Eliza Wu

The University of Sydney - Business School

Associate Professor

University of Sydney

Darlington

Sydney, NSW 2006

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

43

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6,824

CITATIONS
Rank 8,273

SSRN RANKINGS

Top 8,273

in Total Papers Citations

67

Scholarly Papers (43)

1.

A Ratings-Based Approach to Measuring Sovereign Risk

International Journal of Finance and Economics, 2008, vol. 13, no. 1, pp. 26-39
Number of pages: 26 Posted: 15 Feb 2007 Last Revised: 21 May 2015
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and The University of Sydney - Business School
Downloads 1,017 (20,791)
Citation 15

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Sovereign credit ratings, country risk, expected loss, sovereign debt, emerging markets

2.

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
The University of Sydney Business School, Institute of Global Finance, UNSW Business School and The University of Sydney - Business School
Downloads 609 (42,439)
Citation 45

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

3.

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
The University of Sydney Business School, Institute of Global Finance, UNSW Business School and The University of Sydney - Business School
Downloads 572 (46,121)
Citation 36

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

4.

Interpreting Sovereign Spreads

BIS Quarterly Review, March 2007
Number of pages: 13 Posted: 19 Jun 2012
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and The University of Sydney - Business School
Downloads 473 (58,660)
Citation 20

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5.

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 444 (63,369)
Citation 23

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

6.

What Moves Stock Prices? The Role of News, Noise, and Information

Number of pages: 64 Posted: 29 Jan 2018 Last Revised: 10 Mar 2019
University of Utah - David Eccles School of Business, University of Technology Sydney (UTS) - UTS Business School, University of Technology Sydney (UTS) and The University of Sydney - Business School
Downloads 422 (67,370)
Citation 2

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variance decomposition, firm-specific information, market-wide information, stock return synchronicity

7.

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
The University of Sydney Business School, Trinity Business School, Trinity College Dublin and The University of Sydney - Business School
Downloads 314 (94,751)
Citation 5

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EGARCH, bond markets, EMU

8.

The Impact of Bank Liquidity on Bank Risk Taking: Do High Capital Buffers and Big Banks Help or Hinder?

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 45 Posted: 19 Aug 2014 Last Revised: 09 Jun 2019
University of Technology Sydney (UTS) - School of Finance and Economics, University of Technology Sydney (UTS) - School of Finance and Economics and The University of Sydney - Business School
Downloads 226 (133,584)
Citation 7

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Liquidity, bank risk, asset risk, liquidity risk, capital buffer, bank size

9.

Are All Insiders on the Inside? Evidence from the Initiation of CDS Trading and Short Selling in the Financial Sector

Journal of International Financial Markets, Institutions and Money, Vol. 54, 114-129, 2018
Number of pages: 35 Posted: 20 Jan 2017 Last Revised: 28 May 2019
University of Sydney Business School, The University of Western Australia and The University of Sydney - Business School
Downloads 196 (152,897)
Citation 4

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

Exchange Trading Rules, Governance, and Trading Location of Cross-Listed Stocks

Number of pages: 50 Posted: 07 May 2013 Last Revised: 02 Jul 2014
Florida Atlantic University, University of Edinburgh - Business School and The University of Sydney - Business School
Downloads 118 (234,273)
Citation 1

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trading rules, governance, cross-listing, law and finance

Exchange Trading Rules, Governance, and Trading Location of Cross-Listed Stocks

European Journal of Finance, Forthcoming
Number of pages: 50 Posted: 07 Aug 2015
Florida Atlantic University, University of Edinburgh - Business School and The University of Sydney - Business School
Downloads 49 (393,626)
Citation 1

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Exchange Trading rules, Cross-listing, Law and finance

11.

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 147 (196,372)
Citation 4

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

12.

Global Market Integration from Stock Analyst Forecasts

22nd Australasian Finance and Banking Conference 2009
Number of pages: 1 Posted: 31 Aug 2009
Bohui Zhang and Eliza Wu
The Chinese University of Hong Kong, Shenzhen and The University of Sydney - Business School
Downloads 136 (209,085)

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financial market integration, stock analysts, cashflows, discount rates, R2

13.

The Value of Home-Country Governance for Cross-Listed Stocks

European Journal of Finance, Forthcoming
Number of pages: 42 Posted: 01 Nov 2010 Last Revised: 30 Jul 2014
Florida Atlantic University, University of Edinburgh - Business School and The University of Sydney - Business School
Downloads 135 (210,330)
Citation 1

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cross-listing, governance, law and finance

14.

What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market

HKIMR Working Paper No.07/2014
Number of pages: 32 Posted: 11 Apr 2014
Cass Business School, City, University of London, Bank for International Settlements (BIS) - Monetary and Economic Department and The University of Sydney - Business School
Downloads 127 (220,672)
Citation 2

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Systemic Risk, Credit Event, Sovereign Risk, Contagion, Spillover, Credit Default Swap, Debt Crisis, Subprime Crisis, Global Factor

15.

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
Fordham University - Gabelli School of Business, The University of Sydney - Business School, University of Waikato and The University of Sydney Business School
Downloads 126 (222,033)

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

16.

Stock and Currency Market Linkages: New Evidence from Realized Spillovers in Higher Moments

International Review of Economics & Finance, Vol. 42, 167-185, 2016
Number of pages: 40 Posted: 25 Aug 2011 Last Revised: 05 May 2016
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 126 (222,033)
Citation 1

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

17.

Shareholder Litigation Rights and Corporate Acquisitions

Number of pages: 41 Posted: 12 Dec 2017 Last Revised: 02 Aug 2018
Chung-Ang University - College of Business & Economics, University of Texas Rio Grande Valley (UTRGV) (Formerly University of Texas-Pan American) - College of Business and Entrepreneurship, University of Texas Rio Grande Valley (UTRGV) (Formerly University of Texas-Pan American), University of Sydney Business School and The University of Sydney - Business School
Downloads 109 (246,897)

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Shareholder litigation, corporate governance, corporate acquisitions, earnings management

18.

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 101 (260,248)

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

19.

The Value of Bank Capital Buffers in Maintaining Financial System Resilience

CIFR Paper No. 089/2016
Number of pages: 46 Posted: 08 Feb 2016 Last Revised: 30 Aug 2016
University of Technology Sydney (UTS), UTS Business School, University of Technology Sydney (UTS) - School of Finance and Economics and The University of Sydney - Business School
Downloads 100 (261,980)

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Capital Buffer, Financial System Inquiry, Model Risk, Systemic Risk, System Resilience

20.

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 89 (282,400)

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Do Sovereign Re-Ratings Destabilize Equity Markets During Financial Crises?: New Evidence From Higher Return Moments

Journal of Business Finance & Accounting, Forthcoming
Number of pages: 34 Posted: 07 Dec 2012 Last Revised: 21 May 2015
Monash University, University of Queensland, The University of Western Australia and The University of Sydney - Business School
Downloads 87 (288,899)

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

Do Sovereign Re‐Ratings Destabilize Equity Markets During Financial Crises? New Evidence from Higher Return Moments

Journal of Business Finance & Accounting, Vol. 42, Issue 5-6, pp. 777-799, 2015
Number of pages: 23 Posted: 17 Jul 2015
Monash University, University of Queensland, The University of Western Australia and The University of Sydney - Business School
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Citation 2
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sovereign ratings, realized volatility, realized skewness, realized kurtosis, stock market impact

22.

Analyst Coverage and the Quality of Corporate Investment Decisions

Journal of Corporate Finance, Vol. 51, 164-181, 2018
Number of pages: 51 Posted: 16 Jul 2018 Last Revised: 28 May 2019
Thomas To, Marco A. Navone and Eliza Wu
University of Sydney Business School, Finance Discipline Group - UTS Business School and The University of Sydney - Business School
Downloads 86 (290,671)

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Equity Analysts, Productivity, Information Asymmetry, Corporate Governance, Corporate Investment

23.

Fear or Fundamentals? Heterogeneous Beliefs in the European Sovereign CDS Market

Number of pages: 46 Posted: 16 Nov 2013 Last Revised: 14 Jul 2015
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Norges Bank, University of Technology Sydney (UTS) - Finance Discipline Group, Business School and The University of Sydney - Business School
Downloads 84 (292,754)
Citation 9

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sovereign credit risk, European debt crisis, heterogeneous beliefs, momentum, CDS pricing

24.

The Value of Home-Country Governance for Cross-Listed Stocks

European Journal of Finance, Forthcoming
Number of pages: 43 Posted: 30 Mar 2014
Florida Atlantic University, University of Edinburgh - Business School and The University of Sydney - Business School
Downloads 82 (297,088)
Citation 3

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governance, cross-listing, firm value

25.

Do Stock Exchange Trading Rules Influence the Trading Location of Cross-Listed Stocks?

Number of pages: 47 Posted: 14 Mar 2011 Last Revised: 24 May 2013
Douglas J. Cumming and Eliza Wu
Florida Atlantic University and The University of Sydney - Business School
Downloads 80 (301,447)
Citation 3

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trading rules, governance, cross-listing, law and finance

26.

How does Trading Volume Affect Financial Return Distributions?

International Review of Financial Analysis, Vol. 35, 2014
Number of pages: 41 Posted: 12 Jun 2012 Last Revised: 21 May 2015
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 79 (303,718)
Citation 1

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

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
Goldman Sachs, Australia, The University of Sydney Business School and The University of Sydney - Business School
Downloads 78 (306,012)
Citation 6

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

28.

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
Fordham University - Gabelli School of Business, The University of Sydney Business School and The University of Sydney - Business School
Downloads 73 (317,979)

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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

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
Fordham University - Gabelli School of Business, The University of Sydney Business School and The University of Sydney - Business School
Downloads 55 (373,232)
Citation 14

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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
Fordham University - Gabelli School of Business, The University of Sydney Business School and The University of Sydney - Business School
Downloads 18 (545,922)
Citation 1

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E44, F34, G21, H63

30.

Can Momentum Factors Be Used to Enhance Accounting Information Based Fundamental Analysis in Explaining Stock Price Movements?

Number of pages: 40 Posted: 06 Mar 2014
KiHoon Jimmy Hong and Eliza Wu
Hongik University and The University of Sydney - Business School
Downloads 71 (322,859)
Citation 1

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Stock Returns, Fundamental Analysis, Momentum, State Space Model

31.

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 71 (322,859)

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

32.

The Effects of Sovereign Rating Drifts on Financial Return Distributions: Evidence from the European Union

International Review of Financial Analysis, Vol. 34, 5-20, 2014, 25th Australasian Finance and Banking Conference 2012
Number of pages: 43 Posted: 28 Aug 2012 Last Revised: 05 May 2016
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 69 (327,891)
Citation 2

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

33.

Immunity and Infection: Emerging and Developed Market Sovereign Spreads Over the Crisis

FIRN Research Paper No. 2630453
Number of pages: 43 Posted: 14 Jul 2015
Colegio de Estudios Superiores de Administracion, University of Sydney Business School and The University of Sydney - Business School
Downloads 60 (352,406)

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Sovereign bonds, emerging markets, propensity score matching, financial contagion

34.

The Anatomy of Sovereign Credit Contagion

Number of pages: 44 Posted: 14 Jul 2015
Cass Business School, City, University of London, Bank for International Settlements (BIS) - Monetary and Economic Department and The University of Sydney - Business School
Downloads 60 (352,406)

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sovereign risk, credit event, contagion, spillover, credit default swap, debt crisis, global factor

35.

Foreign Ties that Bind: Cross-Border Firm Expansions and Fund Portfolio Allocation Around the World

Number of pages: 63 Posted: 27 Jul 2018 Last Revised: 06 Jun 2019
Institute of Global Finance, UNSW Business School, Australian School of Business - University of New South Wales, Asian Development Bank and The University of Sydney - Business School
Downloads 57 (361,343)

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36.

Who exacerbates the extreme swings in the Chinese stock market?

28th Australasian Finance and Banking Conference
Number of pages: 37 Posted: 21 Aug 2015 Last Revised: 08 Sep 2017
Shu Tian, Eliza Wu and Qiongbing Wu
Asian Development Bank, The University of Sydney - Business School and Western Sydney University
Downloads 37 (431,338)

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institutional ownership, institutional trade, abnormal returns, extreme market swing

37.

Will Basel III Liquidity Measures Affect Banks' Funding Costs and Financial Performance?: Evidence from U.S. Commercial Banks

Number of pages: 46 Posted: 20 Aug 2015 Last Revised: 06 Mar 2018
University of Technology Sydney (UTS) - School of Finance and Economics, University of Technology Sydney (UTS) - School of Finance and Economics and The University of Sydney - Business School
Downloads 28 (471,410)

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Liquidity, bank funding costs, capital, Basel III

38.

Internet Appendix for 'Foreign Ties that Bind: Cross-Border Firm Expansions and Fund Portfolio Allocation Around the World'

Number of pages: 18 Posted: 06 Aug 2018 Last Revised: 06 Jun 2019
Institute of Global Finance, UNSW Business School, Australian School of Business - University of New South Wales, Asian Development Bank and The University of Sydney - Business School
Downloads 13 (556,281)

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39.

The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion

Journal of Fixed Income, Vol. Spring, 2008, https://doi.org/10.3905/jfi.2008.705542
Posted: 22 May 2019
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) and The University of Sydney - Business School

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sovereign risk, default risk premia, risk aversion, credit default swaps, emerging market debt

40.

Emerging Stars and Developed Neighbors: The Effects of Development Imbalance and Political Shocks on Mutual Fund Investments in China

Financial Management, 2012
Posted: 29 Aug 2012
Shu Lin, Shu Tian and Eliza Wu
Nanjing University - School of Business, Department of Accounting, Asian Development Bank and The University of Sydney - Business School

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41.

The Underperformance of the Growth Enterprise Market in Hong Kong

Research in International Business and Finance, Vol. 21, No. 3, pp. 428-446, September 2007
Posted: 21 Feb 2009
The Hong Kong University of Science & Technology, Institute of Global Finance, UNSW Business School, affiliation not provided to SSRN and The University of Sydney - Business School

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Initial public offerings, Technology, Emerging stock market, Equity performance

42.

Time-Varying Market Integration and Stock and Bond Return Concordance in Emerging Markets

Journal of Banking and Finance, Vol. 33, No. 6, pp. 1014-1021, 2009
Posted: 20 Nov 2008 Last Revised: 15 Jan 2011
Valentyn Panchenko and Eliza Wu
UNSW Business School, Economics, University of New South Wales and The University of Sydney - Business School

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Stock-bond comovement, Emerging market integration, Financial liberalization, Investibility

43.

Effect of Market Comovements on International Mutual Fund Managers' Portfolio Holdings

Posted: 24 Aug 2006
Jerry T. Parwada and Eliza Wu
UNSW Australia Business School, School of Banking and Finance and The University of Sydney - Business School

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Stock market comovement, international portfolio holdings, diversification