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

SCHOLARLY PAPERS

72

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79

CROSSREF CITATIONS

30

Scholarly Papers (72)

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1.

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 1,803 (16,596)
Citation 4

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Gold, survey, review

2.

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 1,379 (24,985)
Citation 4

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Gold, volatility, intraday, GARCH

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 1,309 (26,924)
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 1,014 (38,920)
Citation 17

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

5.

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 979 (40,926)

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Gold, Silver, Technical analysis, Trading, High frequency

6.

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 951 (42,649)

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Long term dependence, volatility, gold silver spread, futures

7.

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 EDHEC Business School
Downloads 885 (47,064)
Citation 1

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Bond Markets, Financial System Reform, Japan

8.

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

Downloads 862 (48,767)

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 468 (105,308)

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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 394 (128,954)

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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 School of Economics and Business and EDHEC Business School
Downloads 756 (58,252)
Citation 2

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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 690 (65,705)

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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 630 (73,802)
Citation 2

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12.

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 618 (75,581)
Citation 4

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13.

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 598 (78,707)
Citation 2

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Credit spreads, bond ratings, spread prediction

14.

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 School of Economics and Business and EDHEC Business School
Downloads 590 (80,035)
Citation 1

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

15.

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 School of Economics and Business and EDHEC Business School
Downloads 580 (81,702)
Citation 1

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

16.

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 548 (87,734)
Citation 10

Abstract:

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Gold, Inflation, monetary policy

17.

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 EDHEC Business School
Downloads 505 (97,107)

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Arirang bonds, foreign bonds, bond market development

18.

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 482 (102,786)

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Vietnam bank, bank profitability

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 EDHEC Business School
Downloads 477 (104,067)
Citation 1

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Hurst exponent, Efficient market hypothesis

20.

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 466 (106,978)
Citation 6

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21.

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 439 (114,740)
Citation 3

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

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 EDHEC Business School
Downloads 332 (156,866)
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 EDHEC Business School
Downloads 299 (175,273)
Citation 2

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Markets, Financial Market Development, Foreign Bonds

24.

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 EDHEC Business School
Downloads 250 (210,109)
Citation 2

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Currency Internationalisation; Financial Market Development; Renminbi; SWIFT

25.

Time-Varying Energy and Stock Market Integration in Asia

Number of pages: 47 Posted: 02 May 2017 Last Revised: 24 Dec 2020
Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi and Niklas Wagner
RMIT University, University of Passau, EDHEC Business School and Passau University
Downloads 247 (212,617)

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

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 241 (217,731)

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

27.

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 239 (219,520)

Abstract:

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Bond Market, Thailand, Asia, currency, Capital Flow

28.

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 236 (222,270)
Citation 1

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29.

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 228 (229,774)

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

30.

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 EDHEC Business School
Downloads 226 (231,676)
Citation 2

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

31.

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, Gady Jacoby and Rose C. Liao
RMIT University, College of Management Academic Studies and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 209 (249,308)
Citation 2

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

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 EDHEC Business School
Downloads 183 (280,817)
Citation 1

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Bank Financing, Financial Market Development, International Banking, Japan

33.

Should Investors Buy Commodities?

Number of pages: 33 Posted: 27 Feb 2015
Jonathan A. Batten, Peter G. Szilagyi and Niklas Wagner
RMIT University, EDHEC Business School and Passau University
Downloads 179 (286,298)

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

34.

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 174 (293,509)
Citation 3

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

35.

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 EDHEC Business School
Downloads 174 (293,509)
Citation 1

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

36.

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, University of Passau, EDHEC Business School and Passau University
Downloads 169 (300,902)
Citation 1

Abstract:

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

37.

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 169 (300,902)

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38.

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, EDHEC Business School and City University of Hong Kong (CityU) - Department of Economics & Finance
Downloads 168 (302,406)

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

39.

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 164 (308,718)
Citation 5

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

40.

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 162 (311,976)
Citation 6

Abstract:

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Gold, Silver, Platinum, Palladium, integration

41.

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 150 (332,702)

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

42.

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 148 (336,347)

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

43.

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 147 (338,238)

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Credit Spreads, Eurobonds, Japan, Equilibrium Correction

44.

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 EDHEC Business School
Downloads 138 (355,455)

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

45.

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 124 (385,641)
Citation 4

Abstract:

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Integration; Information transmissions; Generalized VAR model; Steam coal

46.

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 EDHEC Business School
Downloads 121 (392,785)

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

47.

Are Analyst Recommendations Recommended?

Number of pages: 31 Posted: 23 Sep 2022 Last Revised: 24 Oct 2022
Jaeyong Lee, Jonathan A. Batten, Hyuna Ham and Doojin Ryu
Fount Inc., RMIT University, Fount Inc. and Sungkyunkwan University
Downloads 117 (402,422)

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Analyst recommendation, Momentum, Oil price, Recession, Trading strategy, Utility sector

48.

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, Gady Jacoby, Jonathan A. Batten and Rose C. Liao
College of Management Academic Studies, RMIT University and Rutgers University, Newark, School of Business-Newark, Department of Finance & Economics
Downloads 110 (420,940)

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

49.

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, University of Passau, EDHEC Business School and Passau University
Downloads 94 (469,015)

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

50.

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 84 (503,055)
Citation 3

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

51.

Share Repurchases − Riding the Wave of Uncertainty

Number of pages: 35 Posted: 28 Dec 2022
Nina Anolick, Jonathan A. Batten, Harald Kinateder and Niklas Wagner
Passau University, RMIT University, University of Passau and Passau University
Downloads 76 (533,617)

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share repurchases, uncertainty, monetary policy uncertainty, funding liquidity, neoclassical efficiency hypothesis

52.

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 76 (533,617)

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N50, Q31, G38, G12

53.

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 71 (554,229)

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

54.

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 EDHEC Business School
Downloads 46 (681,401)

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

55.

Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity

Abacus, Vol. 58, pp. 567-588, 2022
Number of pages: 1 Posted: 28 Mar 2022 Last Revised: 02 Sep 2022
Jonathan A. Batten, Harald Kinateder and Niklas Wagner
RMIT University, University of Passau and Passau University
Downloads 34 (763,057)

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Certainty equivalent return, Equity premium prediction, Historical average, Liquidity, Out-of-sample forecasts, Uncertainty

56.

Can Inflation Predict Energy Price Volatility?

Number of pages: 42 Posted: 15 Jun 2023
Jonathan A. Batten, Di Mo and Armin Pourkhanali
RMIT University, Royal Melbourne Institute of Technolog (RMIT University) and Royal Melbourne Institute of Technolog (RMIT University)
Downloads 26 (827,052)

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Energy market, Energy Volatility models, Portfolio management, MIDAS models

57.

Volatility Impacts on Global Banks: Insights from the GFC, COVID-19, and the Russia-Ukraine War

Journal of Economic Behavior and Organization, Vol. 215, 2023
Posted: 02 Oct 2023
Jonathan A. Batten, Sabri Boubaker, Harald Kinateder, Tonmoy Choudhury and Niklas Wagner
RMIT University, EM Normandie, University of Passau, Edith Cowan University and Passau University

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Banks, Financial institutions, GSIB, Implied volatility, Pandemics, Value-at-risk, War

58.

Volatility Impacts on the European Banking Sector: GFC and COVID-19

Annals of Operations Research (2022)
Posted: 23 Feb 2022
Jonathan A. Batten, Tonmoy Choudhury, Harald Kinateder and Niklas Wagner
RMIT University, Edith Cowan University, University of Passau and Passau University

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COVID-19, Swine Flu (H1N1), Zika virus, GFC, DCC-GARCH, Europe, Global systemically important banks, Implied volatility

59.

Hedging Stocks with Oil

Energy Economics, Vol. 93, 104422, 2021
Posted: 09 Mar 2021
Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi and Niklas Wagner
RMIT University, University of Passau, EDHEC Business School and Passau University

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Beta-hedge, Brent oil, Commodities, Economic policy uncertainty (EPU), Hedge ratio, International asset pricing, Market risk, Systemic risk, WTI oil, VIX

60.

Time for Gift Giving: Abnormal Share Repurchase Returns and Uncertainty

Journal of Corporate Finance, Vol. 66, 101787, 2021
Posted: 02 Dec 2020 Last Revised: 10 Dec 2020
Nina Anolick, Jonathan A. Batten, Harald Kinateder and Niklas Wagner
Passau University, RMIT University, University of Passau and Passau University

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Announcement Returns, Economic Policy Uncertainty, Financial Uncertainty, Liquidity Risk, Share Repurchases, Uncertainty

61.

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

Abstract:

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

62.

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

63.

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 EDHEC Business School

Abstract:

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F34, G18

64.

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

65.

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, Gady Jacoby and Gady Jacoby
RMIT University, University of Technology, Sydney - School of Finance and Economics and College of Management Academic Studies

Abstract:

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Credit spreads, absolute spreads, relative spreads, Eurobonds

66.

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

67.

Why Japan Needs to Develop its Corporate Bond Market

Posted: 08 Mar 2004
Jonathan A. Batten and Peter G. Szilagyi
RMIT University and EDHEC Business School

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Bond Markets, Financial System Reform, Japan

68.

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 EDHEC Business School

Abstract:

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Disintermediation, Bond Markets, Emerging Markets

69.

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

Abstract:

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

70.

Scaling Relationships of Gaussian Processes

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

Abstract:

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Scaling, Volatility, Currency returns

71.

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

Abstract:

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Credit spreads, Eurobonds, Australia

72.

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

Abstract:

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