Sirimon Treepongkaruna

University of Western Australia

Professor

35 Stirling Highway

Crawley, WA Western Australia 6009

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

29

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CITATIONS
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Top 21,015

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14

Scholarly Papers (29)

1.

Are Co-Skewness and Co-Kurtosis Factors Priced?

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 38 Posted: 27 Aug 2011
Richard A. Heaney, Yihui Lan and Sirimon Treepongkaruna
University of Western Australia, University of Western Australia and University of Western Australia
Downloads 263 (75,896)

Abstract:

asset pricing, skewness, kurtosis, size, book-to-market, momentum

2.

Trading Activity and Realized Volatility: Evidence with Decomposed Trading Volume and Order Imbalance

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 37 Posted: 25 Aug 2010 Last Revised: 24 Nov 2010
Sze Shih Ting, Don U. A. Galagedera, Sirimon Treepongkaruna and Robert D. Brooks
Monash University, Monash University - Department of Econometrics and Business Statistics, University of Western Australia and Monash University
Downloads 124 (177,336)

Abstract:

Trading activity, realized volatility, order imbalance

3.

The Impact of Target Board Recommendations in Australian Takeovers

Number of pages: 46 Posted: 20 Nov 2007
Larelle Law Chapple and Sirimon Treepongkaruna
QUT School of Business and University of Western Australia
Downloads 115 (193,114)

Abstract:

Australian Takeovers, Bid Premium, Toehold Puzzle, Target Statements, Managerial Resistance, Corporate Governance

4.

Stock and Currency Market Linkages: New Evidence from Realized Spillovers in Higher Moments

International Review of Economics & Finance, Vol. 42, 167-185, 2016
Number of pages: 40 Posted: 25 Aug 2011 Last Revised: 05 May 2016
Hung Xuan Do, Robert D. Brooks, Sirimon Treepongkaruna and Eliza Wu
Massey University, Albany campus, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 92 (199,304)

Abstract:

fractionally integrated VAR, bootstrap, generalized impulse response, spillovers, higher moments, intraday data

5.

Is There a Banking Risk Premium in the US Stock Market?

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 25 Posted: 18 Jul 2010
Liujing Zeng, Hue Hwa Au Yong, Sirimon Treepongkaruna and Robert W. Faff
Monash University, Monash University - Department of Banking and Finance, University of Western Australia and University of Queensland
Downloads 84 (245,886)
Citation 1

Abstract:

Asset Pricing, Banking Risk Factor, Mimicking Portfolio, Bank Size

Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises?: New Evidence From Higher Return Moments

Journal of Business Finance & Accounting, Forthcoming
Number of pages: 34 Posted: 07 Dec 2012 Last Revised: 21 May 2015
Robert D. Brooks, Robert W. Faff, Sirimon Treepongkaruna and Eliza Wu
Monash University, University of Queensland, University of Western Australia and The University of Sydney - Business School
Downloads 83 (255,489)

Abstract:

sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact

Do Sovereign Re‐Ratings Destabilize Equity Markets During Financial Crises? New Evidence from Higher Return Moments

Journal of Business Finance & Accounting, Vol. 42, Issue 5-6, pp. 777-799, 2015
Number of pages: 23 Posted: 17 Jul 2015
Robert D. Brooks, Robert W. Faff, Sirimon Treepongkaruna and Eliza Wu
Monash University, University of Queensland, University of Western Australia and The University of Sydney - Business School
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Abstract:

sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact

7.

Identifying Banking Crises Dates

Systemic Risk, Basel III, Financial Stability and Regulation, 2011
Number of pages: 31 Posted: 01 Mar 2011 Last Revised: 26 Oct 2011
Pearpilai Jutasompakorn, Sirimon Treepongkaruna and Robert D. Brooks
Monash University, University of Western Australia and Monash University
Downloads 82 (219,959)

Abstract:

Banking crisis, crisis dates, Markov switching, three regimes, Banking system stock return

8.

Impact of Hedging Pressure on Implied Volatility in Financial Times and London Stock Exchange (FTSE) Market

The International Journal of Business and Finance Research, Vol. 3, No. 1, pp. 103-118, 2009
Number of pages: 16 Posted: 27 Feb 2010
Li Guozhou, Christopher Gan and Sirimon Treepongkaruna
Kingdream Public Limited Company, Lincoln University (NZ) and University of Western Australia
Downloads 61 (286,650)

Abstract:

9.

The Effects of Sovereign Rating Drifts on Financial Return Distributions: Evidence from the European Union

International Review of Financial Analysis, Vol. 34, 5-20, 2014, 25th Australasian Finance and Banking Conference 2012
Number of pages: 43 Posted: 28 Aug 2012 Last Revised: 05 May 2016
Hung Xuan Do, Robert D. Brooks, Sirimon Treepongkaruna and Eliza Wu
Massey University, Albany campus, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 56 (298,412)

Abstract:

Intraday data, higher moments, Markov regime switching, long memory, sovereign credit rating, credit rating agency

10.

How does Trading Volume Affect Financial Return Distributions?

International Review of Financial Analysis, Vol. 35, 2014
Number of pages: 41 Posted: 12 Jun 2012 Last Revised: 21 May 2015
Hung Xuan Do, Robert D. Brooks, Sirimon Treepongkaruna and Eliza Wu
Massey University, Albany campus, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 55 (284,395)

Abstract:

intraday data, higher moments, information theory, long memory, fractional integrated VAR, generalized impulse response

11.

Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model

Economics Letters, Vol 118, Issue 3, March 2013, 462-465
Number of pages: 12 Posted: 23 Sep 2011 Last Revised: 04 May 2016
Hung Xuan Do, Robert D. Brooks and Sirimon Treepongkaruna
Massey University, Albany campus, Monash University and University of Western Australia
Downloads 48 (313,841)

Abstract:

generalized impulse response, fractionally integrated VAR model, long memory

12.

Information Transfer, Rent Extraction and Insider Trading ― Who Internalised the Private Information Externality?

Number of pages: 35 Posted: 25 Sep 2014 Last Revised: 29 Oct 2014
Allan Hodgson, Suntharee Lhaopadchan and Sirimon Treepongkaruna
University of Queensland - Faculty of Business, Economics and Law, Kasetsart University - Faculty of Management Sciences and University of Western Australia
Downloads 42 (300,888)

Abstract:

insider regulatory cost/benefits, media and insider trading, insiders and intangibles, adverse trading costs and Sarbanes-Oxley

13.

Forecasting and Finite Sample Performance of Short Rate Models: International Evidence

International Review of Finance, Vol. 5, No. 3-4, pp. 175-197, September/December 2005
Number of pages: 23 Posted: 02 Nov 2006
Sirimon Treepongkaruna
University of Western Australia
Downloads 30 (396,179)
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Abstract:

14.

On the Robustness of Short-Term Interest Rate Models

Accounting and Finance, Vol. 43, pp. 87-121, 2003
Number of pages: 35 Posted: 19 Mar 2003
Sirimon Treepongkaruna and Stephen Gray
University of Western Australia and University of Queensland - Business School
Downloads 26 (418,525)
Citation 8
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Abstract:

Short-term interest rates, mean reversion, conditional volatility

15.

Are there Nonlinearities in Short-Term Interest Rates?

Accounting and Finance, Vol. 46, No. 1, pp. 149-167, March 2006
Number of pages: 19 Posted: 08 May 2006
Sirimon Treepongkaruna and Stephen Gray
University of Western Australia and University of Queensland - Business School
Downloads 23 (433,591)
Citation 5
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Abstract:

16.

Information and Volatility Links in the Foreign Exchange Market

Accounting & Finance, Vol. 49, Issue 2, pp. 385-405, June 2009
Number of pages: 21 Posted: 20 May 2009
Sirimon Treepongkaruna
University of Western Australia
Downloads 2 (541,018)
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Abstract:

17.

Milestone Birthdays and Retirement Investment Behaviour

Number of pages: 33 Posted: 18 Aug 2017
Paul Gerrans, David Pitt and Sirimon Treepongkaruna
University of Western Australia - UWA Business School, Financial Research Network (FIRN) and University of Western Australia
Downloads 0 (480,468)

Abstract:

Milestone age, life-cycle, retirement savings, consumer finance, household finance, birthdays

18.

Does Board Independence Substitute for External Audit Quality? Evidence from an Exogenous Regulatory Shock

Number of pages: 27 Posted: 28 Apr 2017
Pandej Chintrakarn, Sirimon Treepongkaruna, Pornsit Jiraporn and Shenghui Tong
Mahidol University International College (MUIC), University of Western Australia, Pennsylvania State University - School of Graduate Professional Studies (SGPS) and Central University of Finance and Economics (CUFE)
Downloads 0 (295,971)

Abstract:

auditor, independent directors, board independence, corporate governance, Sarbanes-Oxley, exogenous shock, natural experiment

19.

The Pricing of ULP and Diesel in the Western Australian Retail Fuel Market

Number of pages: 45 Posted: 14 Feb 2017
Richard A. Heaney and Sirimon Treepongkaruna
University of Western Australia and University of Western Australia
Downloads 0 (510,834)

Abstract:

Retail fuel pricing, ULP, Diesel, Western Australia

20.

Choice of Expected Return Proxy and Asset Pricing Model Tests: Should It Matter?

Number of pages: 63 Posted: 06 Feb 2017
Fatima Khushnud, Richard A. Heaney and Sirimon Treepongkaruna
University of Western Australia - UWA Business School, University of Western Australia and University of Western Australia
Downloads 0 (418,525)

Abstract:

asset pricing, IBES analyst target price, realized returns, expected annual returns

21.

Are All Insiders on the Inside? Evidence from the Initiation of CDS Trading and Short Selling in the Financial Sector

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 35 Posted: 20 Jan 2017 Last Revised: 15 Jun 2017
Thomas Y. To, Sirimon Treepongkaruna and Eliza Wu
University of Sydney Business School, University of Western Australia and The University of Sydney - Business School
Downloads 0 (257,109)

Abstract:

Insider Trading, Short-Sales, SHO Regulation, Financial firms, CDS Trading

22.

Corporate Governance, Earning Quality and Information Asymmetry: Evidence from Insider Trading Around the Globe

FIRN Research Paper No. 2725778
Number of pages: 42 Posted: 02 Feb 2016
Allan Hodgson, Suntharee Lhaopadchan and Sirimon Treepongkaruna
University of Queensland - Faculty of Business, Economics and Law, Kasetsart University - Faculty of Management Sciences and University of Western Australia
Downloads 0 (35,202)

Abstract:

Corporate Governance; Insider Trading; Day of Week; Directorial Position; Earnings Management

23.

Explaining the Bid-Ask Spread in the Foreign Exchange Market: A Test of Alternate Models

Australian Journal of Management, Vol. 39, No. 4, 2014
Posted: 14 Nov 2014
Sirimon Treepongkaruna, Tim Brailsford and Stephen Gray
University of Western Australia, Bond University and University of Queensland - Business School

Abstract:

Bid-ask spread, foreign exchange, inventory-holding premium, microstructure

24.

A Re-Examination of the Empirical Performance of the Longstaff and Schwartz Two-Factor Term Structure Model Using Real Yield Data

Australian Journal of Management, Vol. 38, No. 2, 2013
Posted: 30 Jul 2013
Robert W. Faff and Sirimon Treepongkaruna
University of Queensland and University of Western Australia

Abstract:

Longstaff-Schwartz two-factor model, multi-country test, real yield data, term structure

25.

Recession Fears as Self-Fulfilling Prophecies? Influence on Stock Returns and Output

Australian Journal of Management, Vol. 37, No. 2, 2012
Posted: 04 Aug 2012
Sirimon Treepongkaruna and John G. Powell
University of Western Australia and Massey University - Department of Finance Banking and Property

Abstract:

ex-ante recession fears, ex-ante recession probability assessment, ex-ante stock market and output, recession fear effects

26.

Determinants of Bond Spreads: Evidence from Credit Derivatives of Australian Firms

Australian Journal of Management, Vol. 37, No. 1, 2012
Posted: 05 May 2012
Tristan Darwin, Sirimon Treepongkaruna and Robert W. Faff
affiliation not provided to SSRN, University of Western Australia and University of Queensland

Abstract:

credit default swap, credit spread, default risk, liquidity, Merton model

27.

Do Trading Hours Affect Volatility Links in the Foreign Exchange Market?

Australian Journal of Management, Vol. 37, No. 1, 2012
Posted: 05 May 2012
Sirimon Treepongkaruna, Robert D. Brooks and Stephen Gray
University of Western Australia, Monash University and University of Queensland - Business School

Abstract:

common information, foreign exchange market, stochastic volatility, trading hours, volatility spillover

28.

An Analysis of the Determinants of Bank Ratings: Comparison Across Ratings Agencies

Australian Journal of Management, Vol. 36, No. 3, 2011
Posted: 21 Dec 2011
Emawtee Bissoondoyal-Bheenick and Sirimon Treepongkaruna
Monash University and University of Western Australia

Abstract:

bank ratings, ordered response model

29.

Asset Market Linkages: Evidence from Financial, Commodity and Real Estate Assets

Journal of Banking and Finance, Forthcoming
Posted: 06 Jan 2011
Kam Fong Chan, Sirimon Treepongkaruna, Robert D. Brooks and Stephen Gray
University of Queensland - Faculty of Business, Economics and Law, University of Western Australia, Monash University and University of Queensland - Business School

Abstract:

Markov switching, Asset linkages, Flight to quality, Flight from quality, Contagion