FMSG publications and media

Publications by research area

Sustainable finance

We analyse the impact of environment, social or governance (ESG) criteria in financial services.

Wang, J., Hu, X. and Zhong, A., 2023. Stock market reaction to mandatory ESG disclosure. Finance Research Letters, 53.
Chiah, M., Phan, D.H.B., Tran, V.T. and Zhong, A., 2022. Energy price uncertainty and the value premium. International Review of Financial Analysis, 81.
Hu, X., Zhong, A. and Cao, Y., 2022. Greenium in the Chinese corporate bond market. Emerging Markets Review, 53.
Phan, D.H.B., Tran, V.T., Ming, T.C. and Le, A., 2022. Carbon risk and corporate investment: a cross-country evidence. Finance Research Letters, 46.
Akhtaruzzaman, M., Boubaker, S., Chiah, M. and Zhong, A., 2021. COVID− 19 and oil price risk exposure. Finance research letters, 42.
Batten, J.A., Maddox, G.E. and Young, M.R., 2021. Does weather, or energy prices, affect carbon prices?. Energy Economics, 96.
Iyke, B.N., Tran, V.T. and Narayan, P.K., 2021. Can energy security predict energy stock returns?. Energy Economics, 94, p.105052.
Phan, D.H.B., Tran, V.T., Tee, C.M. and Nguyen, D.T., 2021. Oil price uncertainty, CSR and institutional quality: A cross-country evidence. Energy Economics, 100.
Wong, W.C., Batten, J.A., Mohamed-Arshad, S.B., Nordin, S. and Adzis, A.A., 2021. Does ESG certification add firm value?. Finance Research Letters, 39.
Bissoondoyal-Bheenick, E., Brooks, R., Do, H.X. and Smyth, R., 2020. Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. Energy Economics, 86.
Phan, D.H.B., Tran, V.T., Nguyen, D.T. and Le, A., 2020. The importance of managerial ability on crude oil price uncertainty-firm performance relationship. Energy Economics, 88.
Batten, J.A., Brzeszczynski, J., Ciner, C., Lau, M.C., Lucey, B. and Yarovaya, L., 2019. Price and volatility spillovers across the international steam coal market. Energy Economics, 77, pp.119-138.
Batten, J.A., Kinateder, H., Szilagyi, P.G. and Wagner, N.F., 2019. Time-varying energy and stock market integration in Asia. Energy Economics, 80, pp.777-792.
Batten, J.A., Kinateder, H., Szilagyi, P.G. and Wagner, N.F., 2019. Liquidity, surprise volume and return premia in the oil market. Energy Economics, 77, pp.93-104.
Phan, D.H.B., Tran, V.T. and Nguyen, D.T., 2019. Crude oil price uncertainty and corporate investment: New global evidence. Energy Economics, 77, pp.54-65.
Batten, J.A., Kinateder, H., Szilagyi, P.G. and Wagner, N.F., 2018. Addressing COP21 using a stock and oil market integration index. Energy Policy, 116, pp.127-136.
Batten, J.A., Kinateder, H., Szilagyi, P.G. and Wagner, N.F., 2017. Can stock market investors hedge energy risk? Evidence from Asia. Energy Economics, 66, pp.559-570.

Measurement and evaluation of investments

We apply different lens to evaluate investment.

Yu, M., Hu, X. and Zhong, A., 2023. Trade links and return predictability: The Australian evidence. Pacific-Basin Finance Journal.
Zhong, A., 2022. Institutional trading in stock market anomalies in Australia. Accounting & Finance, 62(1), pp.893-930.
Batten, J.A., LonČarski, I. and Szilagyi, P.G., 2022. Financial Market Manipulation, Whistleblowing, and the Common Good: Evidence from the LIBOR Scandal. Abacus, 58(1), pp.1-23.
Chai, D., Chiah, M., Zhong, A. and Li, B., 2022. Another look at sources of momentum profits. International Review of Economics & Finance, 79, pp.310-323.
Le, A., Yin, X. and Zhao, J., 2022. The Capitalization Effect of Imputation Credits on Expected Stock Returns. Abacus, 58(3), pp.523-566.
Gray, P. and Zhong, A., 2022. Assessing the usefulness of daily and monthly asset‐pricing factors for Australian equities. Accounting & Finance, 62(1), pp.181-211.
Chuan'Chewie'Ang, T., Azad, A.S., Pham, T.A. and Zhong, A., 2021. Firm efficiency and stock returns: Australian evidence. International Review of Financial Analysis, 78.
Chiah, M., Gharghori, P. and Zhong, A., 2020. Comovement in anomalies between the Australian and US equity markets. International Review of Finance, 20(4), pp.1005-1017.
Chai, D., Chiah, M. and Zhong, A., 2020. Decomposing value: Changes in size or changes in book-to-market?. Pacific-Basin Finance Journal, 64.
Chai, D., Chiah, M. and Zhong, A., 2019. Choosing factors: Australian evidence. Pacific-Basin Finance Journal, 58, p.101223.
Le, A., Yin, X. and Zhao, J., 2019. Informed trading around earnings announcements in Australia. Pacific-Basin Finance Journal, 58.
Batten, J.A., Khaw, K.L.H. and Young, M.R., 2018. Pricing convertible bonds. Journal of Banking & Finance, 92, pp.216-236.
Phan, D.H.B., Sharma, S.S. and Tran, V.T., 2018. Can economic policy uncertainty predict stock returns? Global evidence. Journal of International Financial Markets, Institutions and Money, 55, pp.134-150.
Batten, J.A., Ciner, C. and Lucey, B.M., 2017. The dynamic linkages between crude oil and natural gas markets. Energy Economics, 62, pp.155-170.
Narayan, P.K., Narayan, S., Phan, D.H.B., Thuraisamy, K.S. and Tran, V.T., 2017. Credit quality implied momentum profits for Islamic stocks. Pacific-Basin Finance Journal, 42, pp.11-23.
Zhong, A. and Gray, P., 2016. The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking & Finance, 65, pp.76-90.
Bissoondoyal-Bheenick, E. and Brooks, R., 2015. The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan. Pacific-Basin Finance Journal, 35, pp.37-55.
Bissoondoyal-Bheenick, E. and Brooks, R., 2015. Stock market impact of sovereign rating changes: Alternative benchmark models. Emerging Markets and Sovereign Risk, pp.231-252.

Governance and enterprise risk

We explore areas such as corporate board independence and diversity.

Altman, E.I., Hu, X. and Yu, J., 2022. Has the Evergrande debt crisis rattled Chinese capital markets? A series of event studies and their implications. Finance Research Letters, 50.
Batten, J.A., Choudhury, T., Kinateder, H. and Wagner, N.F., 2022. Volatility impacts on the European banking sector: GFC and COVID-19. Annals of Operations Research, pp.1-26.
Batten, J.A., Kinateder, H. and Wagner, N., 2022. Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. Abacus, 58(3), pp.567-588.
Anolick, N., Batten, J.A., Kinateder, H. and Wagner, N., 2021. Time for gift giving: Abnormal share repurchase returns and uncertainty. Journal of Corporate Finance, 66.
Abdelsalam, O., Chantziaras, A., Batten, J.A. and Aysan, A.F., 2021. Major shareholders’ trust and market risk: Substituting weak institutions with trust. Journal of Corporate Finance, 66.
Batten, J.A., Kinateder, H., Szilagyi, P.G. and Wagner, N.F., 2021. Hedging stocks with oil. Energy Economics, 93.
Bissoondoyal-Bheenick, E., Do, H., Hu, X. and Zhong, A., 2021. Learning from SARS: Return and volatility connectedness in COVID-19. Finance research letters, 41.
Cheema, M.A., Chiah, M. and Zhong, A., 2021. Resurrecting the size effect in Japan: Firm size, profitability shocks, and expected stock returns. Pacific-Basin Finance Journal, 69.
Hu, X., Luo, H., Xu, Z. and Li, J., 2021. Intra‐industry spill‐over effect of default: Evidence from the Chinese bond market. Accounting & Finance, 61(3), pp.4703-4740.
Narayan, P.K., Narayan, S., Tran, V.T. and Thuraisamy, K., 2021. State-level politics: Do they influence corporate investment decisions?. International Review of Financial Analysis, 74.
Duong, H.N., Nguyen, J.H., Nguyen, M. and Rhee, S.G., 2020. Navigating through economic policy uncertainty: The role of corporate cash holdings. Journal of Corporate Finance, 62.
Bissoondoyal-Bheenick, E., Brooks, R. and Do, H.X., 2019. Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market. International Review of Economics & Finance, 62, pp.309-320.
Bissoondoyal-Bheenick, E., Brooks, R., Chi, W. and Do, H.X., 2018. Volatility spillover between the US, Chinese and Australian stock markets. Australian Journal of Management, 43(2), pp.263-285.
Hill, P., Bissoondoyal-Bheenick, E. and Faff, R., 2018. New evidence on sovereign to corporate credit rating spill-overs. International Review of Financial Analysis, 55, pp.209-225.
Batten, J.A., Gannon, G.L. and Thuraisamy, K.S., 2017. Sovereign risk and the impact of crisis: Evidence from Latin America. Journal of Banking & Finance, 77, pp.328-350.
Bissoondoyal-Bheenick, E., Brooks, R., Treepongkaruna, S. and Wee, M., 2016. Realized Volatility of the Spread: An Analysis in the Foreign Exchange Market. In Risk Management in Emerging Markets (pp. 3-35). Emerald Group Publishing Limited.
Tran, V. Nguyen, H. and Lin, C. 2016, 'Liquidity creation, regulatory capital, and bank profitability', in International Review of Financial Analysis, Elsevier, Netherlands, vol. 48, pp. 98-109 ISSN: 1057-5219

Behavioural finance

We study the role of behavioural biases and sentiment in financial decision marking process.

Guo, X., Hu, X. and Tam, O.K., 2023. Artificial Intelligence and Machine Learning in Fund Performance Evaluation—A Review. FinTech Research and Applications: Challenges and Opportunities, pp.265-304.
Bissoondoyal-Bheenick, E., Do, H., Hu, X. and Zhong, A., 2022. Sentiment and stock market connectedness: Evidence from the US–China trade war. International Review of Financial Analysis, 80.
Chiah, M., Hu, X. and Zhong, A., 2022. Photo sentiment and stock returns around the world. Finance Research Letters, 46.
Chiah, M., Tian, X. and Zhong, A., 2022. Lockdown and retail trading in the equity market. Journal of Behavioral and Experimental Finance, 33.
Chiah, M. and Zhong, A., 2021. Tuesday Blues and the day-of-the-week effect in stock returns. Journal of Banking & Finance, 133.
Le, N., Yin, X. and Zhao, J., 2020. Effects of investor tax heterogeneity on stock prices and trading behaviour around the ex‐dividend day: the case of Australia. Accounting & Finance, 60(4), pp.3775-3812.
Chiah, M. and Zhong, A., 2020. Trading from home: The impact of COVID-19 on trading volume around the world. Finance Research Letters, 37.
Chiah, M. and Zhong, A., 2019. Day-of-the-week effect in anomaly returns: International evidence. Economics Letters, 182, pp.90-92.
Tran, V. Nguyen, H. and Lin, C. 2017, 'Herding behaviour in the Australian loan market and its impact on bank loan quality', in Accounting and Finance, Wiley-Blackwell Publishing Asia, Australia, vol. 57, no. 4, pp. 1149-1176 ISSN: 0810-5391

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Financial market innovation and wellbeing

We analyse trends in the domestic and international movement of capital as well as the impediments of tax and regulation and stability of banking systems.

Batten, J.A., Bilgin, M.H., Demir, E. and Gozgor, G., 2023. Does globalization affect credit market controls?. International Review of Economics & Finance, 85, pp.21-43.
Narayan, P.K., Narayan, S. and Tran, V.T., 2023. Patent-related intellectual property and corporate investment. Finance Research Letters, 52.
Bissoondoyal-Bheenick, E., Brooks, R. and Do, H.X., 2022. Jump Connectedness in the European Foreign Exchange Market. In Advances in Econometrics, Operational Research, Data Science and Actuarial Studies: Techniques and Theories (pp. 31-47). Cham: Springer International Publishing.
Cumming, D.J., Nguyen, G. and Nguyen, M., 2022. Product market competition, venture capital, and the success of entrepreneurial firms. Journal of Banking & Finance, 144.
De Silva, A., Duong, H.N., Nguyen, M. and Nguyen, Y.N., 2022. Bank risk in uncertain times: Do credit rationing and revenue diversification matter?. Journal of Business Finance & Accounting.
Phan, D.H.B., Tran, V.T. and Iyke, B.N., 2022. Geopolitical risk and bank stability. Finance Research Letters, 46.
Yu, M., Hu, X. and Zhong, A., 2022. The spread of COVID-19 in stock returns along global value chains. Applied Economics, pp.1-17.
Akhtaruzzaman, M., Chiah, M., Docherty, P. and Zhong, A., 2021. Betting against bank profitability. Journal of Economic Behavior & Organization, 192, pp.304-323.
Batten, J.A., Khaw, K.L.H. and Young, M.R., 2021. Convertible debt and asset substitution of multinational corporations. Journal of Corporate Finance, 67.
Batten, J.A., Lončarski, I. and Szilagyi, P.G., 2021. Strategic insider trading in foreign exchange markets. Journal of Corporate Finance, 69.
Abdelsalam, O., Elnahass, M., Batten, J.A. and Mollah, S., 2021. New insights into bank asset securitization: The impact of religiosity. Journal of Financial Stability, 54.
Chan, K.F., Gray, P., Gray, S. and Zhong, A., 2020. Political uncertainty, market anomalies and presidential honeymoons. Journal of Banking & Finance, 113.
Hu, X., Shi, J., Wang, L. and Yu, J., 2020. Foreign ownership in Chinese credit ratings industry: Information revelation or certification?. Journal of Banking & Finance, 118.
Kim, H., Batten, J.A. and Ryu, D., 2020. Financial crisis, bank diversification, and financial stability: OECD countries. International Review of Economics & Finance, 65, pp.94-104.
Hu, X., Huang, H., Pan, Z. and Shi, J., 2019. Information asymmetry and credit rating: A quasi-natural experiment from China. Journal of Banking & Finance, 106, pp.132-152.
Batten, J.A., Lončarski, I. and Szilagyi, P.G., 2018. When Kamay met Hill: Organisational ethics in practice. Journal of Business Ethics, 147, pp.779-792.
Nguyen, M., Perera, S. and Skully, M., 2017. Bank market power, asset liquidity and funding liquidity: International evidence. International Review of Financial Analysis, 54, pp.23-38.
Narayana, P. Narayan, S. Phan, D. Thuraisamy, K. and Tran, T. 2017, 'Credit quality implied momentum profits for Islamic stocks', in Pacific Basin Finance Journal, Elsevier, Netherlands, vol. 42, pp. 11-23 ISSN: 0927-538X