Klaus Grobys

Assistant Professor, Tenure Track

Docent (Econ.)
School of Accounting and Finance, Finance
+358 29 449 8524
Wolffintie 34, 65200 Vaasa
Tervahovi D319

Biography in brief:

Klaus Grobys holds a PhD in Finance (University of Vaasa), and is an Adjunct Professor of Financial Economics (Docent) specializing in Asset Pricing (University of Jyväskyla).

He has several years of professional working experience in the finance industry. Among others, he worked as Risk Analyst at the Headquarters of the Swedish bank Klarna AB in Stockholm. Klarna AB is the largest FinTech company in Europe valued at $ 5.5 B. In his position as Risk Analyst, he carried out several projects such as developing quantitative models for estimating the company's Loss-given-Default or Risk-of-Fraud using the company's extensive SQL databases.

His PhD thesis is graded as "Passed with Distinction". In this regard, Professor Dr. James Kolari (Texas A&M University, USA) ranked Grobys' thesis among the top-10% of all doctoral theses in finance that he evaluated as a committee member during his more than 35 years of career in academia.

Grobys' research is published in prestigious finance journals. About 75% of his scientific research output is published in A-journals. His research received enormous media attention and was, among others, covered in Forbes, Alphaarchitect, and Cointelegraph.


Research Interests:

Fintech, Cryptocurrency, Asset Pricing


Current Positions:

Docent (Econ.), University of Jyväskyla

Assistant Professor of Finance (tenure-track), School of Accounting & Finance (University of Vaasa)

Assistant Professor of Finance (tenure-track), Innovation & Entrepeneurship (InnoLab) (University of Vaasa)


General Guide for Students:


Downloadable (for free) at: https://klausgrobys.wixsite.com/earnest



Empirical Analysis in Asset Pricing (Master-level course at the University of Jyväskyla, forthcoming) 

Quantitative Financial Data Analysis in Matlab (Master-level course at the University of Vaasa)

Research in Financial Markets (Master-level course at the University of Vaasa)

Data Analytics in Applied Research (Doctoral-level course at the University of Vaasa, forthcoming)


Finance Channel on Youtube:



Scientific Research

Refereed Publications:

Grobys, K., 2020, When Bitcoin has the flu: On Bitcoin's performance to hedge equity risk in the early wake of the COVID-19 outbreak, Applied Economics Letters (forthcoming).

Grobys, K., Sapkota, N., 2020, Predicting Cryptocurrency Defaults, Applied Economics 52, 5060-5076.*

Grobys, K., Vähämaa, S., 2020, Another Look at Value and Momentum: Volatility Spillovers, Review of Quantitative Finance and Accounting (forthcoming).

Ahmed, S., Grobys, K., Sapkota, N., 2020, Profitability of Technical Trading Rules among Cryptocurrencies with Privacy Function, Finance Research Letters 35, 101495.

Grobys, K., Ahmed, S., Sapkota, N., 2020, Technical Trading Rules in the Cryptocurrency Market, Finance Research Letters 32, 101396.

Grobys, K., Kolari, J., 2020, On Industry Momentum Strategies, Journal of Financial Research 43, 95-119.

Grobys, K., Sapkota, N., 2019, Cryptocurrencies and Momentum, Economics Letters 180, 6-10.

Grobys, K., Huhta-Halkola, T., 2019, Combining value and momentum: Evidence from the Nordic equity market, Applied Economics 51, 2872-2884.

Grobys, K., 2018, Risk-managed 52-week high industry momentum, momentum crashes, and hedging macroeconomic risk, Quantitative Finance 18, 1233-1247.

Grobys, K., Heinonen, J.-P., Kolari, J., 2018, Return Dispersion Risk in FX and Global Equity Markets: Does It Explain Currency Momentum? International Review of Financial Analysis 56, 264-280.

Grobys, K., Ruotsalainen, J., Äijö, J., 2018, Risk-managed industry momentum and momentum crashes, Quantitative Finance 18, 1715-1733.**

Grobys, K., & Heinonen, J.-P., 2017, Option-implied volatility spillover indices for FX risk factors, Economics Letters 157, 83-87.

Grobys, K., & Haga, J., 2017, Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market, Applied Economics Letters 24, 1499-1503.

Grobys, K., & Heinonen, J.-P., 2017, Does option-implied cross-sectional return dispersion forecast realized cross-sectional return dispersion? Evidence from the G10 currencies, Journal of Futures Markets 37, 3-22.

Grobys, K., 2016, Momentum crash, credit risk and optionality effects in bear markets and crisis periods: Evidence from the US stock market, Applied Economics Letters 24, 387-391.

Grobys, K. & Heinonen, J.-P., 2016, Is there a credit risk anomaly in FX markets? Finance Research Letters 18, 1-6.

Grobys, K. & Haga, J., 2016, Identifying portfolio-based risk factors in equity markets, Finance Research Letters 17, 79-87.

Grobys, K., 2016, Another look at momentum crashes: Momentum in the European Monetary Union, Applied Economics 48,1759-1766.

Grobys, K., 2016, Is the asset growth anomaly driven by macroeconomic states? Applied Economics Letters 23, 576-579.

Grobys, K. & Haga, J., 2015, The market price of credit risk and economic states, Empirical Economics 50, 1111-1134.

Grobys, K., 2015, Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy, Economics Letters 127, 72-75.

Grobys, K., 2014, Momentum in global equity markets in times of troubles: Does the economic state matter? Economics Letters 123, 100-103.

Grobys, K., 2014, Idiosyncratic volatility and global equity markets, Applied Economics Letters 22, 402-405.

Grobys, K., 2015, Size distortions of the wild bootstrapped HCCME based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity, Empirical Economics 48, 1189-1202.

Grobys, K., 2014, Momentum, sovereign credit ratings, and global equity markets, Applied Economics Letters 21, 1288-1292.

Grobys, K., 2013, An empirical analysis of changes of the impact of federal budget deficits on stock market returns, Applied Economics Letters 20, 921-924.


*This article received media coverage in Forbes, among others.

** This article was cited in the Journal of Financial Economics.


Recent Media Coverage of Research:

MINING.COM: "How to detect unreliable cryptocurrencies."

EINPRESSWIRE.COM: "Study proposes a model to predict cryptocurrency defaults."

MORNINGPICKER.COM: "Is It Profitable To Do Technical Trading in Cryptocurrency? Know the Pros and Cons."

HACKERNOON.COM: "Can We Call Bitcoin a Safen Haven Asset?"

COINTELEGRAPH: "Is Technical Trading in Cryptocurrency Markets Profitable?"

COINTELEGRAPH: "Bitcoin's Hedging Performance in the Wake of the Coronavirus Outbreak."

VAASA INSIDER: "Vasa universitets Klaus Grobys: Kryptovalutor är en del av en ny digital finansmarknad med nya möjligheter och nya risker."

COINBET.COM: "What happened to all those failed cryptocurrencies?"

ALPHAARCHITECT.COM: "International Evidence on Factor Premiums."

FORBES: "How To Tell If Your Cryptocurrency Will Go Bust?"

VAASA INSIDER: "Forbes lyfter upp Vasa universitets forskning om kryptovaluta."

BITCOINBULLETIN.COM: "Finnish Study Reveals Trends Amongst Failed Cryptocurrencies."

ASGARDIA: "Will Cryptocurrencies Ever Come to Naught?"

CURRENCY ANALYTICS: "Italy is relaxing its Ban and Coming down Easy on Cryptocurrencies."

PROFESSIONAL WIRE CITY WIRE: "A new ETF will add live data to the long-running debate whether it's possible to time factors."

ETF.COM: "When Risk Goes Unrewarded."

DOPKINS WEALTH MANAGEMENT: "Explaining The Currency Carry Premium."

Publications and expert tasks

» SoleCRIS Research Database