Jonathan A. Batten

RMIT University

Level 12, 239 Bourke Street

Melbourne, Victoria

Australia

http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

The University of Sydney

Cnr. of Codrington and Rose Streets

Sydney, NSW 2006

Australia

http://https://business.sydney.edu.au/staff/jonathan.batten

  • RMIT University

  • The University of Sydney

SCHOLARLY PAPERS

67

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33

Scholarly Papers (67)

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1.

Volatility in the Gold Futures Market

Number of pages: 14 Posted: 25 Jun 2007
Jonathan A. Batten and Brian M. Lucey
RMIT University and Trinity Business School, Trinity College Dublin
Downloads 1,331 (16,084)
Citation 3

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Gold, volatility, intraday, GARCH

2.

The Financial Economics of Gold – A Survey

FIRN Research Paper No. 2628018
Number of pages: 60 Posted: 09 Jul 2015
Fergal A. O'Connor, Brian M. Lucey, Jonathan A. Batten and Dirk G. Baur
University College Cork, Trinity Business School, Trinity College Dublin, RMIT University and University of Western Australia - Business School
Downloads 1,314 (16,412)
Citation 3

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Gold, survey, review

3.

Predicting the Event and Time Horizon of Bankruptcy Using Financial Ratios and the Maturity Schedule of Long-Term Debt

EFA 2005 Moscow Meetings Paper
Number of pages: 51 Posted: 20 Feb 2005 Last Revised: 14 Sep 2008
Leonid V. Philosophov, Jonathan A. Batten and Vladimir L. Philosophov
Independent, RMIT University and Interregional Bankruptcy Service for Central Russia - Analytic Department
Downloads 1,266 (17,346)
Citation 6

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4.

The Macroeconomic Determinants of Volatility in Precious Metals Markets

Number of pages: 23 Posted: 20 Jun 2008
Jonathan A. Batten, Cetin Ciner and Brian M. Lucey
RMIT University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 903 (28,585)
Citation 6

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Commodities, Gold, Macroeconomic factors, Silver, Volatility, conditional

5.

Structure in Gold and Silver Spread Fluctuations

HKUST Business School Research Paper No. 07-28
Number of pages: 13 Posted: 19 Sep 2007
Jonathan A. Batten, Cetin Ciner and Brian M. Lucey
RMIT University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 885 (29,387)

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Long term dependence, volatility, gold silver spread, futures

6.

Disintermediation and Bond Market Development in Japan

Deakin University Working Paper No. 2002-02
Number of pages: 45 Posted: 22 Feb 2002
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University
Downloads 846 (31,367)
Citation 1

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Bond Markets, Financial System Reform, Japan

7.

Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver

Number of pages: 23 Posted: 29 Aug 2015
Andrew Urquhart, Jonathan A. Batten, Brian M. Lucey, Frank McGroarty and Maurice Peat
ICMA Centre, Henley Business School, RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School and The University of Sydney
Downloads 757 (36,555)

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Gold, Silver, Technical analysis, Trading, High frequency

8.

The Importance of Social Factors When Assessing the Impact of Foreign Direct Investment on Economic Growth

Downloads 713 ( 39,555)

The Importance of Social Factors When Assessing the Impact of Foreign Direct Investment on Economic Growth

Number of pages: 38 Posted: 25 Sep 2006
Jonathan A. Batten and Xuan Vinh Vo
RMIT University and University of Economics Ho Chi Minh City
Downloads 368 (89,645)

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foreign direct investment, economic growth, panel data, social policy

The Importance of Social Factors When Assessing the Impact of Foreign Direct Investment on Economic Growth

IIIS Discussion Paper No. 179
Number of pages: 41 Posted: 19 Nov 2006
Xuan Vinh Vo and Jonathan A. Batten
University of Economics Ho Chi Minh City and RMIT University
Downloads 345 (96,575)

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foreign direct investment, economic growth, panel data, social policy

9.

When Kamay Met Hill: Organization Ethics in Practice

Number of pages: 35 Posted: 08 Sep 2015 Last Revised: 12 Jan 2017
Jonathan A. Batten, Igor Loncarski and Peter G. Szilagyi
RMIT University, University of Ljubljana - Faculty of Economics and Central European University
Downloads 697 (40,768)
Citation 1

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Abuse of public office; Australia; Ethical norms and values; Ethical standards and codes; Industry standards; Foreign exchange market; FX Global Code; Insider trading; UN Global Compact

10.

Gold and Silver Manipulation: What Can Be Empirically Verified?

Number of pages: 25 Posted: 25 Jan 2016
Jonathan A. Batten, Brian M. Lucey and Maurice Peat
RMIT University, Trinity Business School, Trinity College Dublin and The University of Sydney
Downloads 646 (45,175)

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Manipulation, Gold, silver, price suppression

11.

Factors Affecting the Yields of Emerging Market Issuers in International Bond Markets: Evidence from Thailand

Number of pages: 20 Posted: 10 Nov 2003
Jonathan A. Batten, Thomas Fetherston and Pongsak Hoontrakul
RMIT University, University of Alabama at Birmingham and Sasin of Chulalongkorn University
Downloads 610 (48,728)
Citation 2

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12.

Interest Rates, Stock Returns, and Credit Spreads: Evidence from German Eurobonds

Downloads 579 ( 52,141)
Citation 3

Interest Rates, Stock Returns, and Credit Spreads: Evidence from German Eurobonds

Number of pages: 25 Posted: 12 Feb 2003
Niklas Wagner, Warren P. Hogan and Jonathan A. Batten
Passau University, University of Technology, Sydney - School of Finance and Economics and RMIT University
Downloads 548 (55,220)
Citation 2

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Credit spreads, bond ratings, spread prediction

Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds

Economic Notes, Vol. 34, No. 1, pp. 35-50, February 2005
Number of pages: 16 Posted: 09 Jul 2005
Niklas Wagner, Warren P. Hogan and Jonathan A. Batten
Passau University, University of Technology, Sydney - School of Finance and Economics and RMIT University
Downloads 31 (526,284)
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13.

Volatility Scaling in Foreign Exchange Markets

Nanyang Technological University Working Paper No. 99-04
Number of pages: 23 Posted: 25 Apr 1999
Jonathan A. Batten and Craig Ellis
RMIT University and Education Centre Australia
Downloads 547 (55,995)
Citation 3

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14.

When Do Insiders Trade? Opportunistic versus Strategic Behaviour

Number of pages: 34 Posted: 01 Sep 2015 Last Revised: 08 May 2016
Jonathan A. Batten, Igor Loncarski and Peter G. Szilagyi
RMIT University, University of Ljubljana - Faculty of Economics and Central European University
Downloads 534 (57,727)
Citation 1

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foreign exchange markets, insider trading, market surveillance, structural break tests, regulation

15.

On the Economic Determinants of the Gold-Inflation Relation

Number of pages: 22 Posted: 06 Sep 2013 Last Revised: 20 Mar 2014
Jonathan A. Batten, Cetin Ciner and Brian M. Lucey
RMIT University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 465 (68,568)
Citation 7

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Gold, Inflation, monetary policy

16.

Developing Foreign Bond Markets: The Arirang Bond Experience in Korea

IIIS Discussion Paper No. 138
Number of pages: 32 Posted: 12 Aug 2006
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University
Downloads 459 (69,644)

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Arirang bonds, foreign bonds, bond market development

17.

Scaling the Volatility of Credit Spreads: Evidence from Australian Dollar Eurobonds

Nanyang Technological University, Department of Banking and Finance Working Paper No. 99-03
Number of pages: 36 Posted: 13 Dec 1999
Jonathan A. Batten, Craig Ellis and Warren P. Hogan
RMIT University, Education Centre Australia and University of Technology, Sydney - School of Finance and Economics
Downloads 435 (74,313)
Citation 6

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18.

Return Anomalies on the Nikkei: Are They Statistical Illusions?

Number of pages: 18 Posted: 26 May 2003
Jonathan A. Batten, Craig Ellis and Thomas Fetherston
RMIT University, Education Centre Australia and University of Alabama at Birmingham
Downloads 413 (79,116)
Citation 3

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Long-term dependence, Return Anomalies, CUSUM, Rescaled-range statistic, Hurst statistic

19.

Arbitrage, Covered Interest Parity and Long-Term Dependence between the Us Dollar and the Yen

IIIS Discussion Paper No. 128
Number of pages: 32 Posted: 12 Aug 2006
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University
Downloads 397 (82,701)

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Hurst exponent, Efficient market hypothesis

20.

Determinants of Bank Profitability – Evidence from Vietnam

Number of pages: 21 Posted: 22 Aug 2014 Last Revised: 27 Mar 2017
Jonathan A. Batten and Xuan Vinh Vo
RMIT University and University of Economics Ho Chi Minh City
Downloads 362 (92,642)

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Vietnam bank, bank profitability

21.

Financial Market Manipulation, Whistle-Blowing and the Common Good: Evidence from the LIBOR Scandal

Number of pages: 31 Posted: 09 May 2017 Last Revised: 10 May 2018
Jonathan A. Batten, Igor Loncarski and Peter G. Szilagyi
RMIT University, University of Ljubljana - Faculty of Economics and Central European University
Downloads 343 (97,908)

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Financial markets, market manipulations, common good, ethical codes’ ethical policy, LIBOR scandal, whistle-blowers

22.

Financial Market Development and the Role of Foreign Bond Issuance: The Case of Australia

Number of pages: 54 Posted: 12 Mar 2009 Last Revised: 15 Jul 2010
Jonathan A. Batten, Warren P. Hogan and Peter G. Szilagyi
RMIT University, University of Technology, Sydney - School of Finance and Economics and Central European University
Downloads 313 (108,357)
Citation 1

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Bond Markets, Financial Market Development, Foreign Bonds, Kangaroo Bonds, Australia

23.

International Perspectives on Foreign Bond Markets

Number of pages: 36 Posted: 26 Aug 2009
Jonathan A. Batten, Warren P. Hogan and Peter G. Szilagyi
RMIT University, University of Technology, Sydney - School of Finance and Economics and Central European University
Downloads 279 (122,469)
Citation 2

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Markets, Financial Market Development, Foreign Bonds

24.

What are the Next Steps for the Bond Markets in Thailand?

Number of pages: 29 Posted: 03 Apr 2007 Last Revised: 15 Feb 2009
Jonathan A. Batten and Pongsak Hoontrakul
RMIT University and Sasin of Chulalongkorn University
Downloads 216 (157,926)

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Bond Market, Thailand, Asia, currency, Capital Flow

25.

Modelling the Credit Spreads and Long-Term Relationships of Thai Yankee Bond Issues

Number of pages: 1 Posted: 16 Feb 2003
Jonathan A. Batten, Thomas Fetherston and Pongsak Hoontrakul
RMIT University, University of Alabama at Birmingham and Sasin of Chulalongkorn University
Downloads 213 (159,973)
Citation 1

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26.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
Jonathan A. Batten, Brian M. Lucey, Frank McGroarty, Maurice Peat and Andrew Urquhart
RMIT University, Trinity Business School, Trinity College Dublin, University of Southampton - Southampton Business School, The University of Sydney and ICMA Centre, Henley Business School
Downloads 208 (163,614)

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Precious metals; High-frequency; Intraday periodicity; Correlation; Gold; Silver; Platinum; Palladium

27.

Asia-Pacific Perspectives on the Financial Crisis 2007-2010

Number of pages: 35 Posted: 24 Aug 2009 Last Revised: 15 Jul 2010
Jonathan A. Batten, Warren P. Hogan and Peter G. Szilagyi
RMIT University, University of Technology, Sydney - School of Finance and Economics and Central European University
Downloads 201 (168,992)
Citation 2

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financial crisis, Asia-Pacific region, economic policy, international banking and bond markets

28.

The Internationalisation of the RMB: New Starts, Jumps and Tipping Points

SWIFT Institute Working Paper No. 2012-001
Number of pages: 33 Posted: 13 Sep 2013
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University
Downloads 197 (172,203)
Citation 2

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Currency Internationalisation; Financial Market Development; Renminbi; SWIFT

29.

Time-Varying Energy and Stock Market Integration in Asia

Number of pages: 39 Posted: 02 May 2017 Last Revised: 04 Jan 2019
Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi and Niklas Wagner
RMIT University, Passau University, Central European University and Passau University
Downloads 189 (178,826)

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Coal; Commodities; Energy Risk; Financial Market Integration; Gas, International Asset Pricing; Market Risk; Oil; Regime Switching Model

30.

Testing for the Elasticity of Corporate Yield Spreads

HKUST Business School Research Paper No. 07-03
Number of pages: 51 Posted: 02 Mar 2007
Jonathan A. Batten, Gady Jacoby and Rose C. Liao
RMIT University, University of Manitoba - Department of Accounting and Finance and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 185 (182,284)
Citation 2

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Bond Yield Spread, Default Risk, Callable Bonds, Corporate Bonds

31.

Is Covered Interest Parity Arbitrage Extinct? Evidence from the Spot USD/Yen

Number of pages: 29 Posted: 15 Mar 2006 Last Revised: 03 Feb 2010
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University
Downloads 156 (211,186)
Citation 1

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Hurst exponent, efficient market hypothesis, covered interest parity, arbitrage

32.

The Recent Internationalisation of Japanese Banks

Australian Centre for Financial Studies - Finsia Banking and Finance Conference 2010
Number of pages: 35 Posted: 15 Jul 2010
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University
Downloads 152 (215,792)

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Bank Financing, Financial Market Development, International Banking, Japan

33.

Stock Market Spread Trading: Argentina and Brazil Stock Indices

Number of pages: 23 Posted: 16 Oct 2012
Jonathan A. Batten, Peter G. Szilagyi and Michael C. S. Wong
RMIT University, Central European University and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 146 (222,975)

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stock indices, Brazil, Argentina, fractal structure, Hurst coefficient, long term dependence, stock market spread, volatility

34.

Dynamic Equilibrium Correction Modelling of Yen Eurobond Credit Spreads

IIIS Discussion Paper No. 127
Number of pages: 37 Posted: 12 Aug 2006
Seppo Pynnonen, Jonathan A. Batten and Warren P. Hogan
University of Vaasa, Department of Mathematics and Statistics, RMIT University and University of Technology, Sydney - School of Finance and Economics
Downloads 144 (225,472)

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35.

Is the Price of Gold to Gold Mining Stocks Asymmetric?

Number of pages: 17 Posted: 28 Apr 2016 Last Revised: 23 Oct 2016
Jonathan A. Batten, Cetin Ciner, Arman Kosedag and Brian M. Lucey
RMIT University, University of North Carolina at Wilmington, Berry College - Department of Accounting and Finance and Trinity Business School, Trinity College Dublin
Downloads 137 (234,635)
Citation 1

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Asymmetric relation; Gold price; Gold Mining Firms; Real Options; Corporate Valuation

36.

Should Investors Buy Commodities?

Number of pages: 33 Posted: 27 Feb 2015
Jonathan A. Batten, Peter G. Szilagyi and Niklas Wagner
RMIT University, Central European University and Passau University
Downloads 131 (243,032)

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Commodities, Financial Market Integration, International Asset Pricing, Systematic Risk, Market Risk

37.

Can Investors Hedge Energy Risk? Evidence from Asia

Number of pages: 41 Posted: 03 May 2017
Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi and Niklas Wagner
RMIT University, Passau University, Central European University and Passau University
Downloads 130 (244,447)
Citation 2

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Coal, Commodities, Financial Market Integration, Gas International Asset Pricing, Oil, Systematic Risk, Market Risk

38.

Which Precious Metals Spill Over on Which, When and Why? – Some Evidence.

Applied Economics Letters, Forthcoming
Number of pages: 13 Posted: 07 Feb 2014 Last Revised: 29 Jul 2014
Jonathan A. Batten, Cetin Ciner and Brian M. Lucey
RMIT University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 128 (247,409)
Citation 5

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Gold, Silver, Platinum, Palladium, integration

39.

Dynamic Equilibrium Correction Modelling of Credit Spreads. The Case of Yen Eurobonds

Number of pages: 26 Posted: 27 Jan 2004
Seppo Pynnonen, Jonathan A. Batten and Warren P. Hogan
University of Vaasa, Department of Mathematics and Statistics, RMIT University and University of Technology, Sydney - School of Finance and Economics
Downloads 126 (250,284)

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Credit Spreads, Eurobonds, Japan, Equilibrium Correction

40.

The Compass Rose in Electricity Prices

Number of pages: 30 Posted: 17 Mar 2008
Jonathan A. Batten and Mahmoud Hamada
RMIT University and RWE Supply and Trading
Downloads 125 (251,867)

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chaos, compass rose, electricity prices, fractal, high-frequency data, Hurst

41.

The Dynamic Linkages between Crude Oil and Natural Gas Markets

Number of pages: 32 Posted: 02 Sep 2015
Jonathan A. Batten, Cetin Ciner and Brian M. Lucey
RMIT University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 123 (254,956)
Citation 5

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oil, gas, asymmetric, causality, out-of-sample

42.

The Dynamics of Credit Spreads on Latin American Eurobonds

Number of pages: 28 Posted: 25 Mar 2008 Last Revised: 15 Jul 2010
Kannan S. Thuraisamy, Gerard L. Gannon and Jonathan A. Batten
Deakin University - Faculty of Business and Law, Deakin University - School of Accounting, Economics and Finance and RMIT University
Downloads 121 (258,072)

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Credit spreads, Latin America, Long-run dynamics, Sovereign bonds, Structural models

43.

Bank Internationalisation During the Global Financial Crisis: An Asia Pacific Perspective

Number of pages: 31 Posted: 06 Sep 2011
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University
Downloads 118 (262,941)

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Asia-Pacific region, bank financing, financial market development, Global Financial Crisis, international banking

44.

Time Varying Asian Stock Market Integration

Number of pages: 31 Posted: 21 Sep 2013
Jonathan A. Batten, Peter Morgan and Peter G. Szilagyi
RMIT University, ADBI and Central European University
Downloads 94 (307,034)

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Asia-Pacific, Financial Market Integration, International Asset Pricing, Systematic Risk, Market Risk

45.

A Pure Test for the Elasticity of Yield Spreads

IIIS Discussion Paper Series No. 195
Number of pages: 53 Posted: 19 Jan 2007
Gady Jacoby, Jonathan A. Batten and Rose C. Liao
University of Manitoba - Department of Accounting and Finance, RMIT University and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 90 (315,507)

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Bond Yield Spread, Default Risk, Callable Bonds, Corporate Bonds

46.

White Paper: How Malaysian Banks can Elevate B40 and MSME Lending

Number of pages: 15 Posted: 03 Oct 2019
Azira Abdul Adzis, Jonathan A. Batten, Zunarni Kosim and Shamsul Bahrain bin Mohamed Arshad
Massey University, RMIT University, Universiti Utara Malaysia and Universiti Utara Malaysia - School of Economics, Finance and Banking
Downloads 84 (329,427)

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Alternate Financing, B40, Bank lending, Developing Economics, Emerging Financial Markets, Malaysia, Micro Small Medium Enterprise,

47.

Price and Volatility Spillovers Across the International Steam Coal Market

Number of pages: 53 Posted: 31 Mar 2017
Jonathan A. Batten, Janusz Brzeszczynski, Cetin Ciner, Chi Keung Lau, Brian M. Lucey and Larisa Yarovaya
RMIT University, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of North Carolina at Wilmington, University of Huddersfield, Trinity Business School, Trinity College Dublin and University of Southampton - Southampton Business School
Downloads 81 (336,690)

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Integration; Information transmissions; Generalized VAR model; Steam coal

48.

Addressing COP21 Using a Stock and Oil Market Integration Index

Number of pages: 32 Posted: 31 Oct 2017 Last Revised: 09 Feb 2018
Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi and Niklas Wagner
RMIT University, Passau University, Central European University and Passau University
Downloads 62 (389,581)

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Commodities, COP21, Financial Market Integration, International Asset Pricing, Market Risk, WTI Oil, Risk of Climate Change, Systematic Risk

49.

International Swap Market Contagion and Volatility

Economic Modelling, Forthcoming
Number of pages: 46 Posted: 07 Feb 2015
A. S. M. Sohel Azad, Jonathan A. Batten, Victor Fang and J. Wickramanayake
Deakin University, RMIT University, Deakin University and Monash University - Department of Accounting
Downloads 56 (409,533)
Citation 4

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Financial Integration; Interest Rate Swap; Long-term Volatility; Short-term Volatility; Long-term Correlations; Short-term Correlations

50.

Deteriorating Complexity in Gold Returns: Evidence from the Compass Rose

Number of pages: 18 Posted: 03 Mar 2017
Jonathan A. Batten, Brian M. Lucey and Maurice Peat
RMIT University, Trinity Business School, Trinity College Dublin and The University of Sydney
Downloads 49 (434,412)

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N50, Q31, G38, G12

51.

Sovereign Risk and the Impact of Crisis: Evidence from Latin America

Number of pages: 71 Posted: 15 Aug 2016
Jonathan A. Batten, Gerard L. Gannon and Kannan S. Thuraisamy
RMIT University, Deakin University - School of Accounting, Economics and Finance and Deakin University - Faculty of Business and Law
Downloads 49 (434,412)

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Argentina Default, Final Crisis, Global Financial Crisis, Latin America, Volatility, Spillovers, Sovereign Bond Markets, Transmission, Volatility Linkages

52.

Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate Egarch Framework

Number of pages: 14 Posted: 01 Dec 2002
Jonathan A. Batten, Francis Haeuck In and Warren P. Hogan
RMIT University, Monash University - Department of Accounting and University of Technology, Sydney - School of Finance and Economics
Downloads 25 (547,016)
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53.

The Dynamics of Arbitrage: Evidence from the Forward Markets

Number of pages: 39 Posted: 18 Mar 2012
Jonathan A. Batten, Wai Sum Chan, Hon Lun Chung and Peter G. Szilagyi
RMIT University, The Chinese University of Hong Kong (CUHK) - Department of Finance, The Hong Kong Polytechnic University and Central European University
Downloads 12 (632,983)

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arbitrage, covered interest parity, international financial markets, forward market, lead-lag relationship, threshold autoregression (TAR), non-linearity test

54.

Convertible Bond Pricing Models

Journal of Economic Surveys, Vol. 28, Issue 5, pp. 775-803, 2014
Number of pages: 29 Posted: 28 Oct 2014
Jonathan A. Batten, Karren Khaw and Martin R. Young
RMIT University, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 2 (709,477)
Citation 2
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Corporate bonds, Convertible bond pricing models, Contingent claim approach

55.

The Role of Foreign Bond Issuance: The Case of Australia

Australian Economic Review, Vol. 44, No. 1, pp. 36-50, 2011
Number of pages: 15 Posted: 02 Mar 2011
Jonathan A. Batten, Warren P. Hogan and Peter G. Szilagyi
RMIT University, University of Technology, Sydney - School of Finance and Economics and Central European University
Downloads 2 (709,477)
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56.

What Determines the Yen Swap Spread?

International Review of Financial Analysis, Forthcoming
Posted: 11 Apr 2015
A. S. M. Sohel Azad, Jonathan A. Batten and Victor Fang
Deakin University, RMIT University and Deakin University

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Correlation risk; Business cycles; Interest rate swaps; Market skewness; Swap spread puzzle; Systematic risk; Japan; Yen swap markets

57.

The Determinates of Equity Portfolio Holdings

Applied Financial Economics, Vol. 20, No. 14, 2010
Posted: 26 Nov 2010
Jonathan A. Batten and Xuan Vinh Vo
RMIT University and University of Economics Ho Chi Minh City

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home bias, portfolio holdings

58.

Domestic Bond Market Development: The Arirang Bond Experience in Korea

The World Bank Research Observer, Vol. 22, No. 2, pp. 165-195, 2007
Posted: 16 Jun 2008
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University

Abstract:

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F34, G18

59.

Statistical Illusions and Long-Term Return Anomalies on the Nikkei

Jonathan Batten, Craig Ellis and Thomas Fetherston, STATISTICAL ILLUSIONS AND LONG-TERM RETURN ANOMALIES ON THE NIKKEI, CHAOS, SOLTIONS & FRACTAL, Vol. 23, pp.1125-1136, Elsevier Science, 2005
Posted: 02 Aug 2005
Jonathan A. Batten, Craig Ellis and Thomas Fetherston
RMIT University, Education Centre Australia and University of Alabama at Birmingham

Abstract:

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Long-term dependence, Return Anomalies, CUSUM, Rescaled-range statistic, Hurst statistic, Nikkei

60.

Measuring Credit Spreads: Evidence from Australian Eurobonds

Applied Financial Economics, Vol. 15, No. 9, pp. 651-666, 2005
Posted: 02 Aug 2005
Jonathan A. Batten, Warren P. Hogan and Gady Jacoby
RMIT University, University of Technology, Sydney - School of Finance and Economics and University of Manitoba - Department of Accounting and Finance

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Credit spreads, absolute spreads, relative spreads, Eurobonds

61.

Decomposing Intraday Dependence in Currency Markets: Evidence from the Aud/Usd Spot Market

Physica A: Statistical Mechanics and its Applications, Vol. 352, No. 2-4, pp. 558-572, 2005
Posted: 02 Aug 2005 Last Revised: 15 Jul 2010
Jonathan A. Batten, Craig Ellis and Warren P. Hogan
RMIT University, Education Centre Australia and University of Technology, Sydney - School of Finance and Economics

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Scaling volatility, long-range dependence, foreign exchange, market microstructure

62.

Why Japan Needs to Develop its Corporate Bond Market

Posted: 08 Mar 2004
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and Central European University

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Bond Markets, Financial System Reform, Japan

63.

Disintermediation and the Development of Bond Markets in Emerging Europe

Posted: 17 Nov 2003
Jonathan A. Batten, Thomas Fetherston and Peter G. Szilagyi
RMIT University, University of Alabama at Birmingham and Central European University

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Disintermediation, Bond Markets, Emerging Markets

64.

What Drives the Japanese Yen Eurobond Term Structure of Japanese Bonds

Posted: 17 Jun 2003
Jonathan A. Batten, Francis Haeuck In and Sangbae Kim
RMIT University, Monash University - Department of Accounting and Kyungpook National University - School of Business Administartion

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Long-run relationship, Expectations Hypothesis, Japanese yen Eurobonds, Canonical Cointegrating Regression, GARCH

65.

Scaling Relationships of Gaussian Processes

Posted: 26 May 2003
Jonathan A. Batten and Craig Ellis
RMIT University and Education Centre Australia

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Scaling, Volatility, Currency returns

66.

Time Variation in the Credit Spreads on Australian Eurobonds

Posted: 26 May 2003
Jonathan A. Batten and Warren P. Hogan
RMIT University and University of Technology, Sydney - School of Finance and Economics

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Credit spreads, Eurobonds, Australia

67.

A Perspective on Credit Derivatives

Posted: 06 May 2003
Jonathan A. Batten and Warren P. Hogan
RMIT University and University of Technology, Sydney - School of Finance and Economics

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Credit risk, Credit derivatives, Credit default swaps, Credit-linked notes, Credit spreads, Total return swaps