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Suk-Joong Kim

The University of Sydney Business School

Professor of International Finance and Banking

Cnr. of Codrington and Rose Streets

Sydney, NSW 2006

Australia

  • The University of Sydney Business School

    • Email
    • Tel: +61 2 9114 0940
    • Fax: +61 2 9351 6461
SCHOLARLY PAPERS

37

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CITATIONS
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139

Scholarly Papers (37)

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1.

The Spillover Effects of Target Interest Rate News from the U.S. Fed and the European Central Bank on the Asia-Pacific Stock Markets

Downloads 1,131 ( 14,409)
Citation 1

The Spillover Effects of Target Interest Rate News from the U.S. Fed and the European Central Bank on the Asia-Pacific Stock Markets

Journal of International Financial Markets, Institutions and Money, Vol 19, No. 3, pp. 415-431.
Number of pages: 30 Posted: 10 Dec 2008 Last Revised: 03 Oct 2013
Suk-Joong Kim and Tho Nguyen
The University of Sydney Business School and Australian School of Business
Downloads 654 (31,555)
Citation 1

Abstract:

Target interest rate news, Spillover effects, U.S. Fed, ECB

The Spillover Effects of Target Interest Rate News from the U.S. Fed and the European Central Bank on the Asia-Pacific Stock Markets

Number of pages: 48 Posted: 25 Sep 2009 Last Revised: 30 Sep 2009
Suk-Joong Kim and Tho Nguyen
The University of Sydney Business School and Australian School of Business
Downloads 477 (47,759)
Citation 1

Abstract:

Target interest rate news, Spillover effects, U.S. Fed, ECB

2.

The Reaction of the Australian Financial Markets to the Interest Rate News from the Reserve Bank of Australia and the US Fed

Research in International Business and Finance, Vol. 22, No. 3, pp. 378-395
Number of pages: 34 Posted: 25 Feb 2008 Last Revised: 11 Dec 2008
Suk-Joong Kim and Tho Nguyen
The University of Sydney Business School and Australian School of Business
Downloads 811 (23,524)
Citation 2

Abstract:

Monetary surprises, Target interest rate news, Spillover effects, RBA, U.S. Fed.

3.

Dynamic Stock Market Integration Driven by the European Monetary Union: An Empirical Analysis

Journal of Banking and Finance, Vol. 29, No. 10, pp. 2475 - 2502, 2005
Number of pages: 54 Posted: 23 Feb 2005
Suk-Joong Kim, Fariborz Moshirian and Eliza Wu
The University of Sydney Business School, Institute of Global Finance, UNSW Business School and The University of Sydney - Business School
Downloads 550 (37,285)
Citation 23

Abstract:

Euro, volatility, currency unions, stock market linkages, spillover effects, time-varying financial market integration

4.

Evolution of International Stock and Bond Market Integration: Influence of the European Monetary Union

Journal of Banking and Finance, Vol. 30, No. 5, pp. 1507-1534, 2006
Number of pages: 37 Posted: 21 Feb 2005
Suk-Joong Kim, Fariborz Moshirian and Eliza Wu
The University of Sydney Business School, Institute of Global Finance, UNSW Business School and The University of Sydney - Business School
Downloads 521 (39,529)
Citation 17

Abstract:

Euro, volatility, currency unions, stock-bond correlations, time-varying financial market integration, flight to quality, optimal currency area

5.

Sovereign Rating Changes - Do They Provide New Information for Stock Markets?

Economic Systems, Vol. 32/2, pp. 142-166, 2008
Number of pages: 41 Posted: 27 Sep 2005 Last Revised: 23 Jun 2008
Vincent J. Hooper, Tim P. Hume and Suk-Joong Kim
affiliation not provided to SSRN, UNSW Australia Business School, School of Banking and Finance and The University of Sydney Business School
Downloads 495 (46,102)
Citation 8

Abstract:

Sovereign ratings, ratings outlook, country risk, stock markets

6.

Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets

Journal of Multinational Financial Management, Vol. 14, No. 4, pp. 217-232, 2004
Number of pages: 27 Posted: 21 Feb 2005
Suk-Joong Kim, Michael D. McKenzie and Robert W. Faff
The University of Sydney Business School, The University of Sydney - Discipline of Finance and University of Queensland
Downloads 440 (44,421)
Citation 11

Abstract:

Macroeconomic News, Expectations, Financial Markets, GARCH

7.

Sovereign Credit Ratings, Capital Flows and Financial Sector Development in Emerging Markets

Emerging Markets Review, Vol. 9, No. 1, pp. 17-39, 2008
Number of pages: 34 Posted: 31 Jul 2006
Suk-Joong Kim and Eliza Wu
The University of Sydney Business School and The University of Sydney - Business School
Downloads 401 (59,896)
Citation 8

Abstract:

Emerging markets, credit ratings, transparency, financial development, capital flows and sovereign risk

8.

The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia

Journal of International Money and Finance, Vol. 21, No. 4, August 2002
Number of pages: 43 Posted: 09 Jan 2002
Suk-Joong Kim and Jeffrey Sheen
The University of Sydney Business School and Macquarie University
Downloads 348 (65,822)
Citation 17

Abstract:

foreign exchange intervention, exchange rate volatility, intervention profitability

9.

Exchange Rate Volatility and its Impact on the Transaction Costs of Covered Interest Rate Parity

Japan and the World Economy, Vol. 16, pp.503-525, 2004
Number of pages: 36 Posted: 20 Oct 2003
Ramaprasad Bhar, Toan M. Pham and Suk-Joong Kim
UNSW Australia Business School, School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance and The University of Sydney Business School
Downloads 316 (73,418)
Citation 4

Abstract:

Deviations from CIP, Markov regime shifting probabilities

10.

The Determinants of Capital Inflows: Does Opacity of Recipient Country Explain the Flows?

Economic Systems, Vol. 31, No. 1, 2007
Number of pages: 26 Posted: 01 May 2005
Suk-Joong Kim and Vincent J. Hooper
The University of Sydney Business School and affiliation not provided to SSRN
Downloads 310 (80,610)
Citation 4

Abstract:

Opacity, FDI, Portfolio flows, Banking flows

11.

Dynamics of Bond Market Integration between Existing and Accession EU Countries

Journal of International Financial Markets, Institutions and Money, Vol. 16, No. 1, pp. 41-46, 2005
Number of pages: 27 Posted: 31 May 2004 Last Revised: 21 May 2015
Suk-Joong Kim, Brian M. Lucey and Eliza Wu
The University of Sydney Business School, Trinity Business School, Trinity College Dublin and The University of Sydney - Business School
Downloads 299 (80,907)
Citation 6

Abstract:

EGARCH, bond markets, EMU

12.

Information Leadership in the Advanced Asia-Pacific Stock Markets: Return, Volatility and Volume Information Spillovers from the U.S. and Japan

Journal of the Japanese and International Economies, Vol. 19, No 3, pp. 338-365, 2005
Number of pages: 33 Posted: 29 Apr 2004
Suk-Joong Kim
The University of Sydney Business School
Downloads 263 (94,106)
Citation 12

Abstract:

Information spillover, Asia-Pacific stock markets, trade volume

13.

Conditional Autocorrelation and Stock Market Integration in the Asia-Pacific

International Finance Review, Volume 7, 2007, Pages 63-94
Number of pages: 43 Posted: 12 Nov 2006 Last Revised: 03 Oct 2013
Suk-Joong Kim and Michael D. McKenzie
The University of Sydney Business School and The University of Sydney - Discipline of Finance
Downloads 236 (103,334)

Abstract:

market integration, conditional autocorrelation, Markov models, stock markets

14.

Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume

Journal of Banking and Finance, Vol. 30, No. 11, pp. 3191-3214, 2006
Number of pages: 31 Posted: 01 Apr 2005
Suk-Joong Kim and Jeffrey Sheen
The University of Sydney Business School and Macquarie University
Downloads 203 (117,727)
Citation 9

Abstract:

Foreign exchange intervention, bank of Japan, exchange rate volatility, trade volume

15.

The Role of Public Information in Japan: Effects of Scheduled Macroeconomic Announcements on the Foreign Exchange, Debt, and Stock Markets

Number of pages: 37 Posted: 01 May 2005
Suk-Joong Kim and Lyndsen Kow
The University of Sydney Business School and UNSW Business School
Downloads 199 (122,197)

Abstract:

Announcement News, Japanese Financial Markets

16.

Evidence of an Asymmetry in the Relationship between Volatility and Autocorrelation

International Review of Financial Analysis, Vol. 16, No. 1, pp. 22-40, 2007
Number of pages: 31 Posted: 10 Feb 2005 Last Revised: 12 Oct 2009
Michael D. McKenzie and Suk-Joong Kim
The University of Sydney - Discipline of Finance and The University of Sydney Business School
Downloads 194 (123,283)
Citation 1

Abstract:

Feedback trading, conditional autocorrelations, Markov models

17.

The Spillover Effects of U.S. and Japanese Public Information News in Advanced Asia-Pacific Stock Markets

Pacific-Basin Finance Journal, Vol. 11, No. 5, pp. 611-630, 2003
Number of pages: 27 Posted: 25 Mar 2004
Suk-Joong Kim
The University of Sydney Business School
Downloads 192 (126,802)
Citation 6

Abstract:

Information spillovers, Announcement news

18.

Is Foreign Exchange Intervention by Central Banks Bad News for Debt Markets?: A Case of Reserve Bank of Australia's Interventions 1986-2003

Journal of International Financial Markets, Institutions and Money, Vol. 16, No. 5, pp. 446-467, 2006
Number of pages: 33 Posted: 01 May 2005
Suk-Joong Kim and Cyril Pham
The University of Sydney Business School and The University of New South Wales
Downloads 180 (132,907)
Citation 3

Abstract:

Foreign exchange intervention, GARCH, USD/AUD, interest rate futures

19.

Intraday Evidence of Efficacy of 1991-2004 Yen Intervention By the Bank of Japan

Journal of International Financial Markets, Institutions and Money, Vol. 17, pp. 341-360, 2007
Number of pages: 27 Posted: 31 Aug 2005
Suk-Joong Kim
The University of Sydney Business School
Downloads 155 (158,387)
Citation 5

Abstract:

Bank of Japan, Yen intervention, Intraday exchange rate volatility

20.

What Drives Yen Interventions in Tokyo?: Do Off-Shore Foreign Exchange Markets Matter More than Tokyo Market?

Pacific Basin Finance Journal, Vol. 17, pp. 175-188, 2009
Number of pages: 27 Posted: 15 Apr 2007 Last Revised: 09 Feb 2010
Yosuke Sandy Hall and Suk-Joong Kim
University of New South Wales (UNSW) and The University of Sydney Business School
Downloads 130 (172,385)

Abstract:

Yen intervention, Bank of Japan, Intervention reaction function

21.

International Bank Flows to Emerging Markets: Influence of Sovereign Credit Ratings and Their Regional Spillover Effects

Journal of Financial Research, 34 (2), pp. 331-364
Number of pages: 46 Posted: 02 May 2010 Last Revised: 03 Oct 2013
Suk-Joong Kim and Eliza Wu
The University of Sydney Business School and The University of Sydney - Business School
Downloads 127 (173,344)

Abstract:

Emerging Markets, Credit Ratings, Ratings Spillover, International Banking, Sovereign Risk

22.

Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from Microstructural Analyses

Paris December 2010 Finance Meeting EUROFIDAI - AFFI, Journal of International Financial Markets, Institutions and Money, Vol. 21, No. 2, 2011
Number of pages: 34 Posted: 21 Oct 2010 Last Revised: 03 Oct 2013
Suk-Joong Kim and Peter Kjeld Andersen
The University of Sydney Business School and UNSW Australia Business School, School of Banking and Finance
Downloads 102 (194,371)

Abstract:

RBA Intervention, Microstructure

23.

Secrecy of Bank of Japan’s Yen Intervention: Evidence of Efficacy from Intra-Daily Data

Journal of Japanese and International Economies, Vol. 24, pp. 369–394, 2010,
Number of pages: 34 Posted: 15 Feb 2010 Last Revised: 14 Sep 2010
Suk-Joong Kim and Ahn Tu Le
The University of Sydney Business School and University of New South Wales (UNSW)
Downloads 75 (253,360)
Citation 1

Abstract:

24.

The Effects of Ratings-Contingent Regulation on International Bank Lending Behavior: Evidence from the Basel 2 Accord

Downloads 61 (300,973)

The Effects of Ratings-Contingent Regulation on International Bank Lending Behavior: Evidence from the Basel 2 Accord

Journal of Banking and Finance, Forthcoming, Bank of Finland Research Discussion Paper No. 25/2014
Number of pages: 36 Posted: 22 Oct 2014 Last Revised: 05 May 2015
Iftekhar Hasan, Suk-Joong Kim and Eliza Wu
Gabelli School of Business, Fordham University, The University of Sydney Business School and The University of Sydney - Business School
Downloads 51 (333,418)

Abstract:

cross-border banking, sovereign credit ratings, Basel 2, rating-contingent financial regulation

The Effects of Ratings-Contingent Regulation on International Bank Lending Behavior: Evidence from the Basel 2 Accord

Bank of Finland Research Discussion Paper No. 25/2014, Gabelli School of Business, Fordham University Research Paper No. 2770430
Number of pages: 36 Posted: 26 Apr 2016
Iftekhar Hasan, Suk-Joong Kim and Eliza Wu
Gabelli School of Business, Fordham University, The University of Sydney Business School and The University of Sydney - Business School
Downloads 10 (522,610)

Abstract:

E44, F34, G21, H63

25.

Time Varying Volatility Indexes and Their Determinants: Evidence from Developed and Emerging Stock Markets

Number of pages: 43 Posted: 16 Sep 2014 Last Revised: 26 Sep 2014
Nalin Prasad, Andrew R. Grant and Suk-Joong Kim
University of Sydney Business School, University of Sydney - Discipline of Finance, Faculty of Economics and Business and The University of Sydney Business School
Downloads 61 (211,307)

Abstract:

Stock market spillovers, Realized Volatility, Spillover index, VAR, Volatility transmission

26.

The Effects of Ratings-Contingent Regulation on International Bank Lending Behaviour: Evidence from the Basel 2 Accord

Journal of Banking and Finance, Forthcoming, FIRN Research Paper No. 2548334
Number of pages: 32 Posted: 12 Jan 2015 Last Revised: 06 May 2015
Iftekhar Hasan, Suk-Joong Kim and Eliza Wu
Gabelli School of Business, Fordham University, The University of Sydney Business School and The University of Sydney - Business School
Downloads 47 (289,081)

Abstract:

cross-border banking, sovereign credit ratings, Basel 2, rating-contingent financial regulation

27.

Do Sovereign Credit Ratings Influence Regional Stock and Bond Market Interdependencies in Emerging Countries?

Journal of International Financial Markets, Institutions and Money, Vol. 22, No. 4, 2012
Number of pages: 35 Posted: 04 Oct 2013
Rachel Christopher, Suk-Joong Kim and Eliza Wu
Goldman Sachs, Australia, The University of Sydney Business School and The University of Sydney - Business School
Downloads 45 (289,081)

Abstract:

Emerging markets, financial market linkages, sovereign ratings, stocks, bonds

28.

Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation

Journal of Futures Market, Vol. 36:11, pp. 1076-1107 (2017)
Number of pages: 43 Posted: 25 Sep 2014 Last Revised: 24 Apr 2017
Suk-Joong Kim
The University of Sydney Business School
Downloads 40 (313,930)

Abstract:

currency carry trade, Markov regime shifting, macroeconomic news, Order flows

29.

The Role of Macroeconomic News in Sovereign CDS Markets: Domestic and Spillover News Effects from the U.S., the Eurozone and China

Journal of Financial Stability 18 (2015) 208-224
Number of pages: 40 Posted: 05 May 2015 Last Revised: 24 May 2015
Suk-Joong Kim, Eliza Wu and Leith Salem
The University of Sydney Business School, The University of Sydney - Business School and The University of Sydney - Discipline of Finance
Downloads 39 (255,296)

Abstract:

Sovereign credit default swap spreads, Sovereign risk, Macroeconomic news spillovers

30.

The Impact of Domestic and International Monetary Policy News on U.S. and German Bank Stocks

International Finance Review, 14, 177-212, 2013
Number of pages: 41 Posted: 04 Oct 2013
Suk-Joong Kim, Linda Lee and Eliza Wu
The University of Sydney Business School, UNSW Australia Business School, School of Banking and Finance and The University of Sydney - Business School
Downloads 39 (296,045)

Abstract:

Federal Reserve, European Central Bank, banking, news spillovers, volatility

31.

Australian Dollar Carry Trades: Time Varying Probabilities and Their Determinants

International Review of Financial Analysis 40 (2015) 64-75
Number of pages: 33 Posted: 25 Sep 2014 Last Revised: 05 Jul 2017
Suk-Joong Kim
The University of Sydney Business School
Downloads 35 (334,097)

Abstract:

AUD carry trade, Regime shifting, News, Order flows, Speculative positions

32.

The Role of Informational Arrival for the Australian Dollar Trading Volume and Volatility

Investment Management and Financial Innovations, Volume 11, Issue 4, pp. 4-24, 2014
Number of pages: 37 Posted: 04 Oct 2013 Last Revised: 05 May 2015
Suk-Joong Kim, Michael D. McKenzie and Amy Shi
The University of Sydney Business School, The University of Sydney - Discipline of Finance and Deutsche Bank, Australia
Downloads 28 (340,019)

Abstract:

News, Australian Dollar, Foreign Exchange, Market Microstructure

33.

The Efficiency of the Information Processing in the Australian Dollar Market: Price Discovery Following Scheduled and Unscheduled News

International Review of Financial Analysis, 32 (2014), 159-178.
Number of pages: 45 Posted: 27 Jan 2014 Last Revised: 15 Sep 2014
Lawrence Daniel, Suk-Joong Kim and Michael D. McKenzie
UNSW Australia Business School, School of Banking and Finance, The University of Sydney Business School and The University of Sydney - Discipline of Finance
Downloads 23 (362,586)

Abstract:

Information arrival; Macroeconomic news; Australian Dollar; Order flows; Realized volatility; Trade Volume, Foreign Exchange

34.

Do Sovereign Credit Ratings Matter for Foreign Direct Investments?

Number of pages: 39 Posted: 07 Jul 2017 Last Revised: 07 Aug 2017
Peilin Cai, Quan Gan and Suk-Joong Kim
The University of Sydney, Business School, Discipline of Finance, Students, University of Sydney Business School and The University of Sydney Business School
Downloads 0 (475,315)

Abstract:

FDI, sovereign credit rating, regional effect

35.

Foreign Direct Investments from Emerging Markets: The Push-Pull Effects of Sovereign Credit Ratings

Number of pages: 50 Posted: 25 Apr 2017 Last Revised: 06 Jul 2017
Peilin Cai, Suk-Joong Kim and Eliza Wu
The University of Sydney, Business School, Discipline of Finance, Students, The University of Sydney Business School and The University of Sydney - Business School
Downloads 0 (384,400)

Abstract:

36.

The Real Impact of Basel Ratings-Based Capital Rules on the Finance-Growth Nexus

FIRN Research Paper No. 2737912
Number of pages: 41 Posted: 26 Feb 2016
Iftekhar Hasan, Eliza Wu, Gazi Hassan and Suk-Joong Kim
Gabelli School of Business, Fordham University, The University of Sydney - Business School, University of Waikato and The University of Sydney Business School
Downloads 0 (205,872)

Abstract:

finance-growth nexus, cross-border banking, sovereign credit ratings, Basel 2, ratings-based capital regulation

37.

Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation

Journal of Futures Market, Vol. 36:11, pp. 1076-1107 (2017)
Number of pages: 45 Posted: 25 Sep 2014
Suk-Joong Kim
The University of Sydney Business School
Downloads 0 (551,212)

Abstract:

currency carry trade, Markov regime shifting, macroeconomic news, Order flows

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