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Peter Dunne is a Senior Lecturer in Finance at Queen's University Belfast. He has Primary and Masters degrees in economics from University College Dublin, a Masters degree in economics from Warwick University and a Ph.D. in finance from Queen's University. Peter came to Queen's in 1990 following lectureship experience at UCD and with employment experience in a firm of stockbrokers and economic consultants. Peter has
recently collaborated on projects relating to liquidity, transparency, efficiency, 'price-discovery' and the effects of macroeconomic ‘order-flows’ in foreign exchange and fixed-income asset markets. He has recently completed a report, commissioned from the CEPR, on the potential effects of extending the MiFID proposals of the European Commission's 'Financial Services Action Plan' to the sovereign bond markets. Peter has also recently worked on projects relating to auditor reputation and accounting information-quality. Peter is a recent recipient of research grants from the ESRC and EIF for projects relating to the effects of technology in a market microstructure context.

Publications

• The Market Response to Information Quality Shocks: The Case of Enron (PDF 139 KB)
• Transparency Proposals for European Sovereign Bond Markets (PDF 85 KB)
• Benchmark Status in Fixed-Income Asset Markets (PDF 198 KB)
• European Government Bond Markets: Transparency, Liquidity, Efficiency (2006)
• A Generalised Bayesian Model of Market Microstructure Behaviour Applied to the Market in Irish Government Securities. 2000
• Size and Book-to-Market Factors in a Multivariate GARCH-in-mean Asset Pricing Application. 1999
• An Analysis of the Microstructure of the Irish Gilt Market in Two Trading Regimes. 1999
• An Econometric Assesment of the Change in Quality of the Irish Gilt Market Since the Introduction of Market Making. 1996
• The Implicit Cost of Trading in a Jointly Listed Irish Equity. 1994
• Market Making When the Order-Arrival Process is the Result of Positive Feedback Trading. 1994

Working Papers

• A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market
• Transparency Proposals for European Sovereign Bond Markets
• International Order Flows: Explaining Equity and Exchange Rate Returns
• Price Discovery and Benchmark Status in Fixed Income Asset Markets
• An Empirical Analysis of Transparency-Related Characteristics of European and US Sovereign Bond Markets

Documents - Publications

  empirical analysis of transparency related characteristics of european and us sovereign bond markets.pdf (PDF 199kb)