ORCID Profile
0000-0002-0809-1010
Current Organisations
University of Glasgow
,
Macquarie University
,
University of Gothenburg
,
Zhongnan University of Economics and Law
,
University of Zurich
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Banking, Finance and Investment | Finance
Publisher: Wiley
Date: 10-03-2016
DOI: 10.1111/ACFI.12208
Publisher: Elsevier BV
Date: 09-2014
Publisher: SAGE Publications
Date: 12-2010
Abstract: This paper examines whether foreign direct investment between countries fosters stock market integration. Empirical tests demonstrate that both the flow and the level of bilateral foreign direct investment between countries explain country-pair stock market integration. More specifically, higher bilateral foreign direct investment levels and flows increase Australia’s stock market integration with its major trade partners.
Publisher: Elsevier BV
Date: 12-2007
Publisher: Elsevier BV
Date: 04-1998
Publisher: Elsevier BV
Date: 09-2007
Publisher: Routledge
Date: 28-03-2009
Publisher: SAGE Publications
Date: 12-2007
DOI: 10.1177/031289620703200203
Abstract: This paper finds that observed monthly United States stock index returns are consistent with an underlying mechanism of shifts in regimes amongst multiple states with differing means and volatility. An issue of especial interest is whether long-term clustering of regimes gives rise to stock market cycles. The paper therefore introduces a likelihood ratio test for long-term clustering of regimes. Clustering of regime presence tends to involve much longer term cycles than the bull and bear market cycles identified by Pagan and Sossounov (2003), thus extending the research issues that are associated with the analysis of mean returns using multiple state regime-switching models.
Publisher: Wiley
Date: 17-10-2016
DOI: 10.1111/ACFI.12245
Publisher: Informa UK Limited
Date: 2011
Publisher: Wiley
Date: 30-07-2018
DOI: 10.1002/SMJ.2921
Publisher: Wiley
Date: 10-11-2021
DOI: 10.1111/ACFI.12723
Abstract: We used robust skewness measures to revisit a recent theory that the average asymmetry (measured by the average monthly skewness values across firms) can negatively predict future market returns. Skewness measures employed in previous studies are moment‐based which are normally sensitive to outliers of returns. We thus consider a quantile‐based robust skewness measure and find that the predictive power of the average skewness to market returns no longer exists. Instead, we find a negative relation between the average expected (or ex‐ante) skewness and market returns, suggesting that investors’ average expectation on skewness can negatively predict market returns.
Publisher: Elsevier BV
Date: 10-2009
Publisher: SAGE Publications
Date: 04-2012
Abstract: In this paper we investigate the short-term contagion and long-term integration effects of terrorist activity on national stock markets. Using the partially integrated model of Bekaert et al. (Bekaert G, Harvey C and Ng A (2005) Market integration and contagion. Journal of Business 78: 39–69), we examine whether changes in cross-border relationships surrounding recent terrorist events are caused by changes in exposure to common risk factors and investigate whether these findings are similar across both developed and emerging market securities. Our research concludes that terrorism induces substantial contagion and market integration effects on national equity markets. Specifically, we provide strong evidence that major terrorist attacks induce substantial contagion consequences, particularly for developed nation equity markets. In terms of longer-term integration effects, a strong increase in cross-market correlation is observed from the pre to post-9/11 period. However, we find little evidence of an increase in the risk exposures of national markets to common risk factors, suggesting that this heightened correlation is driven by an increase in global risk factor uncertainty. This finding is consistent with the argument that an increase in the risk aversion of market participants is associated with terrorist attacks.
Publisher: Elsevier BV
Date: 2005
Publisher: Elsevier BV
Date: 05-2021
Publisher: Elsevier BV
Date: 09-2015
Publisher: Pageant Media US
Date: 31-08-1999
Publisher: SAGE Publications
Date: 03-06-2015
Abstract: This paper examines whether stock market returns forecasts should take account of the political party in power by re-examining the prior literature to demonstrate that US stock market political regime differences are neither significant nor long-lasting. We demonstrate that the presidential regime dummy variable used in prior studies is highly auto-correlated, thus potentially violating the ordinary least squares assumption of independently distributed regression errors. Simulation and bootstrap analyses are used to demonstrate that prior findings of higher returns and lower risk under Democratic presidencies are less than would be expected by chance, once account is taken of the persistence properties of the presidential regime dummy variable used in prior studies. Theoretical considerations are also used to explain why presidential regime differences are unlikely to persist, thus further reconciling the paper’s findings with prior studies.
Publisher: SAGE Publications
Date: 08-07-2016
Abstract: Economic transitions in countries that move from state planning and redistribution to market exchange create business opportunities but also uncertainty, because many interdependent factors—modes of exchange, types of products, and forms of organizations—are in flux. Uncertainty is even greater when the country’s political institutions remain authoritarian because the rule of law is weak and state bureaucrats retain power over the economy. This study of listed firms in China, which has recently seen economic transition but persistent authoritarianism, shows that in such contexts, firms can reduce uncertainty by developing relationships with state bureaucrats, which help firms learn how state bureaucracies operate and engender trust between firms and bureaucrats. Together, knowledge and trust stabilize operations and help persuade bureaucrats to lighten regulatory burdens, grant firms access to state-controlled resources, and improve government oversight. Our results show that as economic transitions proceed and uncertainty increases, business–state ties increasingly improve firm performance. We also investigate two likely contingencies, industry and firm size, and two important causal mechanisms, access to bank loans and protection from related-party loans, and show that the value of business–state relations varies over time, depending on the trajectory of both economic and political institutions.
Publisher: Wiley
Date: 10-03-2021
DOI: 10.1111/ACFI.12770
Abstract: The COVID‐19 pandemic is significantly disrupting human capital in labour markets. Workforce reductions cause firm outputs to fall and prices to rise, leading to unprecedented economic costs. To quantify the economic costs, we develop a dynamic general equilibrium macroeconomic model that incorporates susceptible–infectious–recovered epidemiology dynamics, where in iduals can be healthy, infected or recovered so that evolution of human capital can be well tracked. We characterise optimal public policy responses to the decline in human capital by either isolating susceptible residents from infected residents to reduce the spread of disease or increases in government spending to improve the recovery and death rates.
Publisher: Wiley
Date: 08-2013
DOI: 10.1111/AJFS.12024
Publisher: Wiley
Date: 10-03-2021
DOI: 10.1111/ACFI.12772
Abstract: We investigate the role of culturally erse board of directors on firm outcomes in China. We examine whether the erseness of the educational, professional and cultural backgrounds of board members influences firm innovation. We find that firms whose directors have international experience are more innovative. In addition, the positive cultural ersity effect is more pronounced for returnee directors with postgraduate and science‐related degrees, and longer international work experience. Further, the directors who gain international experience from the countries with higher standards of management practice, corporate governance and intellectual property rights protection have a higher impact on corporate innovative activities.
Publisher: Wiley
Date: 06-07-2020
DOI: 10.1111/ACFI.12658
Publisher: Wiley
Date: 13-03-2021
DOI: 10.1111/ACFI.12778
Abstract: We examine the association between relationship lending and the likelihood of bank loan covenant violations. We find that relationship lending reduces the probability of ex‐post covenant violations. The length of the lending relationships has an inverted U‐shaped effect on the likelihood of covenant violations. The borrowers and lenders both benefit from relationship lending, but long‐term lending relationships weaken the borrower's bargaining power.
Publisher: Elsevier BV
Date: 11-2019
Publisher: Elsevier BV
Date: 12-2016
Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
Date: 10-2013
Abstract: Using novel transaction-level data on Chinese business groups, this study provides the first direct evidence of the coinsurance theory of business groups by investigating when different types of internal resources are transferred within a business group. We find that in Chinese business groups, a credit crunch experienced by the controlling shareholding firm (the “controller”) of a publicly listed firm increases the loan-based related party transactions (RPTs) including loan guarantees and intercorporate loans provided by the listed firm to the controller. In turn, when the listed firm's performance dips, the controller and its son firms provide more support to the listed firm in the form of non-loan-based RPTs. These findings directly show the dynamic interactions of members within business groups. This paper was accepted by Bruno Cassiman, business strategy.
Publisher: Elsevier BV
Date: 09-2019
Publisher: Wiley
Date: 07-07-2011
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 02-2018
Publisher: Elsevier BV
Date: 06-2009
Publisher: Springer Science and Business Media LLC
Date: 2002
Publisher: Wiley
Date: 04-2019
DOI: 10.1111/AJFS.12251
Publisher: Informa UK Limited
Date: 05-2014
Publisher: Elsevier BV
Date: 06-2004
Publisher: Wiley
Date: 11-10-2019
DOI: 10.1111/ACFI.12547
Publisher: Informa UK Limited
Date: 04-2008
Publisher: Emerald Publishing Limited
Date: 31-07-2018
Publisher: American Economic Association
Date: 06-2020
DOI: 10.1257/AER.20180841
Abstract: We study how sharing a hometown or college connection with an incumbent member of China’s Politburo affects a candidate’s likelihood of selection as a new member. In specifications that include fixed effects to absorb quality differences across cities and colleges, we find that hometown and college connections are each associated with 5–9 percentage point reductions in selection probability. This “connections penalty” is equally strong for retiring Politburo members, arguing against quota-based explanations, and it is much stronger for junior Politburo members, consistent with a role for intra-factional competition. Our findings differ from earlier work because of our emphasis on within-group variation, and our focus on shared hometown and college, rather than shared workplace, connections. (JEL D72, O17, P26, Z13)
Publisher: Wiley
Date: 12-2009
Publisher: Wiley
Date: 12-2018
DOI: 10.1111/ABAC.12143
Publisher: University of Chicago Press
Date: 06-2018
DOI: 10.1086/697086
Publisher: Springer Science and Business Media LLC
Date: 31-10-2018
Publisher: Elsevier BV
Date: 09-2021
Publisher: Elsevier BV
Date: 11-2014
Publisher: Informa UK Limited
Date: 03-2007
Publisher: Pageant Media US
Date: 31-01-2007
Publisher: Wiley
Date: 23-10-2019
DOI: 10.1111/JOMS.12537
Publisher: Elsevier BV
Date: 07-2020
Publisher: Elsevier BV
Date: 09-2013
Publisher: Elsevier BV
Date: 09-2020
Publisher: Wiley
Date: 08-2019
DOI: 10.1111/ACFI.12514
Location: United Kingdom of Great Britain and Northern Ireland
Location: United Kingdom of Great Britain and Northern Ireland
Start Date: 2015
End Date: 02-2018
Amount: $210,100.00
Funder: Australian Research Council
View Funded Activity