Jonathan A. Batten

Monash University

Professor of Finance

Melbourne

Australia

SCHOLARLY PAPERS

67

DOWNLOADS
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CITATIONS
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43

Scholarly Papers (67)

1.

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
Independent, Monash University and Interregional Bankruptcy Service for Central Russia - Analytic Department
Downloads 1,185 (12,906)
Citation 7

Abstract:

2.

Volatility in the Gold Futures Market

Number of pages: 14 Posted: 25 Jun 2007
Jonathan A. Batten and Brian M. Lucey
Monash University and Trinity Business School, Trinity College Dublin
Downloads 1,182 (12,046)
Citation 1

Abstract:

Gold, volatility, intraday, GARCH

3.

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
Monash University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 786 (22,922)

Abstract:

Long term dependence, volatility, gold silver spread, futures

4.

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
Monash University and Central European University
Downloads 758 (23,789)
Citation 1

Abstract:

Bond Markets, Financial System Reform, Japan

5.

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
Monash University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 725 (23,697)
Citation 3

Abstract:

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

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 Võ Xuân Vinh
Monash University and University of Economics Ho Chi Minh City
Downloads 336 (73,678)

Abstract:

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
Võ Xuân Vinh and Jonathan A. Batten
University of Economics Ho Chi Minh City and Monash University
Downloads 277 (92,089)

Abstract:

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

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 Monash University
Downloads 533 (41,794)
Citation 3

Abstract:

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 Monash University
Downloads 31 (408,427)
Citation 3
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8.

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
Monash University, University of Alabama at Birmingham and Sasin of Chulalongkorn University
Downloads 561 (36,410)

Abstract:

9.

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
Monash University and Education Centre Australia
Downloads 498 (43,980)
Citation 2

Abstract:

10.

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
Monash University, Education Centre Australia and University of Technology, Sydney - School of Finance and Economics
Downloads 426 (55,503)
Citation 6

Abstract:

11.

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
Monash University, Education Centre Australia and University of Alabama at Birmingham
Downloads 390 (59,947)

Abstract:

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

12.

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
Monash University and Central European University
Downloads 350 (54,610)

Abstract:

Arirang bonds, foreign bonds, bond market development

13.

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
Monash University and Central European University
Downloads 349 (67,635)
Citation 1

Abstract:

Hurst exponent, Efficient market hypothesis

14.

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
Monash University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 347 (56,336)

Abstract:

Gold, Inflation, monetary policy

15.

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
Monash University, University of Technology, Sydney - School of Finance and Economics and Central European University
Downloads 266 (83,032)

Abstract:

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

16.

The Financial Economics of Gold – A Survey

FIRN Research Paper No. 2628018
Number of pages: 60 Posted: 09 Jul 2015
University of York - The York Management School, Trinity Business School, Trinity College Dublin, Monash University and University of Western Australia - Business School
Downloads 252 (27,984)

Abstract:

Gold, survey, review

17.

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
Monash University and Sasin of Chulalongkorn University
Downloads 209 (121,374)

Abstract:

Bond Market, Thailand, Asia, currency, Capital Flow

18.

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
Monash University, University of Alabama at Birmingham and Sasin of Chulalongkorn University
Downloads 196 (125,843)
Citation 1

Abstract:

19.

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
Monash University, University of Technology, Sydney - School of Finance and Economics and Central European University
Downloads 194 (131,276)
Citation 1

Abstract:

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

20.

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

Number of pages: 23 Posted: 29 Aug 2015
University of Southampton - Centre for Digital Finance, Monash University, Trinity Business School, Trinity College Dublin, Centre for Digital Finance, University of Southampton and The University of Sydney
Downloads 170 (45,645)

Abstract:

Gold, Silver, Technical analysis, Trading, High frequency

21.

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
Monash University, University of Manitoba - Department of Accounting and Finance and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 162 (147,309)
Citation 2

Abstract:

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

22.

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
Monash University and Central European University
Downloads 140 (170,519)
Citation 1

Abstract:

Bank Financing, Financial Market Development, International Banking, Japan

23.

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
Monash University and Central European University
Downloads 140 (165,871)
Citation 1

Abstract:

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

24.

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, Monash University and University of Technology, Sydney - School of Finance and Economics
Downloads 137 (173,467)

Abstract:

25.

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
Monash University and Central European University
Downloads 131 (141,384)

Abstract:

Currency Internationalisation; Financial Market Development; Renminbi; SWIFT

26.

The Compass Rose in Electricity Prices

Number of pages: 30 Posted: 17 Mar 2008
Jonathan A. Batten and Mahmoud Hamada
Monash University and RWE Supply and Trading
Downloads 119 (195,635)

Abstract:

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

27.

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
Monash University, Central European University and City University of Hong Kong (CityUHK) - Department of Economics & Finance
Downloads 118 (178,525)

Abstract:

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

28.

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, Monash University and University of Technology, Sydney - School of Finance and Economics
Downloads 115 (193,270)

Abstract:

Credit Spreads, Eurobonds, Japan, Equilibrium Correction

29.

International Perspectives on Foreign Bond Markets

Number of pages: 36 Posted: 26 Aug 2009
Jonathan A. Batten, Warren P. Hogan and Peter G. Szilagyi
Monash University, University of Technology, Sydney - School of Finance and Economics and Central European University
Downloads 105 (97,077)

Abstract:

Markets, Financial Market Development, Foreign Bonds

30.

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 Monash University
Downloads 101 (207,232)

Abstract:

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

31.

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
Monash University and Central European University
Downloads 86 (207,232)

Abstract:

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

32.

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
Monash University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 83 (212,632)

Abstract:

Gold, Silver, Platinum, Palladium, integration

33.

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, Monash University and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 76 (253,043)

Abstract:

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

34.

Should Investors Buy Commodities?

Number of pages: 33 Posted: 27 Feb 2015
Jonathan A. Batten, Peter G. Szilagyi and Niklas Wagner
Monash University, Central European University and Passau University
Downloads 61 (230,610)

Abstract:

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

35.

Time Varying Asian Stock Market Integration

Number of pages: 31 Posted: 21 Sep 2013
Jonathan A. Batten, Peter Morgan and Peter G. Szilagyi
Monash University, Asian Development Bank Institute and Central European University
Downloads 51 (262,732)

Abstract:

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

36.

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
Monash University, University of Ljubljana - Faculty of Economics and Central European University
Downloads 41 (49,301)

Abstract:

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

37.

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
Monash University, University of Ljubljana - Faculty of Economics and Central European University
Downloads 35 (34,291)

Abstract:

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

38.

International Swap Market Contagion and Volatility

Economic Modelling, Forthcoming
Number of pages: 46 Posted: 07 Feb 2015
Deakin University, Monash University, Deakin University and Monash University - Department of Accounting
Downloads 33 (342,053)

Abstract:

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

39.

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

Australian Economic Papers, Vol. 41, No. 1, pp. 115-128, March 2002
Number of pages: 14 Posted: 01 Dec 2002
Jonathan A. Batten, Francis Haeuck In and Warren P. Hogan
Monash University, Monash University - Department of Accounting and University of Technology, Sydney - School of Finance and Economics
Downloads 25 (425,885)
Citation 1
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Abstract:

40.

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
Monash University, University of North Carolina at Wilmington and Trinity Business School, Trinity College Dublin
Downloads 24 (240,580)

Abstract:

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

41.

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
Monash University, University of Technology, Sydney - School of Finance and Economics and Central European University
Downloads 2 (544,165)
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Abstract:

42.

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 2017
Jonathan A. Batten, Igor Loncarski and Peter G. Szilagyi
Monash University, University of Ljubljana - Faculty of Economics and Central European University
Downloads 0 (200,654)

Abstract:

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

43.

Can Investors Hedge Energy Risk? Evidence from Asia

Number of pages: 41 Posted: 03 May 2017
Monash University, Passau University, Central European University and Passau University
Downloads 0 (264,626)

Abstract:

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

44.

Time-Varying Energy and Stock Market Integration in Asia

Number of pages: 39 Posted: 02 May 2017 Last Revised: 03 Oct 2017
Monash University, Passau University, Central European University and Passau University
Downloads 0 (237,170)

Abstract:

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

45.

Price and Volatility Spillovers Across the International Steam Coal Market

Number of pages: 53 Posted: 31 Mar 2017
Monash University, Newcastle Business School (NBS), Northumbria University, Newcastle upon Tyne, United Kingdom, University of North Carolina at Wilmington, Northumbria University, Trinity Business School, Trinity College Dublin and Anglia Ruskin University - Lord Ashcroft International Business School
Downloads 0 (375,293)

Abstract:

Integration; Information transmissions; Generalized VAR model; Steam coal

46.

Contagion Risk in Global Banking Sector

Number of pages: 41 Posted: 23 Mar 2017
University of Western Sydney - School of Business, Monash University, Western Sydney University and School of Business, Western Sydney University
Downloads 0 (345,100)

Abstract:

Global systemically important banks (GSIBs), Extreme value theory, (EVT), Distance to default (DD), Distance to Inefficiency (DI), Distance to capital (DC), Logistic regression model

47.

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
Monash University, Trinity Business School, Trinity College Dublin and The University of Sydney
Downloads 0 (430,912)

Abstract:

N50, Q31, G38, G12

48.

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
Monash University, Deakin University - School of Accounting, Economics and Finance and Deakin University - Faculty of Business and Law
Downloads 0 (398,478)

Abstract:

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

49.

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
Monash University, University of North Carolina at Wilmington, Berry College - Department of Accounting and Finance and Trinity Business School, Trinity College Dublin
Downloads 0 (232,273)

Abstract:

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

50.

Stylized Facts of Intraday Precious Metal Returns

Number of pages: 29 Posted: 02 Feb 2016
Monash University, Trinity Business School, Trinity College Dublin, Centre for Digital Finance, University of Southampton, The University of Sydney and University of Southampton - Centre for Digital Finance
Downloads 0 (145,719)

Abstract:

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

51.

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
Monash University, Trinity Business School, Trinity College Dublin and The University of Sydney
Downloads 0 (36,570)

Abstract:

Manipulation, Gold, silver, price suppression

52.

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, Monash University and Deakin University

Abstract:

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

53.

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
Monash University, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads 0 (568,467)
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Abstract:

Corporate bonds, Convertible bond pricing models, Contingent claim approach

54.

Determinants of Bank Profitability – Evidence from Vietnam

Number of pages: 21 Posted: 22 Aug 2014 Last Revised: 27 Mar 2017
Jonathan A. Batten and Võ Xuân Vinh
Monash University and University of Economics Ho Chi Minh City
Downloads 0 (142,069)

Abstract:

Vietnam bank, bank profitability

55.

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
Monash University, The Chinese University of Hong Kong (CUHK) - Department of Finance, The Hong Kong Polytechnic University and Central European University
Downloads 0 (522,690)
Citation 1

Abstract:

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

56.

Foreign Exchange Risk Management Practices and Products Used by Australian Firms

Journal of International Business Studies, Vol. 24, Issue 3, pp. 557-573, 1993
Number of pages: 17 Posted: 19 Apr 2011
Jonathan A. Batten, Robert Mellor and Victor Wan
Monash University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 0 (568,467)
Citation 11
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Abstract:

57.

The Determinates of Equity Portfolio Holdings

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

Abstract:

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
Monash University and Central European University

Abstract:

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
Monash University, Education Centre Australia and University of Alabama at Birmingham

Abstract:

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

60.

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
Monash University, Education Centre Australia and University of Technology, Sydney - School of Finance and Economics

Abstract:

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

61.

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
Monash University, University of Technology, Sydney - School of Finance and Economics and University of Manitoba - Department of Accounting and Finance

Abstract:

Credit spreads, absolute spreads, relative spreads, Eurobonds

62.

Why Japan Needs to Develop its Corporate Bond Market

International Journal of the Economics of Business, Vol. 10, No. 1, pp. 83-108, 2003
Posted: 08 Mar 2004
Jonathan A. Batten and Peter G. Szilagyi
Monash University and Central European University

Abstract:

Bond Markets, Financial System Reform, Japan

63.

Disintermediation and the Development of Bond Markets in Emerging Europe

International Journal of the Economics of Business, Vol. 10, No. 1, pp. 67-82, 2003
Posted: 17 Nov 2003
Jonathan A. Batten, Thomas Fetherston and Peter G. Szilagyi
Monash University, University of Alabama at Birmingham and Central European University

Abstract:

Disintermediation, Bond Markets, Emerging Markets

64.

What Drives the Japanese Yen Eurobond Term Structure of Japanese Bonds

Quarterly Review of Economics and Finance, Vol. 43, No. 3, pp. 518-541, 2003
Posted: 17 Jun 2003
Jonathan A. Batten, Francis Haeuck In and Sangbae Kim
Monash University, Monash University - Department of Accounting and Kyungpook National University - School of Business Administartion

Abstract:

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

65.

Scaling Relationships of Gaussian Processes

Economics Letters, Vol. 72, No. 3, pp. 291-296
Posted: 26 May 2003
Jonathan A. Batten and Craig Ellis
Monash University and Education Centre Australia

Abstract:

Scaling, Volatility, Currency returns

66.

Time Variation in the Credit Spreads on Australian Eurobonds

Pacific Basin Finance Journal, Vol. 11, No. 1, pp. 81-99, January 2003
Posted: 26 May 2003
Jonathan A. Batten and Warren P. Hogan
Monash University and University of Technology, Sydney - School of Finance and Economics

Abstract:

Credit spreads, Eurobonds, Australia

67.

A Perspective on Credit Derivatives

International Review of Financial Analysis, Vol. 11, No. 3, pp. 251-278, 2002
Posted: 06 May 2003
Jonathan A. Batten and Warren P. Hogan
Monash University and University of Technology, Sydney - School of Finance and Economics

Abstract:

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