee Structure. SSRN Electronic Journal. 2013; ():1.

Chicago/Turabian Style

Gert Elaut; Michael Frrmmel; John Sjjdin. 2013. "Crystallization - The Hidden Dimension of Hedge Fundss Fee Structure." SSRN Electronic Journal , no. : 1.

Journal article
Published: 28 March 2011 in International Journal of Finance & Economics
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ACS Style

Michael Frömmel; Norbert Kiss M.; Klara Pinter. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market. International Journal of Finance & Economics 2011, 16, 172 -188.

AMA Style

Michael Frömmel, Norbert Kiss M., Klara Pinter. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market. International Journal of Finance & Economics. 2011; 16 (2):172-188.

Chicago/Turabian Style

Michael Frömmel; Norbert Kiss M.; Klara Pinter. 2011. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market." International Journal of Finance & Economics 16, no. 2: 172-188.

Journal article
Published: 04 January 2011 in Empirical Economics
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Nonlinear modeling of adjustments to purchasing power parity has recently gained much attention. However, a huge body of the empirical literature applies ESTAR models and neglects the existence of other competing nonlinear models. Among these, the Markov Switching AR model has a strong substantiation in international finance. Our contribution to the literature is fivefold: First, ESTAR and MSAR models from a unit root perspective are compared. To this end, a new unit root test against MSAR is proposed as the second contribution. Thirdly, the case of misspecified alternatives in a Monte Carlo setup with real world parameter constellations is studied. The ESTAR unit root test is not indicative, while the MSAR unit test is robust. Fourthly, the case of correctly specified alternatives is considered and low power of the ESTAR but not for the MSAR unit root test is observed. Fifthly, an empirical application to real exchange rates suggests that they may indeed be explained by Markov Switching dynamics rather than ESTAR.

ACS Style

Robinson Kruse; Michael Frömmel; Lukas Menkhoff; Philipp Sibbertsen. What do we know about real exchange rate nonlinearities? Empirical Economics 2011, 43, 457 -474.

AMA Style

Robinson Kruse, Michael Frömmel, Lukas Menkhoff, Philipp Sibbertsen. What do we know about real exchange rate nonlinearities? Empirical Economics. 2011; 43 (2):457-474.

Chicago/Turabian Style

Robinson Kruse; Michael Frömmel; Lukas Menkhoff; Philipp Sibbertsen. 2011. "What do we know about real exchange rate nonlinearities?" Empirical Economics 43, no. 2: 457-474.