August - 2018
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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.

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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).

Last modified: 2018.07.28.