February - 2020
  01 02
03 04 05 06 07 08 09
10 11 12 13 14 15 16
18 19 20 21 22 23
24 25 26 27 28 29  

Jonathan A. Batten

holds the CIMB-UUM Chair in Banking and Finance at University Utara Malaysia and is an Honorary Professor in the Discipline of Finance at the University of Sydney Business School, Australia. Prior to these positions he worked as a Professor in Finance at Monash University, Australia, the Hong Kong University of Science & Technology, and Seoul National University, Korea. He is the managing editor of Elsevier’s highly ranked Emerging Markets Review, and Journal of International Financial Markets Institutions and Money, and co-editor of Finance Research Letters.

Jonathan’s research crosses several disciplines: in the business area he has published work on insider trading and market manipulation, bond pricing and corporate foreign exchange risk management in journals used by the Financial Times for ranking business schools (e.g. Journal of Business Ethics, Journal of Financial and Quantitative Analysis and the Journal of International Business Studies). In addition, he has also published work in leading journals in applied mathematics on complexity in financial time series (e.g. Chaos and Physica A), on stock, gold and energy market integration (Energy Economics, Energy Policy and Resources Policy), and importantly in economic policy on financial market development and societal impacts of foreign direct investment (e.g. Applied Economics and the World Bank Research Observer). His current research is based on assessing the impact on financial markets and investor portfolios of the expected worldwide shift to renewable energy.

Back to speakers

Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi and Niklas F. Wagner: Dynamic co-movements among crude oil and commodity markets

This paper extends existing work on modelling oil and stock prices to establishing the relationship between oil and various commodities. Using a two asset portfolio setting (comprising the asset and the asset used for hedging) we show that information from oil-commodity comovements can effectively be used for hedging purposes. These finding are important since during periods of high asset integration, diversification is not possible since all asset prices move together. These results are also relevant for producers of single commodities, those firms that sell specific commodities as well as large agribusiness firms. In addition, the method used provides important insights into the time-varying properties of hedge effectiveness, an accounting standard requirement (e.g. IFRS 9).

Jonathan A. Batten, Harald Kinateder, Niklas Wagner: Beating the Average: Equity Premium Variations, Uncertainty and Liquidity

We study the ability of state-of-the-art liquidity and uncertainty predictors to beat the historical average in forecasting the US equity premium. For this purpose, we apply an out-of-sample predictive regression approach to analyse to statistical accuracy as well as economic gains of equity premium forecasts. Our results underline that during the global financial crisis (GFC) funding liquidity and macroeconomic uncertainty clearly outperform the historical average. In the post-GFC period, all market liquidity predictors show significant predictability. Before the GFC, there is only a mild gain compared to the historical average. Moreover, these predictors also beat forecasts of a classical time series model, except during the GFC.

Jonathan A. Batten, Igor Loncarski, Peter G. Szilagyi: Strategic insider trading: Liquidity impacts

It is well known that opportunistic inside-traders can exploit their private information by trading specific financial contracts, such as options, to gain leveraged monetary benefits. However, the recent conviction of inside-traders Kamay and Hill, who used pre-release national statistics data, to profit in the Australian foreign exchange markets, demonstrates more complex, strategic decision making: while derivatives were used to leverage information, only certain information was actually traded; losses were generated to mask trading activities; and great care was exercised when placing trades to minimise potential losses from offsetting price information arising in other contemporaneous financial markets. Importantly, trading was undertaken during periods of high market liquidity to maximise insider-information advantages. These results are consistent with insiders acting strategically to maximise the value of their information, while also trying to minimise the risk of detection. These actions highlight the limitations to regulatory surveillance in over-the-counter (OTC) markets, while reinforcing the importance of regulatory measures that prevent, or discourage, insider-trading prior to trade execution.

Nina Anolick, Jonathan A. Batten, Harald Kinateder, Niklas Wagner: Abnormal share repurchase returns: Does liquidity risk matter?

This paper studies the value creation and liquidity effects of share repurchases in Europe. For this purpose, we analyze a comprehensive data set consisting of 1,247 open market share repurchases of eleven European countries during the period from 2000 until 2017. On average we document a positive value creation effect of about 1 percent. Our results provide strong support for the excess cash flow hypothesis. In regard to a macroeconomic explanation there exists a negative relationship between abnormal returns and the market return Stoxx as sentiment indicator. Moreover, the influence of systematic market liquidity on the valuation effect is shown. Whereas liquidity risk as a covariation of stock return and market illiquidity and commonality in risk positively influences the abnormal return. Thereby the flight to liquidity phenomena is proved. The commonality-in-liquidity effect further seems more appropriate since it captures the impact of liquidity risk on country-level as well as on firm-level. Apart from the impact of firm-specific variables, this paper highlights the role of liquidity risk as important factor in determining chances for increased abnormal returns. In the absence of market liquidity, share repurchase announcements offer the chance for liquidating stocks, whereby the hedging against illiquidity is enabled.

Last modified: 2018.11.30.