Lee Smales

Dr, BSc (Hons), MSc, MBA, PhD, CFA

  • The University of Western Australia (M250), 35 Stirling Highway,

    6009 Perth

    Australia

  • 286 Citations
  • 9 h-Index
20112019
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Research Output 2011 2019

  • 286 Citations
  • 9 h-Index
  • 40 Article
2019
6 Citations (Scopus)

Bitcoin as a safe haven: Is it even worth considering?

Smales, L. A., 2019, In : Finance Research Letters. 30, p. 385-393

Research output: Contribution to journalArticle

Safe haven
Assets
Neglect
Market conditions
Investors
1 Citation (Scopus)
Monetary policy
Announcement
Liquidity provision
Futures markets
Liquidity
3 Citations (Scopus)
Monetary policy
Announcement
Investor sentiment
Liquidity
Metals
2018
1 Citation (Scopus)

Trading Behavior and Monetary Policy News

Smales, L. A., Dec 2018, In : Journal of Behavioral Finance. 19, 4, p. 365-380 16 p.

Research output: Contribution to journalArticle

Monetary policy
News
Trading behavior
Datasets
Broker
2017

A game theory model of regulatory response to insider trading

Smales, L. A. & Thul, M., 16 Apr 2017, In : Applied Economics Letters. 24, 7, p. 448-455 8 p.

Research output: Contribution to journalArticle

Game theory
Insider trading
Penalty
Regulatory regime
Monte Carlo simulation
6 Citations (Scopus)

Commodity market volatility in the presence of U.S. and Chinese macroeconomic news

Smales, L. A., 1 Sep 2017, In : Journal of Commodity Markets. 7, p. 15-27 13 p.

Research output: Contribution to journalArticle

Commodity prices
News
Market volatility
Commodity markets
Macroeconomic news
1 Citation (Scopus)

Does more complex language in FOMC decisions impact financial markets?

Smales, L. A. & Apergis, N., 1 Nov 2017, In : Journal of International Financial Markets, Institutions and Money. 51, p. 171-189 19 p.

Research output: Contribution to journalArticle

Monetary policy
Financial markets
Language
Recession
Market activity
2 Citations (Scopus)

Effect of investor fear on Australian financial markets

Smales, L. A., 20 Sep 2017, In : Applied Economics Letters. 24, 16, p. 1148-1153 6 p.

Research output: Contribution to journalArticle

Investors
Financial markets
Market returns
Volatility index
Implied volatility
16 Citations (Scopus)

The importance of fear: investor sentiment and stock market returns

Smales, L. A., 21 Jul 2017, In : Applied Economics. 49, 34, p. 3395-3421 27 p.

Research output: Contribution to journalArticle

Sentiment
Stock market returns
Investor sentiment
Asset prices
Volatility index
4 Citations (Scopus)

The Validity of Investor Sentiment Proxies

Chan, F., Durand, R. B., Khuu, J. & Smales, L. A., 1 Sep 2017, In : International Review of Finance. 17, 3, p. 473-477 5 p.

Research output: Contribution to journalArticle

Sentiment
Investor sentiment
Behavioral finance
Methodology
3 Citations (Scopus)

Understanding the impact of monetary policy announcements: The importance of language and surprises

Smales, L. A. & Apergis, N., 1 Jul 2017, In : Journal of Banking and Finance. 80, p. 33-50 18 p.

Research output: Contribution to journalArticle

Monetary policy
Announcement
Language
Surprise
Liquidity
5 Citations (Scopus)
Market uncertainty
Financial markets
Investors
Political uncertainty
Polling
2016
6 Citations (Scopus)

(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets

Apergis, N., Gabrielsen, A. & Smales, L. A., 1 Feb 2016, In : Financial Markets and Portfolio Management. 30, 1, p. 63-94 32 p.

Research output: Contribution to journalArticle

International markets
Deviation
Mood
Weather
Stock index
6 Citations (Scopus)

FX Market Returns and Their Relationship to Investor Fear

Smales, L. A. & Kininmonth, J. N., 1 Dec 2016, In : International Review of Finance. 16, 4, p. 659-675 17 p.

Research output: Contribution to journalArticle

Investors
Currency
Market returns
Funding
Interest rates
1 Citation (Scopus)

Melancholia and Japanese stock returns – 2003 to 2012

Khuu, J., Durand, R. B. & Smales, L. A., 1 Dec 2016, In : Pacific Basin Finance Journal. 40, Part B, p. 424-437 14 p.

Research output: Contribution to journalArticle

Sentiment
Stock returns
News
Japan
Small firms
4 Citations (Scopus)

News sentiment and bank credit risk

Smales, L. A., 1 Sep 2016, In : Journal of Empirical Finance. 38, p. 37-61 25 p.

Research output: Contribution to journalArticle

Sentiment
Bank credit
News
Credit risk
Credit default swap (CDS) spreads
1 Citation (Scopus)

Order aggressiveness of different broker-types in response to monetary policy news

Smales, L. A., 1 Dec 2016, In : Pacific Basin Finance Journal. 40, p. 367-383 17 p.

Research output: Contribution to journalArticle

Monetary policy
Broker
News
Retail
Announcement
8 Citations (Scopus)

Risk-on/Risk-off: Financial market response to investor fear

Smales, L. A., 1 May 2016, In : Finance Research Letters. 17, p. 125-134 10 p.

Research output: Contribution to journalArticle

Investors
Market response
Financial markets
Market returns
Volatility index
7 Citations (Scopus)

The influence of FOMC member characteristics on the monetary policy decision-making process

Smales, L. A. & Apergis, N., 1 Mar 2016, In : Journal of Banking and Finance. 64, p. 216-231 16 p.

Research output: Contribution to journalArticle

Monetary policy
Decision-making process
Monetary policy committees
Decision process
Federal Reserve
9 Citations (Scopus)

The role of political uncertainty in Australian financial markets

Smales, L. A., 1 Jun 2016, In : Accounting and Finance. 56, 2, p. 545-575 31 p.

Research output: Contribution to journalArticle

Financial markets
Political uncertainty
Uncertainty
Elections
Polling
4 Citations (Scopus)

Time-varying relationship of news sentiment, implied volatility and stock returns

Smales, L. A., 1 Nov 2016, In : Applied Economics. 48, 51, p. 4942-4960 19 p.

Research output: Contribution to journalArticle

Sentiment
Time-varying
Implied volatility
News
Stock returns
2 Citations (Scopus)

Trading behavior in S & P 500 index futures

Smales, L. A., 1 Jan 2016, In : Review of Financial Economics. 28, p. 46-55 10 p.

Research output: Contribution to journalArticle

Traders
Trading behavior
Speculators
Market returns
Positive feedback
2015
16 Citations (Scopus)
Sentiment
News
Asymmetric volatility
Futures markets
Empirical evidence
9 Citations (Scopus)
Market uncertainty
Financial markets
Elections
Incumbency
Generalized autoregressive conditional heteroscedasticity

Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework

Smales, L. A., O’Grady, B. & Yang, Y., 1 Jan 2015, In : Applied Economics Letters. 22, 9, p. 710-716 7 p.

Research output: Contribution to journalArticle

Generalized autoregressive conditional heteroscedasticity
Macroeconomic announcements
Market activity
Futures markets
Trading costs
8 Citations (Scopus)

The importance of belief dispersion in the response of gold futures to macroeconomic announcements

Smales, L. A. & Yang, Y., 1 Oct 2015, In : International Review of Financial Analysis. 41, p. 292-302 11 p.

Research output: Contribution to journalArticle

Macroeconomic announcements
Recession
Market activity
Market response
Announcement
11 Citations (Scopus)

Time-variation in the impact of news sentiment

Smales, L. A., 1 Jan 2015, In : International Review of Financial Analysis. 37, p. 40-50 11 p.

Research output: Contribution to journalArticle

Time variation
Sentiment
News
Industry
Volatility index
2014
27 Citations (Scopus)

News sentiment and the investor fear gauge

Smales, L. A., 1 Jan 2014, In : Finance Research Letters. 11, 2, p. 122-130 9 p.

Research output: Contribution to journalArticle

Investors
Sentiment
Volatility index
News
Implied volatility
44 Citations (Scopus)

News sentiment in the gold futures market

Smales, L. A., 1 Dec 2014, In : Journal of Banking and Finance. 49, p. 275-286 12 p.

Research output: Contribution to journalArticle

Sentiment
News
Futures markets
Traders
Recession
10 Citations (Scopus)
News
Stock market
Market dynamics
Market activity
Market reaction
9 Citations (Scopus)
Market uncertainty
Financial markets
Political uncertainty
Elections
Economic risk
3 Citations (Scopus)

Reaction to nonscheduled news during financial crisis: Australian evidence

Smales, L. A., 1 Jan 2014, In : Applied Economics Letters. 21, 17, p. 1214-1220 7 p.

Research output: Contribution to journalArticle

News
Financial crisis
Generalized autoregressive conditional heteroscedasticity
Market reaction
Sentiment

The relationship between financial asset returns and the well-being of US households

Smales, L. A., 1 Jan 2014, In : Applied Economics Letters. 21, 17, p. 1184-1188 5 p.

Research output: Contribution to journalArticle

Household
Well-being
Asset returns
Financial assets
Equity markets
2013
2 Citations (Scopus)
Order imbalance
International linkages
Futures markets
Macroeconomics
Trading activity
15 Citations (Scopus)
Macroeconomic announcements
Interest rate futures
Announcement
Trading activity
Bid/ask spread
3 Citations (Scopus)

The determinants of RBA target rate decisions: A choice modelling approach

Smales, L. A., 1 Dec 2013, In : Economic Record. 89, 287, p. 556-569 14 p.

Research output: Contribution to journalArticle

Bank reserves
Choice modelling
Inflation
Inflation targeting
Economic conditions
2012
4 Citations (Scopus)
Announcement
Price discovery
Cash
Market response
Microstructure
6 Citations (Scopus)
Interest rates
Order imbalance
Futures markets
Market returns
Macroeconomic news
23 Citations (Scopus)
Monetary policy
Bank reserves
Communication
Interest rate futures
Factors
2011
Interest rates
News
Futures markets
Interest rate futures
Announcement