Emawtee Bissoondoyal-Bheenick

Monash University (Australia) · Department of Accounting and Finance

We provide a comprehensive and more consistent approach to analyse and compare the risk‐return relationships of Australian superannuation investment options for the period January 1990 to December 2016. In estimating the risk profiles of the investment options, we allow for the movement of the asset classes over time by employing a varying coeffici...

We extend an observable Markov Regime Switching framework to assess the switching behaviour of asset classes of Australian superannuation funds across different fund sizes. We identify the most prominent asset class which contributes to the performance of the investment options and what factors trigger funds’ decisions on rebalancing their portfoli...

We assess the jump connectedness (spillover) among five Group-of-Ten European currencies, namely the Swiss Franc, the Euro, the British pound, the Norwegian Krone, and the Swedish Krone. Our analysis covers a period starting from January 1999 to January 2018. Overall, we find evidence of jump connectedness in the Group-of-Ten European currencies, i...

We assess the impact of monthly and daily investor sentiment on stock market return and volatility connectedness during the U.S.-China trade war period. Our analyses focus on the connectedness between the two economies and their major trading partners. We also investigate the asymmetric impact of sentiment on volatility connectedness by exploring t...

This paper examines the effect of order imbalance on realized volatility in the Australian stock market for the period between August 2007 and May 2016. To analyse this asymmetric relationship, we decompose order imbalance into buyer- and seller-initiated trades and capture good and bad volatilities by using realized semivariances. We find that the...

We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countrie...

This chapter investigates the determinants of the volatility of spread in the over-the-counter foreign exchange market and examines whether the relationships differ in the crisis periods. We compute the measures for the volatility of liquidity by using bid-ask spread data sampled at a high frequency of five minutes. By examining 11 currencies over...

Traditional asset pricing models postulate that high risk investments are usually associated with higher returns. However, this does not hold in the relationship between credit risk and return. There is a known credit risk-return puzzle, which highlights a negative relationship between credit risk and the stock market returns. The objective of this...

This paper studies the impact of a sovereign rating change of a particular country on the stock markets of those countries to which it is closely related in individual pairs. We equally test the impact of other countries rating changes on the stock market of one particular country using a sample of ten countries for the period January 1989 to Decem...

This paper assesses the impact of asset backed ratings on the Merrill Lynch US Asset Backed Securities and Commercial Mortgage Backed Securities Index (CABs index) over a period January 1998 through to February 2010. In particular, we examine the relationship between ratings changes of the asset backed securities and the CABS index return. We furth...

In 2007, amidst falling home prices and rising delinquencies in the subprime mortgage market in the United States (U.S.), credit rating agencies (CRAs) such as Standard & Poor’s, Moody’s Investor Service and Fitch Ratings were accused of bearing a strong responsibility for the crisis. In this paper, we assess the importance of credit ratings of str...

This paper examines whether changes in a particular country's sovereign ratings provided by Standard and Poor's and Moody's trigger a spillover effect on other countries. The analysis focuses on two sets of countries namely where there are trade links between the countries and where there are links between the financial markets of each country. The...

The recent Global Financial Crisis has focused our attention on the integrity of rating agencies. Often condemned for being too slow to act, rating agencies have been blamed during many financial crises. This impression opens some research questions addressed in this paper. What are the determinants of banks ratings? How do they differ across ratin...

This article explores the impacts of sovereign rating changes by multiple rating agencies on foreign exchange rate volatility during the Asian crisis. We extend the existing literature to explore the impacts of multiple agency sovereign rating changes on the realized volatility of foreign exchange markets. Our findings show that the rating downgrad...

This paper examines the stock market impact of announcements of corporate bond rating revisions for companies in the United Kingdom (UK) and in Australia. Investigating the market reaction to bond rating changes by Moody's and Standard & Poor's, our findings reveal similar results for downgrade announcements but not upgrade announcements. Using dai...

This study examines the effects of the sovereign rating changes by the three leading agencies, Standard and Poor's, Moody's and Fitch on realized foreign exchange market volatility in the Asian markets over a period of 1997-2001. Specifically, we investigate whether there are differences in FX market reaction following a single rating change announ...

This paper presents an analysis of the relationship between trading volume and stock returns in the Australian market. We test this hypothesis by using data from a sample of firms listed on the Australian stock market for a period of 5 years from January 2001 to December 2005. We explore this relationship by focusing on the level of trading volume...

This paper examines the stock market impact of announcements of corporate bond rating revisions for companies in the United Kingdom (UK) and in Australia. Investigating the market reaction to bond rating changes by Moody’s and Standard & Poor’s, our findings reveal similar results for downgrade announcements but not upgrade announcements. Using dai...

This study investigates the aggregate stock market impact of sovereign rating changes and compares three alternative techniques for the modelling framework, specifically, the market model, the quadratic market model, the downside model and a higher order downside model. Despite the differences in approaches, in general, two of the alternative model...

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The paper compares two alternative techniques for the modelling of the determinants of sovereign ratings, specifically, ordered probit and case-based reasoning. Despite the differences in approach the two alternative modelling approaches produce similar results in terms of which variables are significant and forecast accuracy. This suggests that ei...

In this paper, an alternative method of estimating the systematic risk for Canadian stocks is presented and empirically investigated. The method proposed is applied to a set of data impacted by censoring - the presence of zero returns, which occurs in extreme cases of thin trading. The approach used is the sample selectivity model, which is a two-s...

In recent years, the demand for sovereign ratings has increased mainly due to the inevitable globalisation of markets. This study analyses the quantitative determinants of sovereign ratings provided by the two main agencies, namely, Standard and Poors and Moody. The analysis also provides a forecast of the ratings to be assigned to the countries ba...

This study examines the impacts of rating change timing differences between the two leading agencies, namely, Standard and Poor's and Moody's with particular focus on the stock market impact of Standard and Poor's Foreign Currency rating changes and Moody's Bonds and Notes rating changes. The analysis focuses on whether there is a rating change pat...

This study examines the impacts of rating change timing differences between the two leading agencies, namely, Standard and Poor’s and Moody’s with particular focus on the stock market impact of Standard and Poor’s Foreign Currency rating changes and Moody’s Bonds and Notes rating changes. The analysis focuses on whether...

This paper examines the stock market impact of announcements of corporate bond rating revisions for companies in the United Kingdom from January 1997 to December 2006 and compares alternative techniques for estimating abnormal returns. We employ four return generating models-the conventional market model, and three models augmented to allow for asy...