Southampton Management School

Research Group: Finance and Banking Research Group

The Finance and Banking research group, recently ranked 15th overall in Europe for research output (source: Journal of Business Finance and Accounting, 2004), has particular strengths in empirical finance and international banking.

Currently Active: Yes

Group Overview

Werner has been a senior consultant for the Asian Development Bank (ADB) for several years and has worked on a number of different research projects for ADB. He has also started a major applied research project in global financial markets in 2006 in collaboration with Bear Stearns Asset Management Ltd, one of the top five US investment houses. Wolfe is conducting research on the effect of diversification on smaller banks in Europe and also the impact of environmental risk on the UK banking sector. In 2003, Wolfe completed a project for the European commission assessing the implementation of the capital adequacy directive in the 10 accession countries. Choudhry’s research involves looking at the effectiveness of hedging instruments for agricultural futures, the impact of the financial crisis on the stock markets, and the role of exchange rate volatility on international trade. McManus conducts research in asset pricing, asset allocation, returns modelling, market microstructure, and behavioural finance. McGroaty’s current research specialisations are foreign exchange market microstructure and efficiency in sports betting markets. Peng’s research involves market microstructure of financial markets and dynamic interactions of financial markets. Wang’s research areas include f inancial derivatives, return predictability and market anomalies.

The Finance and Banking group has built up a very successful and highly popular global database on the world’s major credit rating in conjunction with the Financial Times newspaper. The database is used to research the links between regulations, rating agency biases and financial market behaviour. The section has a direct link with the Electronic Broking System (EBS) in providing high frequency spot exchange rate data.

The group also collaborates with CRR in financial risk management, hedging financial risk with futures and options and credit risk and the Quantitative Financial Risk Management Centre (see above) on the impact of the Basel New Accord on ways of modelling the credit risk of portfolios of consumer and corporate loans in both the consumer and corporate sector. This included hosting a workshop and conference attended by 93 delegates, including representatives from the US Federal Reserve, Deutsche Bundesbank, ABN, and the Dexia Group, on the effects of Basel II accord on the money lending activities of the banks during September 2006.


Members of staff associated with this group:

Research projects

No research projects are currently associated with this group.