DCUBS

Biographical Details:

Liam Gallagher is Professor of Finance in the Business School, Dublin City University, Dublin, Ireland. He was appointed to this position in 2002. He has held posts in University College Cork, Oxford University and University of St.Thomas, Minnesota. He received his Ph.D. in Financial Economics from the University of Liverpool in 1997. Professor Gallagher was Head of the Economics and Finance Group within DCU Business School, 2003-7. He is also Founder of the MSc in Finance and Capital Markets and the BSc in Quantitative Finance and is currently Director of the MSc in Investment and Treasury. His research centres on the use of applied econometrics in modelling the behaviour of financial markets. He is co-editor (with Mark P. Taylor) of Speculation and Financial Markets (Edward Elgar: Massachusetts), 2002. He has published widely in international peer-reviewed journals and has also presented 50+ papers at international conferences and invited speaker sessions.

Research Interests:

Finance and Capital Markets; International Finance; Applied Econometrics; Nonlinear Modelling; Financial Economics; Investment Economics; Fund Management; Financial Market Microstructure; Equity Investment Strategies; Stock Price Behaviour; Bond Market Analysis and Strategies.

Selected Peer Reviewed Journals

• Alda, Mercedes; Ferruz, Luis; and Liam A Gallagher. 2013. Performance of Spanish pension funds: robust evidence from alternative models. Applied Financial Economics, 23,, pp297-314.
• Sirr, G., Garvey, J., and Gallagher, L. 2012. A Quantitative Approach to Guiding the Promotional Efforts of IPAs in Emerging Markets. International Business Review, 21, 4, pp618-630.
• Garvey, J, and Gallagher, L. 2012. The Realised-Implied Volatility Relationship: Recent Empirical Evidence from FTSE-100 Stocks. Journal Of Forecasting, 31, 7, pp639-660.
• Sirr, G, Garvey, J, and Gallagher, L. 2011. Emerging Markets and Portfolio Foreign Exchange Risk: An Empirical Investigation using a Value-at-Risk Decomposition Technique. Journal Of International Money And Finance, 30, 8, pp1749-1772.
• Hutchinson Mark C., Gallagher Liam A. 2010. Convertible Bond Arbitrage: Risk and Return. Journal Of Business Finance & Accounting, 37, 1-2, pp206-241.
• Mark Hutchinson and Liam A Gallagher. 2008. Simulating Convertible Bond Arbitrage Portfolios. Applied Financial Economics, 18, 15, pp1247-1262.
• John Considine and Liam A. Gallagher. 2008. UK Debt Sustainability: Some Nonlinear Evidence and Theoretical Implications. Manchester School, 76, 3, pp320-335.
• Liam A Gallagher Daniel F. Kiely. 2005. Volume and GARCH Effects for Dual-Listed Equities: Evidence from Irish Equities. Irish Accounting Review, 21, 1, pp63-82.
• John E. Eakins Liam A. Gallagher. 2003. Dynamic Almost Ideal Demand Systems: An Empirical Analysis of Alcohol Expenditure in Ireland. Applied Economics, 35(9),, pp1025-1036.
• Liam A. Gallagher Mark P. Taylor. 2002. Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks. Southern Economic Journal, 69(2), , pp345-362.
• Liam A. Gallagher Ella Kavanagh. 2002. Real and Nominal Shocks to Exchange Rates: Does the Regime Matter. Manchester School, 70(5), , pp710-730.
• Liam A. Gallagher Eleanor Doyle Eoin O'Leary. 2002. Creating the Celtic Tiger and Sustaining Economic Growth: A Business Perspective. Quarterly Economic Commentary, Spring,, pp63-81.
• Liam A. Gallagher Mark P. Taylor. 2002. The Stock Return-Inflation Puzzle Revisited. Economics Letters, 75(2),, pp147-156.
• Liam A. Gallagher Mark P. Taylor. 2001. Risky Arbitrage, Limits of Arbitrage and Nonlinear Adjustment in the Dividend-Price Ratio. Economic Enquiry, 39(4),, pp524-536.
• Liam A. Gallagher. 2000. Macroeconomic Shocks under Alternative Exchange Rate Regimes: The Irish Experience. Applied Economics, 32(7),, pp933-949.
• Liam A. Gallagher Mark P. Taylor. 2000. Measuring the Temporary Component of Stock Prices: Robust Multivariate Analysis. Economics Letters, 67(2),, pp193-200.
• Liam A. Gallagher. 1999. A Multi-Country Analysis of Temporary and Permanent Components in Stock Prices. Applied Financial Economics, 9(2),, pp129-142.
• Liam A. Gallagher Cian E. Twomey. 1998. Identifying the Source of Mean and Volatility Spillovers in Irish Equities: A Multivariate GARCH Analysis. Economic And Social Review, 29(4),, pp341-356.
• Liam A. Gallagher, Lucio Sarno, and Mark P. Taylor. 1997. Estimating the Mean-Reverting Component in Stock Prices: A Cross-Country Comparison. Scottish Journal Of Political Economy, 44(5), , pp566-582.
• Liam A. Gallagher. 1995. Interdependencies Among the Irish, British and German Stock Markets. Economic And Social Review, 26(2),, pp131-147.
• Liam A. Gallagher Martin Kenneally. 1992. The Irish Unit Fund Industry: Structure and Performance. Economic And Social Review, 23(4),, pp397-422.

Selected Books

• Liam A. Gallagher Mark P. Taylor. Speculation and Financial Markets, Volumes I and II, Edward Elgar, 2002.

Selected Chapters

• Liam A. Gallagher Mark P. Taylor. 2002. Introduction. Speculation and Financial Markets, pp1-13.
• Liam A. Gallagher Ella Kavanagh John Considine Eleanor Doyle Catherine Kavanagh Eoin O¿Leary. 1998. The Political Economy of EMU in Ireland. Joining Europe Monetary Club: A Challenge for Smaller Member States, pp123-148.

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• Liam Gallagher Mark Hutchinson, Regime Change and Hedge Fund Performance: Evidence from Nonlinear Convertible Arbitrage, Global Development Finance 2010 Conference, 24-NOV-10 - 26-NOV-10, South Africa
• Brian Byrne Liam Gallagher, Analysis of Monetary Policy Rules: Some Lessons from Risk Management, Money, Macro and Finance Research Group 42nd Annual Conference, 01-SEP-10 - 03-SEP-10, Cyprus
• Gallagher, L, Implications of Higher Order Risk Factors for Hedge Fund Performance, European Financial Management Association Annual Conference, 25-JUN-08 - 28-JUN-08, Athens, Greece
• Gallagher, L, Nonlinear Adjustment in the Term Structure and Euro-Dollar Exchange Rate Relationship, Irish Economic Association Annual Conference, 25-APR-08 - 27-APR-08, Mayo
• Liam Gallagher and Catherine McLaughlin, Implications of Skewness and Kurtosis in Hedge Fund Data, Irish Accounting and Finance Association Annual Conference, 10-MAY-07 - 11-MAY-07, Tralee, Co. Kerry
• Liam Gallagher and Catherine McLaughlin, Hedge Fund Performance and Higher Order Risk Factors, Irish Economic Association 21st Annual Conference, 27-APR-07 - 29-APR-07, Bunclody, Co. Wexford
• Liam A. Gallagher and Mark Hutchinson, Skewness, kurtosis and convertible arbitrage hedge fund performance, European Financial Management Association (EFMA) Annual Conference, 28-JUN-06 - 07-JAN-06, Madrid, Spain
• Gallagher, Liam A. and Hutchinson, Mark, Convertible Bond Arbitrage, European Financial Management Association, 29-JUN-05 - 02-JUL-05, Bocconi, Italy
• Gallagher, Liam A. and Cotter, John, Volatility Forecasting for the Irish Equity Market, Irish Economic Association, 06-MAY-05 - 08-MAY-05, Kilkenny
• Gallagher, Liam A. and Hutchinson, Mark, Smooth Transition Regression Models in Convertible Bond Arbitrage Returns, Irish Accouting and Finance Association Annual Conference, 14-APR-05 - 15-APR-05, University of Limerick
• Liam A. Gallagher John Considine, UK Debt Sustainability: Some Nonlinear Evidence and Theoretical Implications, Money, Macro and Finance (MMF) Research Group 2004 Annual Conference, 06-SEP-04 - 08-SEP-04, Cass Business School, London
• Liam A. Gallagher John Considine, UK Debt Sustainability: Some Nonlinear Evidence, Irish Economic Association 2004 Annual Conference, 23-APR-04 - 25-APR-04, Belfast
• Liam A. Gallagher Mark Hutchinson, Examining a Hedge Fund Trading Strategy: Convertible Bond Arbitrage, Irish Accounting and Finance Association 2004 Annual Conference, 19-APR-04 - 20-APR-04, Belfast
• Liam A. Gallagher, The Winner-Loser Anomaly: Robust Evidence from Irish Shares, Financial Management Association, Annual European Meetings, 04-JUN-03 - 07-JUN-03, Dublin
• Liam A, Gallagher John Considine, UK Debt Sustainability: Some Nonlinear Evidence, Irish Macro-Finance Research Group Annual Conference, 14-MAY-03 - 14-MAY-03, University College Cork
• Liam Gallagher Cormac O'Keeffe, The Winner-Loser Anomaly: Robust Evidence from Irish Shares, Irish Economic Association Annual Conference, 03-APR-02 - 07-APR-02, Mullingar, Ireland
• Liam A. Gallagher John Eakins, Dynamic AIDS Modelling: An Application to the Demand for Alcohol in Ireland?, Irish Economic Association Annual Conference, 06-APR-01 - 08-APR-01, Portumna, Ireland
• Liam A. Gallagher Ella Kavanagh, Real and Nominal Shocks to Exchange Rates: Does the Regime Matter?, International Atlantic Economic Association 51st Conference, 15-MAR-01 - 18-MAR-01, Athens, Greece
• Liam A. Gallagher Mark P. Taylor, Stock Return-Inflation Puzzle Revisited, Finance Seminar, Fordham University, New York, USA, 12-NOV-00 - 12-NOV-00, New York, USA
• Liam A. Gallagher Eleanor Doyle Eoin O'Leary, The Celtic Tiger: A 51st State in Europe, Institute of Irish Studies, Fordham University, 12-NOV-00 - 12-NOV-00, New York, USA
• Liam A. Gallagher Ella Kavanagh, Real and Nominal Shocks to Exchange Rates: Does the Regime Matter?, Money, Macro and Finance Research Group Annual Conference, 04-SEP-00 - 06-SEP-00, London, UK
• Liam A. Gallagher Ella Kavanagh, Irish Real and Nominal Exchange Rate Behaviour: The ERM Period, Irish Economic Association Annual Conference, 30-MAR-00 - 01-APR-00, Westport, Ireland
• Liam A. Gallagher Mark P. Taylor, Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks, Money, Macro and Finance Research Group Annual Conference, 03-SEP-99 - 06-SEP-99, Oxford, UK
• Liam A. Gallagher Mark P. Taylor, Testing the Proxy Hypothesis: Evidence from Post-War US Data, Institute of Economics and Statistics, University of Oxford, 11-MAY-99 - 11-MAY-99, Oxford, UK
• Liam A. Gallagher, Macroeconomic Shocks under Alternative Exchange Rate Regimes: The Irish Experience, Irish Economic Association Annual Conference, 04-APR-99 - 07-APR-99, Westport, Ireland
• Liam A. Gallagher Cian Twomey, Identifying UK Mean and Volatility Spillovers in Jointly Traded Equities: Evidence from the Irish Stock Market, Money, Macro and Finance (MMF) Research Group Conference, 04-SEP-98 - 07-SEP-98, London, UK
• Liam A. Gallagher, European Stock Market Interdependencies and Causality Tests: Evidence from the Irish Stock Market, European Economic Association Annual Congress, 10-SEP-94 - 14-SEP-94, Maastricht, Netherlands
• Liam A. Gallagher, Stock Market Interdependencies and Causality Tests: Evidence from the Irish Stock Market, Midwest Economics Association, Annual Meeting, 19-MAR-94 - 21-MAR-94, Chicago, Illinois, USA