Sirimon Treepongkaruna

The University of Western Australia

Professor

35 Stirling Highway

Crawley, 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

40

DOWNLOADS
Rank 18,248

SSRN RANKINGS

Top 18,248

in Total Papers Downloads

3,371

SSRN CITATIONS
Rank 24,276

SSRN RANKINGS

Top 24,276

in Total Papers Citations

17

CROSSREF CITATIONS

23

Scholarly Papers (40)

1.

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 The University of Western Australia
Downloads 768 (39,999)

Abstract:

Loading...

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

2.

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, The University of Western Australia and The University of Western Australia
Downloads 357 (103,494)
Citation 1

Abstract:

Loading...

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

3.

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, Vol. 54, 114-129, 2018
Number of pages: 35 Posted: 20 Jan 2017 Last Revised: 28 May 2019
Thomas Y. To, Sirimon Treepongkaruna and Eliza Wu
University of Sydney Business School, The University of Western Australia and The University of Sydney - Business School
Downloads 215 (174,360)
Citation 4

Abstract:

Loading...

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

4.

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), The University of Western Australia, Pennsylvania State University - School of Graduate Professional Studies (SGPS) and Central University of Finance and Economics (CUFE)
Downloads 208 (179,884)
Citation 3

Abstract:

Loading...

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

5.

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, The University of Western Australia and Monash University
Downloads 147 (243,086)
Citation 1

Abstract:

Loading...

Trading activity, realized volatility, order imbalance

6.

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, The University of Western Australia and The University of Sydney - Business School
Downloads 134 (261,578)
Citation 4

Abstract:

Loading...

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

7.

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 The University of Western Australia
Downloads 134 (261,578)

Abstract:

Loading...

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

8.

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, The University of Western Australia and Monash University
Downloads 118 (287,497)

Abstract:

Loading...

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

9.

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, The University of Western Australia and Bond University
Downloads 96 (330,519)
Citation 1

Abstract:

Loading...

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, Bond University, The University of Western Australia and The University of Sydney - Business School
Downloads 91 (344,716)

Abstract:

Loading...

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, Bond University, The University of Western Australia and The University of Sydney - Business School
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

11.

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, The University of Western Australia and The University of Sydney - Business School
Downloads 90 (344,321)
Citation 1

Abstract:

Loading...

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

12.

The Effects of Ownership Concentration and Corporate Governance on Corporate Risk-Taking: The Case of Thailand

Number of pages: 32 Posted: 14 May 2019
Seksak Jumreonwong, Sirimon Treepongkaruna, Panu Prommin and Pornsit Jiraporn
Thammasat University, The University of Western Australia, Bank of Thailand and Pennsylvania State University - School of Graduate Professional Studies (SGPS)
Downloads 88 (349,246)

Abstract:

Loading...

ownership, corporate governance, risk-taking, agency theory, instrumental variable

13.

A Storm But No Damage? A Two-Country Equity and Currency Market Perspective of Brexit

Number of pages: 31 Posted: 20 Mar 2018
Dirk G. Baur, Thomas Dimpfl and Sirimon Treepongkaruna
University of Western Australia - Business School, University of Hohenheim and The University of Western Australia
Downloads 86 (354,073)

Abstract:

Loading...

Brexit, Cross-Listing, Price Discovery, Volatility, High-Frequency Data, Contagion

14.

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 The University of Western Australia
Downloads 83 (361,860)

Abstract:

Loading...

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

15.

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 The University of Western Australia
Downloads 75 (383,708)

Abstract:

Loading...

16.

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, The University of Western Australia and The University of Sydney - Business School
Downloads 74 (386,552)
Citation 1

Abstract:

Loading...

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

17.

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 The University of Western Australia
Downloads 70 (398,509)
Citation 1

Abstract:

Loading...

generalized impulse response, fractionally integrated VAR model, long memory

18.

Do LGBT-Supportive Corporate Policies Improve Credit Ratings?: An Instrumental-Variable Analysis

Number of pages: 33 Posted: 09 Sep 2018
Pandej Chintrakarn, Sirimon Treepongkaruna, Pornsit Jiraporn and Sangmook Lee
Mahidol University International College (MUIC), The University of Western Australia, Pennsylvania State University - School of Graduate Professional Studies (SGPS) and Pennsylvania State University - School of Graduate Professional Studies (SGPS)
Downloads 58 (438,479)
Citation 1

Abstract:

Loading...

LGBT, LGBT-Friendly, LGBT-Supportive, Credit Ratings, Corporate Social Responsibility, CSR

19.

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
The University of Western Australia - UWA Business School, University of Western Australia and The University of Western Australia
Downloads 53 (456,922)

Abstract:

Loading...

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

20.

Does Firm-Level Political Risk Influence Corporate Social Responsibility (CSR)? Evidence from Earnings Conference Calls

Number of pages: 42 Posted: 22 Mar 2021
Sasin GIBA, The University of Western Australia, Pennsylvania State University - School of Graduate Professional Studies (SGPS) and State University of New York (SUNY) - State University of New York (SUNY) at Oswego
Downloads 48 (476,682)

Abstract:

Loading...

Corporate social responsibility, CSR, instrumental variable, political exposure, political risk, risk mitigation

21.

Milestone Birthdays and Retirement Investment Behaviour

Number of pages: 33 Posted: 18 Aug 2017
Paul Gerrans, David Pitt and Sirimon Treepongkaruna
The University of Western Australia - UWA Business School, Financial Research Network (FIRN) and The University of Western Australia
Downloads 46 (485,112)

Abstract:

Loading...

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

22.

The Precious Metals Holdings of Chinese Commercial Banks

Number of pages: 31 Posted: 19 Sep 2019
Dirk G. Baur, Md Zakir Hossain, Anna Retnawati, Sirimon Treepongkaruna and Jing Yu
University of Western Australia - Business School, UWA Business School, The University of Western Australia, The University of Western Australia and The University of Sydney
Downloads 43 (498,288)

Abstract:

Loading...

gold, China, commercial banks, import licenses, gold swaps, BIS, trading income, interconnectedness, systemic risk

23.

How Do Independent Directors View Corporate Social Responsibility (CSR) During a Stressful Time? Evidence From the Financial Crisis

Number of pages: 44 Posted: 02 Oct 2020
Pandej Chintrakarn, Pornsit Jiraporn and Sirimon Treepongkaruna
Mahidol University International College (MUIC), Pennsylvania State University - School of Graduate Professional Studies (SGPS) and The University of Western Australia
Downloads 40 (512,075)

Abstract:

Loading...

Corporate Social Responsibility, Independent Directors, Board Independence, Corporate Governance, Financial Crisis

24.

Do Firms Adjust Corporate Governance in Response to Economic Policy Uncertainty? Evidence From Board Size

Number of pages: 22 Posted: 23 Jun 2020
Viput Ongsakul, Sirimon Treepongkaruna, Pornsit Jiraporn and Ali Uyar
NIDA Business School, National Institute of Development Administration (NIDA), The University of Western Australia, Pennsylvania State University - School of Graduate Professional Studies (SGPS) and La Rochelle Business School
Downloads 40 (512,075)
Citation 2

Abstract:

Loading...

board size, economic policy uncertainty, corporate governance, board of directors

25.

Does Board Gender Diversity Reduce 'CEO luck'?

Number of pages: 25 Posted: 11 Mar 2021
NIDA Business School, National Institute of Development Administration (NIDA), University of Adelaide - Business School, The University of Western Australia and Pennsylvania State University - School of Graduate Professional Studies (SGPS)
Downloads 38 (521,508)

Abstract:

Loading...

board gender diversity, female directors, CEO luck, opportunistic timing of option grants, corporate governance.

26.

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 The University of Western Australia
Downloads 36 (531,372)

Abstract:

Loading...

Retail fuel pricing, ULP, Diesel, Western Australia

27.

Stakeholder Engagement and Firms’ Innovation: Evidence from LGBT-Supportive Policies

Number of pages: 29 Posted: 12 May 2021
Khine Kyaw, Sirimon Treepongkaruna and Pornsit Jiraporn
NTNU Business School, The University of Western Australia and Pennsylvania State University - School of Graduate Professional Studies (SGPS)
Downloads 35 (536,453)

Abstract:

Loading...

innovative activities, research and development, LGBT, inclusive corporate policies, corporate governance, financial crisis, corporate social responsibility, resource hypothesis, externalities hypothesis, employee commitment

28.

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
The University of Western Australia
Downloads 31 (557,728)
  • Add to Cart

Abstract:

Loading...

29.

On the Robustness of Short-Term Interest Rate Models

Number of pages: 35 Posted: 19 Mar 2003
Sirimon Treepongkaruna and Stephen Gray
The University of Western Australia and University of Queensland - Business School
Downloads 26 (587,763)
  • Add to Cart

Abstract:

Loading...

Short-term interest rates, mean reversion, conditional volatility

30.

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
The University of Western Australia and University of Queensland - Business School
Downloads 24 (600,741)
  • Add to Cart

Abstract:

Loading...

31.

Do Firms Adjust Board Gender Diversity in Response to Economic Policy Uncertainty?

Number of pages: 26 Posted: 14 Jul 2021
Seksak Jumreonwong, Sirimon Treepongkaruna, Shenghui Tong and Pornsit Jiraporn
Thammasat University, The University of Western Australia, Central University of Finance and Economics (CUFE) and Pennsylvania State University - School of Graduate Professional Studies (SGPS)
Downloads 15 (663,498)

Abstract:

Loading...

board gender diversity, female directors, economic policy uncertainty, board of directors, instrumental variable

32.

Are Internet Message Boards Used to Facilitate Stock Price Manipulation? Evidence from an Emerging Market, Thailand

Accounting & Finance, Vol. 58, pp. 275-309, 2018
Number of pages: 35 Posted: 23 Oct 2018
Chulalongkorn University, Massey University - Department of Finance Banking and Property, Chulalongkorn University and The University of Western Australia
Downloads 2 (765,820)
Citation 1
  • Add to Cart

Abstract:

Loading...

Internet message board, Pump and dump, Share price manipulation, Short and longer run event study, Short selling

33.

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
The University of Western Australia
Downloads 2 (765,820)
  • Add to Cart

Abstract:

Loading...

34.

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
The University of Western Australia, Bond University and University of Queensland - Business School

Abstract:

Loading...

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

35.

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
Bond University and The University of Western Australia

Abstract:

Loading...

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

36.

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
The University of Western Australia and Massey University - Department of Finance Banking and Property

Abstract:

Loading...

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

37.

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, The University of Western Australia and Bond University

Abstract:

Loading...

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

38.

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
The University of Western Australia, Monash University and University of Queensland - Business School

Abstract:

Loading...

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

39.

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 The University of Western Australia

Abstract:

Loading...

bank ratings, ordered response model

40.

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
The University of Western Australia, The University of Western Australia, Monash University and University of Queensland - Business School

Abstract:

Loading...

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