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

Centre for International Finance and Regulation (CIFR)

Level 7, UNSW CBD Campus

1 O'Connell Street

Sydney, NSW 2000

Australia

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 5,266

SSRN RANKINGS

Top 5,266

in Total Papers Downloads

6,553

CITATIONS
Rank 5,575

SSRN RANKINGS

Top 5,575

in Total Papers Citations

92

Scholarly Papers (38)

1.

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

Journal of Fixed Income, Vol. Spring, 2008
Number of pages: 31 Posted: 02 Mar 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 954 (14,331)
Citation 18

Abstract:

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

2.

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 921 (17,932)
Citation 3

Abstract:

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

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
The University of Sydney Business School, Institute of Global Finance, UNSW Business School and The University of Sydney - Business School
Downloads 550 (36,467)
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
The University of Sydney Business School, Institute of Global Finance, UNSW Business School and The University of Sydney - Business School
Downloads 521 (38,744)
Citation 17

Abstract:

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

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 395 (59,581)
Citation 8

Abstract:

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

6.

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 373 (54,022)
Citation 11

Abstract:

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 299 (79,157)
Citation 6

Abstract:

EGARCH, bond markets, EMU

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

Number of pages: 50 Posted: 07 May 2013 Last Revised: 02 Jul 2014
York University - Schulich School of Business, University of Edinburgh - Business School and The University of Sydney - Business School
Downloads 108 (209,437)
Citation 2

Abstract:

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
York University - Schulich School of Business, University of Edinburgh - Business School and The University of Sydney - Business School
Downloads 40 (362,657)
Citation 2

Abstract:

Exchange Trading rules, Cross-listing, Law and finance

9.

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 (171,795)

Abstract:

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

10.

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
University of New South Wales (UNSW) - School of Banking and Finance and The University of Sydney - Business School
Downloads 124 (181,189)

Abstract:

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

11.

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
York University - Schulich School of Business, University of Edinburgh - Business School and The University of Sydney - Business School
Downloads 123 (189,168)
Citation 1

Abstract:

cross-listing, governance, law and finance

12.

Economic Integration Breeds Foreign Investment: Evidence from the Portfolio Allocation of Investment Funds around the World

2017 Financial Intermediation Research Society (FIRS) Conference
Number of pages: 58 Posted: 18 Mar 2011 Last Revised: 24 Mar 2017
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 105 (197,756)

Abstract:

Integration, foreign investments, investment biases

13.

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
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 92 (196,498)

Abstract:

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

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, University of Western Australia and The University of Sydney - Business School
Downloads 83 (250,449)

Abstract:

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

Do Sovereign Reā€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, University of Western Australia and The University of Sydney - Business School
Downloads 0

Abstract:

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

15.

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 81 (211,224)

Abstract:

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

16.

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) - School of Finance and Economics and The University of Sydney - Business School
Downloads 71 (272,191)

Abstract:

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

17.

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
York University - Schulich School of Business and The University of Sydney - Business School
Downloads 71 (272,191)
Citation 2

Abstract:

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

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
Gabelli School of Business, Fordham University, The University of Sydney Business School and The University of Sydney - Business School
Downloads 51 (326,698)

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
Gabelli School of Business, Fordham University, The University of Sydney Business School and The University of Sydney - Business School
Downloads 9 (518,959)

Abstract:

E44, F34, G21, H63

19.

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

European Journal of Finance, Forthcoming
Number of pages: 43 Posted: 30 Mar 2014
York University - Schulich School of Business, University of Edinburgh - Business School and The University of Sydney - Business School
Downloads 60 (255,854)

Abstract:

governance, cross-listing, firm value

20.

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
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 56 (295,058)

Abstract:

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

21.

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
University of Technology, Sydney, Monash University, University of Western Australia and The University of Sydney - Business School
Downloads 55 (278,775)

Abstract:

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

22.

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
Gabelli School of Business, Fordham University, The University of Sydney Business School and The University of Sydney - Business School
Downloads 47 (285,563)

Abstract:

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

23.

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 45 (290,255)

Abstract:

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

24.

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 (257,708)

Abstract:

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

25.

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 (295,058)

Abstract:

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

26.

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: 20 Nov 2015
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 24 (168,893)

Abstract:

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

27.

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 15 (342,599)

Abstract:

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

28.

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 15 (342,599)

Abstract:

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

29.

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 1 (327,476)

Abstract:

Stock Returns, Fundamental Analysis, Momentum, State Space Model

30.

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

Number of pages: 51 Posted: 25 Apr 2017 Last Revised: 26 Apr 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 (451,332)

Abstract:

31.

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, Forthcoming
Number of pages: 35 Posted: 20 Jan 2017 Last Revised: 15 Jun 2017
University of Sydney Business School, University of Western Australia and The University of Sydney - Business School
Downloads 0 (305,092)

Abstract:

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

32.

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
Gabelli School of Business, Fordham University, The University of Sydney - Business School, University of Waikato and The University of Sydney Business School
Downloads 0 (202,961)

Abstract:

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

33.

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
Finance Discipline Group, UTS Business School, University of Technology Sydney, University of Technology Sydney (UTS) - School of Finance and Economics and The University of Sydney - Business School
Downloads 0 (283,281)

Abstract:

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

34.

Who Trades During the Extreme Swings in the Chinese Stock Market?

28th Australasian Finance and Banking Conference
Number of pages: 32 Posted: 21 Aug 2015 Last Revised: 08 Aug 2016
Shu Tian, Eliza Wu and Qiongbing Wu
Asian Development Bank, The University of Sydney - Business School and Western Sydney University
Downloads 0 (410,709)

Abstract:

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

35.

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

Abstract:

36.

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

Abstract:

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

37.

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

Abstract:

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

38.

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

Abstract:

Stock market comovement, international portfolio holdings, diversification