Publications

by members of

Department of Finance
Business School
Hong Kong University of Science and Technology (HKUST)
Kowloon, Hong Kong

Working papers

2008

1. Jonathan A. Batten, Cetin Ciner and Brian M. Lucey, 2008. "The Macroeconomic Determinants of Volatility in Precious Metals Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp255, IIIS. [Downloadable!]

2007

1. Gady Jacoby & Chuan Liao & Jonathan A. Batten, 2007. "A Pure Test for the Elasticity of Yield Spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp195, IIIS. [Downloadable!]
2. Jonathan A. Batten & Brian M. Lucey, 2007. "Volatility in the Gold Futures Market," The Institute for International Integration Studies Discussion Paper Series iiisdp225, IIIS. [Downloadable!]
3. Kannan Thuraisamy & Gerry Gannon & Jonathan A. Batten, 2007. "Credit Spread Dynamics: Evidence from Latin America," Accounting, Finance, Financial Planning and Insurance Series 2007_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
4. Kannan Thuraisamy & Gerry Gannon & Jonathan A. Batten, 2007. "The Credit Spread Dynamics of Latin American Euro Issues in International Bond Markets," Accounting, Finance, Financial Planning and Insurance Series 2007_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]

2006

1. Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series iiisdp128, IIIS. [Downloadable!]
2. Seppo Pynnönen & Warren P. Hogan & Jonathan A. Batten, 2006. "Dynamic equilibrium correction modelling of yen Eurobond credit spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp127, IIIS. [Downloadable!]
3. Jonathan A. Batten & Peter G. Szilagyi, 2006. "Developing Foreign Bond Markets: The Arirang Bond Experience in Korea," The Institute for International Integration Studies Discussion Paper Series iiisdp138, IIIS. [Downloadable!]

2004

1. Jonathan A. Batten & Craig A. Ellis & Warren P. Hogan, 2004. "Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market," Quantitative Finance Papers math/0412344, arXiv.org. [Downloadable!]

2002

1. Goyal, Vidhan K. & Yamada, Takeshi, 2002. "Asset Price Shocks, Financial Constraints, and Investment: Evidence from Japan," CEI Working Paper Series 2002-11, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]

2001

1. Batten, Jonathan & Warren Hogan, 2001. "The Spot AUD/USD Foreign Exchange Market: Evidence from High Frequency Data," Accounting, Finance, Financial Planning and Insurance Series 2001_03, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
2. Jonathan Batten & Craig Ellis, 2001. "Scaling Foreign Exchange Volatility," Accounting, Finance, Financial Planning and Insurance Series 2001_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
3. Batten, Jonathan & Craig Ellis, 2001. "Scaling Relationships of Gaussian Processes," Accounting, Finance, Financial Planning and Insurance Series 2001_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]

1995

1. Batten, J. & Ellis, C., 1995. "Intervention and Long Term Bias: Evidence from the Spot U.S. Dollar/Japanese Yen Fractal structure," Papers e9505, Western Sydney - School of Business And Technology.

1993

1. Batten, J. & Mellor, R. & Van, V., 1993. "Interest Rate Risk Management Practices and Products Used by Australian Firms," Papers e9319, Western Sydney - School of Business And Technology.
2. Batten, J. & Bhar, R., 1993. "Volume and Price Volatility in Yen Futures Markets: Within and Across Three Different Exchanges," Papers e9318, Western Sydney - School of Business And Technology.

1992

1. Batten, J. & Mellor, R. & Wan, V., 1992. "Foreign Exchange Risk Management Practices and Products used by Australian Firms," Papers e9209, Western Sydney - School of Business And Technology.

1990

1. Batten, J. & Kelly, M., 1990. "Theoretical Issues In Measuring Interest Rate Risk," Papers e9005, Western Sydney - School of Business And Technology.

Journal articles

2009

1. Jonathan Batten & Xuan Vinh Vo, 2009. "An analysis of the relationship between foreign direct investment and economic growth," Applied Economics, Taylor and Francis Journals, vol. 41(13), pages 1621-1641. [Downloadable!] (restricted)
2. Jacoby, Gady & Liao, Rose C. & Batten, Jonathan A., 2009. "Testing the Elasticity of Corporate Yield Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(03), pages 641-656, June. [Downloadable!]
3. Kee-Hong Bae & Vidhan K. Goyal, 2009. "Creditor Rights, Enforcement, and Bank Loans," Journal of Finance, American Finance Association, vol. 64(2), pages 823-860, 04. [Downloadable!] (restricted)

2008

1. Thuraisamy, Kannan S. & Gannon, Gerard L. & Batten, Jonathan A., 2008. "The credit spread dynamics of Latin American euro issues in international bond markets," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 328-345, October. [Downloadable!] (restricted)
2. Tim Adam & Vidhan K. Goyal, 2008. "The Investment Opportunity Set And Its Proxy Variables," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 31(1), pages 41-63. [Downloadable!] (restricted)

2007

1. Jonathan A. Batten & Peter G. Szilagyi, 2007. "Domestic Bond Market Development: The Arirang Bond Experience in Korea," World Bank Research Observer, Oxford University Press, vol. 22(2), pages 165-195, September. [Downloadable!] (restricted)

2006

1. Batten, Jonathan A. & Fetherston, Thomas A. & Hoontrakul, Pongsak, 2006. "Factors affecting the yields of emerging market issuers: Evidence from the Asia-Pacific region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(1), pages 57-70, February. [Downloadable!] (restricted)
2. Seppo Pynnönen & Warren P. Hogan & Jonathan A. Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor and Francis Journals, vol. 16(8), pages 583-606, May. [Downloadable!] (restricted)
3. Jonathan A. Batten & Francis In, 2006. "Dynamic interaction and valuation of quality yen Eurobonds in a multivariate EGARCH framework," Applied Financial Economics, Taylor and Francis Journals, vol. 16(12), pages 881-892, August. [Downloadable!] (restricted)
4. Joseph P. H. Fan & Vidhan K. Goyal, 2006. "On the Patterns and Wealth Effects of Vertical Mergers," Journal of Business, University of Chicago Press, vol. 79(2), pages 877-902, March. [Downloadable!]

2005

1. Batten, Jonathan A. & Ellis, Craig A., 2005. "Paramater estimation bias and volatility scaling in Black-Scholes option prices," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 165-176. [Downloadable!] (restricted)
2. Hogan, Warren P. & Batten, Jonathan A., 2005. "Informed and uninformed trading on the Australian dollar," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 61-75. [Downloadable!] (restricted)
3. Jonathan A. Batten & Warren P. Hogan & Gady Jacoby, 2005. "Measuring credit spreads: evidence from Australian Eurobonds," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 651-666, June. [Downloadable!] (restricted)
4. Niklas Wagner & Warren Hogan & Jonathan Batten, 2005. "Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 35-50, 02. [Downloadable!] (restricted)
5. Francis In & Jonathan A. Batten, 2005. "Expectations and Equilibrium in High-Grade Australian Bond Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 573-592. [Downloadable!] (restricted)
6. Goyal, Vidhan K., 2005. "Market discipline of bank risk: Evidence from subordinated debt contracts," Journal of Financial Intermediation, Elsevier, vol. 14(3), pages 318-350, July. [Downloadable!] (restricted)

2004

1. Young, Martin & Hogan, Warren & Batten, Jonathan, 2004. "The effectiveness of interest-rate futures contracts for hedging Japanese bonds of different credit quality and duration," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 13-25. [Downloadable!] (restricted)
2. Frank, Murray Z. & Goyal, Vidhan K., 2004. "The effect of market conditions on capital structure adjustment," Finance Research Letters, Elsevier, vol. 1(1), pages 47-55, March. [Downloadable!] (restricted)
3. Vidhan K. Goyal & Takeshi Yamada, 2004. "Asset Price Shocks, Financial Constraints, and Investment: Evidence from Japan," Journal of Business, University of Chicago Press, vol. 77(1), pages 175-200, January. [Downloadable!]

2003

1. Gerard, Bruno & Thanyalakpark, Kessara & Batten, Jonathan A., 2003. "Are the East Asian markets integrated? Evidence from the ICAPM," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 585-607. [Downloadable!] (restricted)
2. Batten, Jonathan A. & Hogan, Warren P., 2003. "Time variation in the credit spreads on Australian Eurobonds," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 81-99, January. [Downloadable!] (restricted)
3. Jonathan Batten & Peter Szilagyi, 2003. "Why Japan Needs to Develop its Corporate Bond Market," International Journal of the Economics of Business, Taylor and Francis Journals, vol. 10(1), pages 83-108, January. [Downloadable!] (restricted)
4. Peter Szilagyi & Jonathan Batten & Thomas Fetherston, 2003. "Disintermediation and the Development of Bond Markets in Emerging Europe," International Journal of the Economics of Business, Taylor and Francis Journals, vol. 10(1), pages 67-82, January. [Downloadable!] (restricted)
5. In, Francis & Batten, Jonathan & Kim, Sangbae, 2003. "What drives the term and risk structure of Japanese bonds?," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 518-541. [Downloadable!] (restricted)
6. Brock Johnson & Jonathan Batten, 2003. "Forecasting Credit Spread Volatility: Evidence from the Japanese Eurobond Market," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 335-357, December. [Downloadable!] (restricted)
7. Frank, Murray Z. & Goyal, Vidhan K., 2003. "Testing the pecking order theory of capital structure," Journal of Financial Economics, Elsevier, vol. 67(2), pages 217-248, February. [Downloadable!] (restricted)

2002

1. Batten, Jonathan & Hogan, Warren, 2002. "Erratum to "A perspective on credit derivatives"," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 249-249. [Downloadable!] (restricted)
2. Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344. [Downloadable!] (restricted)
3. Batten, Jonathan & Hogan, Warren & In, Francis, 2002. "Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate EGARCH Framework," Australian Economic Papers, Blackwell Publishing, vol. 41(1), pages 115-28, March. [Downloadable!] (restricted)
4. Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278. [Downloadable!] (restricted)
5. Goyal, Vidhan K. & Park, Chul W., 2002. "Board leadership structure and CEO turnover," Journal of Corporate Finance, Elsevier, vol. 8(1), pages 49-66, January. [Downloadable!] (restricted)
6. Goyal, Vidhan K. & Lehn, Kenneth & Racic, Stanko, 2002. "Growth opportunities and corporate debt policy: the case of the U.S. defense industry," Journal of Financial Economics, Elsevier, vol. 64(1), pages 35-59, April. [Downloadable!] (restricted)

2001

1. Batten, Jonathan & Ellis, Craig, 2001. "Scaling relationships of Gaussian processes," Economics Letters, Elsevier, vol. 72(3), pages 291-296, September. [Downloadable!] (restricted)

2000

1. Batten, Jonathan & Hogan, Warren & Pynnonen, Seppo, 2000. "The dynamics of Australian dollar bonds with different credit qualities," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 389-404. [Downloadable!] (restricted)
2. Batten, Jonathan & Ellis, Craig & Fetherston, Thomas A., 2000. "Are long-term return anomalies illusions?: Evidence from the spot Yen," Japan and the World Economy, Elsevier, vol. 12(4), pages 337-349, December. [Downloadable!] (restricted)

1999

1. Batten, Jonathan & Hettihewa, Samanthala, 1999. " Small Firm Behaviour in Sri Lanka," Small Business Economics, Springer, vol. 13(3), pages 201-17, November. [Downloadable!] (restricted)
2. Batten, Jonathan & Ellis, Craig & Mellor, Robert, 1999. "Scaling laws in variance as a measure of long-term dependence," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 123-138, June. [Downloadable!] (restricted)
3. Cai, Jun & Cheung, Yan-Leung & Goyal, Vidhan K., 1999. "Bank monitoring and the maturity structure of Japanese corporate debt issues," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 229-249, August. [Downloadable!] (restricted)

1998

1. Goyal, Vidhan K. & Gollapudi, Neela & Ogden, Joseph P., 1998. "A corporate bond innovation of the 90s: The clawback provision in high-yield debt," Journal of Corporate Finance, Elsevier, vol. 4(4), pages 301-320, December. [Downloadable!] (restricted)

1996

1. Batten, Jonathan & Ellis, Craig, 1996. "Fractal structures and naive trading systems: Evidence from the spot US dollar/Japanese yen," Japan and the World Economy, Elsevier, vol. 8(4), pages 411-421, December. [Downloadable!] (restricted)

1995

1. Goyal, Vidhan & Hwang, Chuan-Yang & Jayaraman, Narayanan & Shastri, Kuldeep, 1995. "The ex-date impact of rights offerings. The evidence from firms listed on the Tokyo stock exchange," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 142-142, May. [Downloadable!] (restricted)

1994

1. Goyal, Vidhan & Hwang, Chuan-Yang & Jayaraman, Narayanan & Shastri, Kuldeep, 1994. "The ex-date impact of rights offerings. The evidence from firms listed on the Tokyo stock exchange," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 277-291, May. [Downloadable!] (restricted)

1993

1. Jonathan Batten & Robert Mellor & Victor Wan, 1993. "Foreign Exchange Risk Management Practices and Products Used by Australian Firms," Journal of International Business Studies, Palgrave Macmillan Journals, vol. 24(3), pages 557-573, September. [Downloadable!] (restricted)

This page was last updated on 2009-12-2.