Professor Sirimon Treepongkaruna, Ph.D. | Sasin School of Management

Academic Qualifications

Employment History

Refereed Journal Publications

1) Padungsaksawasdi, C., Treepongkaruna, S. and Brooks, R., 2019, “Investor attention and stock market activities: New evidence from Panel Data,” International Journal of Financial Studies, accepted 10 June 2019.
2) Lim, A., Lan, Y. and Treepongkaruna, S., 2019, “Asset pricing and energy consumption risk,”Accounting and Finance, accepted 19 May 2019.
3) Jumreornvong, S., Prommin, P., Jiraporn, P. and Treepongkaruna, S., 2019, “The effects of ownership concentration and corporate governance on corporate risk-taking: The case of Thailand,” Accounting Research Journal, accepted 22 April 2019.
4) Chiew, D., Qiu, J., Shi, C., Treepongkaruna, S. and Yang, J., 2019, “The predictive ability of the expected utility-entropy based fund rating approach: A comparison investigation with Morningstar ratings in US,” PLOS One, accepted 11April 2019.
5) Stensås, A., Nygaard, M.F., Kyaw, K. and Treepongkaruna, S., 2019, “Can Bitcoin be a diversifier, hedge or safe haven tool?,” Cogent Economics & Finance, Accepted manuscript (8 March 2019), 1593072. https://doi.org/10.1080/23322039.2019.1593072
6) Jumreornvong, S., Chakreyavanich, C., Treepongkaruna, S. and Jiraporn, P., 2018, “ Capital Adequacy, Deposit Insurance, and the Effect of Their Interaction on Bank Risk,” Journal of Risk and Financial Management, 11(4), 79; https://doi.org/10.3390/jrfm11040079 (ranked B – ABDC).
7) Chintrakarn, P., Treepongkaruna, S., Jiraporn, P. and Lee, S., 2018, “Chintrakarn, P.,
Treepongkaruna, S., Jiraporn, P. and Lee, S., 2018, “ Do LGBT-supportive corporate policies improve credit ratings? An instrumentalvariable analysis,” Journal of Business Ethics (first on-line on , ranked A – ABDC, Impact Factor: 2.917).
8) Lumjiak, S., Nguyen, T.T.Q., Gan, C. and Treepongkaruna, S., 2018, “Good coups, bad coups: evidence from Thailand’s financial markets,” Investment Management and Financial Innovations, 15(2), pp. 68-86.
9) Laksomyaa, N., Powell, J., Tanthanongsakkun, S. and Treepongkaruna, S., 2018, “Are Internet Message Boards Used to Facilitate Stock Price Manipulation? Evidence from an Emerging Market, Thailand,” Accounting and Finance (accepted 26 February 2018, ranked A – ABDC, Impact Factor: 1.396)
10) To, T. A., Treepongkaruna, S., and Wu, E., 2018 “Are all insiders on the inside? Evidence from the initiation of CDS trading and short selling in the banking sector,” Journal of International Financial Markets, Institutions & Money (accepted 6 May 2017, ranked A- ABDC, Impact Factor: 1.051, SJR:0.872, SNIP: 1.266).
11) Chintrakarn, P., Treepongkaruna, S., Jiraporn, P. and Tong, S., 2018, “Does board independence substitute for external audit quality? Evidence from an exogenous regulatory shock,” Australian Journal of Management (accepted 27 April 2017, ranked A – ABDC, Impact Factor: 1.483, 5-year Impact Factor: 1.089).
12) Tantaopas, P., Padungsaksawasdi, C. and Treepongkaruna, S., 2016, “Attention Effect via Internet Search Intensity in Asia-Pacific Stock Markets,” Pacific Basin Finance Journal, 36, 107-124 (ranked A – ABDC, 5-year Impact Factor:1.030, Impact Factor:0.938, SJR:0.541, SNIP:0.962).
13) Do, H.X., Brooks, R., Treepongkaruna, S., Wu, E. 2016, ‘Stock and currency market linkages: New evidence from realized spillovers in higher moments’, International Review of Economics and Finance, 42, pp. 167-185. (ranked A – ABDC, 5-year Impact Factor: 1.544, Impact Factor: 1.846, SJR: 0.89, SNIP:1.362).
14) Do, H.X., Brooks, R., Treepongkaruna, S. 2015, ‘Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis’, Global Finance Journal, 28, pp. 24-37. (ranked B – ABDC, Impact Factor (SNIP):0.85).
15) Brooks, R., Faff, R., Treepongkaruna, S., Wu, E. 2015, ‘Do Sovereign Re-Ratings Destabilize Equity Markets during Financial Crises? New Evidence from Higher Return Moments’, Journal of Business Finance and Accounting, 42, 5-6, pp. 777-799 (ranked A – ABDC, Impact Factor: 1.276)
16) Bissoondoyal-Bheenick, E., Brooks, R.D., Treepongkaruna,S. 2015, ‘Do asset backed securities ratings matter on average?’, Research in International Business and Finance, 33, pp. 32-43 (ranked B – ABDC, Impact Factor (SNIP):1.137, SJR:0.43).
17) Bissoondoyal-Bheenick, E., Brooks, R.D., Treepongkaruna, S. 2014, ‘Rating spillover effects on the stock markets’, Journal of Multinational Financial Management, 25-26, pp. 51-63 (ranked B- ABDC, Impact Factor (SNIP):0.556, SJR:0.278).
18) Do, H., Brooks, R.D., Treepongkaruna, S., Wu, E. 2014, ‘The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union’, International Review of Financial Analysis, 34, pp. 5-20 (ranked A – ABDC, Impact Factor (SNIP):0.829, SJR:0.505, Impact Factor:0.896).
19) Chan, K., Powell, J.G., Treepongkaruna, S. 2014, ‘Currency jumps and crises: Do developed and emerging market currencies jump together?’, Pacific Basin Finance Journal, 30, pp. 132-157 (ranked A – ABDC, 5-year Impact Factor:1.010, Impact Factor:0.817, SJR:0.466, SNIP:0.866).
20) Do, H., Brooks, R.D., Treepongkaruna, S., Wu, E. 2014, ‘How does trading volume affect financial return distributions?’, International Review of Financial Analysis, 35, pp. 190-206 (ranked A – ABDC, Impact Factor (SNIP):0.829, SJR:0.505, Impact Factor:0.896).
21) Treepongkaruna, S., Brailsford, T., Gray, S. 2014, ‘Explaining the bid-ask spread in the foreign exchange market: A test of alternate models’, Australian Journal of Management, 39, 4, pp. 573-591 (ranked A – ABDC, Impact Factor: 1.4, 5-year Impact Factor: 1.089).
22) Lumjiak, S, Treepongkaruna, S., Wee, M., Brooks, R. 2014, ‘Thai Financial Markets and Political Change’, Journal of Financial Management, Markets and Institutions, 2, 1, pp. 5-26 (ranked C – ABDC).
23) Jutasompakorn, P., Brooks, R., Brown, C., Treepongkaruna, S. 2014, ‘Banking crises: Identifying dates and determinants’, Journal of International Financial Markets, Institutions and Money, 32/1, 150-166 (ranked A – ABDC, Impact Factor: 1.051, SJR:0.872, SNIP: 1.266).
24) Zeng, L., Yong, H.H.A., Treepongkaruna, S., Faff, R. 2014, ‘Is there a Banking Risk Premium in the US Stock Market?’, Journal of Financial Management, Markets and Institutions, 2, 1, pp. 27-42 (ranked C – ABDC).
25) Do, H.X., Brooks, R.D., Treepongkaruna, S. 2013, ‘Generalized impulse response analysis in a fractionally integrated vector autoregressive model’, Economics Letters, 118, 3, pp. 462-46565 (ranked A – ABDC, Impact Factor:0.603, 5-year Impact Factor:0.756, SNIP: 0.666, SJR:0.612).
26) Durand, R., Newby, R. Tant, K. and Treepongkaruna, S., 2013, “Overconfidence, Overreaction and Personality,” Review of Behavioral Finance 5(2), 104-133 (ranked B – ABDC).
27) Faff, R., Treepongkaruna, S. 2013, ‘A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data’, Australian Journal of Management, 38, 2, pp. 333-352 (ranked A – ABDC, Impact Factor: 1.4, 5-year Impact Factor: 1.089).
28) Treepongkaruna, S., Brooks, R., Gray, S. 2012, ‘Do trading hours affect volatility links in the foreign exchange market?’, Australian Journal of Management, 37, 1, pp. 7-27 (ranked A – ABDC, Impact Factor: 1.4, 5-year Impact Factor: 1.089).
29) Darwin, T., Treepongkaruna, S., Faff, R. 2012, ‘Determinants of bond spreads: evidence from credit derivatives of Australian firms’, Australian Journal of Management, 37, 1, pp. 29-46 (ranked A – ABDC, Impact Factor: 1.4, 5-year Impact Factor: 1.089).
30) Phansatan, S., Powell, J.G., Tanthanongsakkun, S., Treepongkaruna, S. 2012, ‘Investor type trading behavior and trade performance: Evidence from the Thai stock market’, Pacific Basin Finance Journal, 20, 1, pp. 1-23 ranked A – ABDC, 5-year Impact Factor:1.030, Impact Factor:0.938, SJR:0.541, SNIP:0.962).
31) Powell, J.G., Treepongkaruna, S. 2012, ‘Recession fears as self-fulfilling prophecies? Influence on stock returns and output’, Australian Journal of Management, 37, 2, pp. 231-260 (ranked A – ABDC, Impact Factor: 1.4, 5-year Impact Factor: 1.089).
32) Treepongkaruna, S., Wu, E. 2012, ‘Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets: Evidence from the Asian Financial Crisis’, Research in International Business and Finance, 26, 3, pp. 335-352 (ranked B – ABDC, Impact Factor (SNIP):1.137, SJR:0.43).
33) Chan, K. F., Treepongkaruna, S., Brooks, R., Gray, S. 2011, ‘Asset market linkages: Evidence from financial, commodity and real estate assets’, Journal of Banking and Finance 35(6), 1415-1426 (ranked A* – ABDC, Impact Factor:1.485, 5-year Impact Factor:2.042, SNIP:1.588, SJR:1.264).
34) Bissoondoyal-Bheenick, E., Treepongkaruna, s. 2011, ‘An analysis of the determinants of bank ratings: comparison across ratings agencies’, Australian Journal of Management, 36, 3, pp. 405- 424(ranked A – ABDC, Impact Factor: 1.4, 5-year Impact Factor: 1.089).
35) Bissoondoyal-Bheenick, E., Brooks, R., Hum, S., Treepongkaruna, S. 2011, ‘Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis’, Applied Financial Economics, 21(13), 997-1003 (ranked B – ABDC, Impact Factor SJR:0.27).
36) Treepongkaruna, S., Gray, S. 2009, ‘Information and volatility links in the foreign exchange market’, Accounting and Finance, 49, 2, pp. 385-405 (ranked A – ABDC, Impact Factor: 1.396).
37) Guozhou, L., Gan, C., Treepongkaruna, S. 2009, ‘Impact of hedging pressure on implied volatility in Financial Times and London Stock Exchange (FTSE) market’, International Journal of Business and Finance Research 3(1), 103-118.
38) Tanthanongsakkun, S., Pitt, D., Treepongkaruna, S. 2009, ‘A Comparison of Corporate Bankruptcy Models in Australia: the Merton vs Accounting-based Models?’, Asia-Pacific Journal of Risk and Insurance 3(2),93-112 (ranked B – ABDC).
39) Tanthanongsakkun, S., Treepongkaruna, S. 2008, ‘Explaining Credit Ratings of Australian Companies- An Application of the Merton Model’, Australian Journal of Management, 33, 2, pp. 261-275 (ranked A – ABDC, Impact Factor: 1.4, 5-year Impact Factor: 1.089).
40) Bilson, C.M., Brailsford, T.J., Sullivan, L.J., Treepongkaruna, S. 2008, ‘Pricing Bonds in the Australian market’, Australian Journal of Management, 33, 1, pp. 123-143 (ranked A – ABDC, Impact Factor: 1.4, 5-year Impact Factor: 1.089).
41) Treepongkaruna, S., Gray, S. 2006, ‘Are there nonlinearities in short-term interest rates?’, Accounting and Finance, 46, 1, pp. 149-167 (ranked A – ABDC, Impact Factor: 1.396).
42) Treepongkaruna, S. 2005, “Forecasting and Finite Sample Performance of Short Rate Models: International Evidence,” International Review of Finance 5(3-4), 175-197 (ranked A – ABDC, Impact Factor: 0.595).
43) Auyong, H.H., Gan, C. EC., and S. Treepongkaruna, 2004, “Revisiting the unit root hypothesis and structural break: Asia and emerging economies foreign exchange markets,” American Journal of Applied Sciences 1(1) (Impact Factor: SJR0.27).
44) Auyong, H.H., Gan, C. EC., and S. Treepongkaruna, 2004, “Cointegration and causality in the Asian and emerging FX markets: evidence from the 90’s financial crises,” International Review of Financial Analysis 13, 479-515 (ranked A – ABDC, Impact Factor (SNIP):0.829, SJR:0.505, Impact Factor:0.896).
45) Treepongkaruna, S. 2003, “Quasi-Maximum Likelihood Estimates of Kiwi short-term interest rate,” Applied Economics Letters 10 (15), 937-942 (ranked B – ABDC, Impact Factor: 0.378).
46) Treepongkaruna, S. and S.F. Gray, 2003, “Short-term interest rate models: valuing interest rate derivatives using a Monte-Carlo approach,” Accounting and Finance 43 (2), 23-259 (ranked A – ABDC, Impact Factor: 1.396).
47) Treepongkaruna, S. and S.F. Gray, 2003, “On the robustness of short-rate models,” Accounting and Finance 43 (1), 87-121 (ranked A – ABDC, Impact Factor: 1.396).
48) Treepongkaruna, S. and S.F. Gray, 2002, “How to price interest rate derivatives in a no-arbitrage setting,” Accounting Research Journal 15(1), 39-57 (ranked B – ABDC, Impact Factor: 0.5).
49) Treepongkaruna, S. 2001, “Empirical evidence on the credibility of the USD/THB during the transition of the Thai foreign exchange rate regime,” Kasetsart University Economic Journal 7(2).
50) Treepongkaruna, S. 2000, “Modelling THB short-term interest rate,” Thammasart University Economic Journal 17(4).

Books

Book Chapters

Curriculum Development

Draft New Degree

proposal for Master of Applied Finance, UWA, offered for the first time in July 2015 Courses Taught

Undergraduate level: Investments, Financial Instruments and Risk Management, Corporate Finance, Quantitative Methods for Finance, Trading in securities market, Derivatives Investment Strategies Postgraduate level: Applied Investments, Applied Financial Instruments and Risk Management, International Finance, Money Market Dealing, Quantitative Methods in Finance Supervision: PhD and honour students Supervision Doctoral student completion: ▪ Sylwia Nowak (2009): How do company announcements affect trading frequency in stocks? ▪ Hung Do (2013): News impacts on financial return distributions: long memory and regime switching approaches ▪ Christian Baylis (2013): Crisis effects on investors – an examination across markets ▪ Fatima Kushnud (2016): Essay on asset pricing Master thesis completion: ▪ Hwa Hua Auyong (2002): Unit root, co-integration and causality in the Asian and emerging FX market ▪ Sze Ting (2009):Dynamic model of volume-volatility in FX market ▪ Sylwia Nowak (2006):ARCH/GARCH modelling in FX market ▪ Cai, Y. (2007): Asymmetric effect of volume based volatility in FX and stock markets Honours completions: ▪ 2003: Anomaly in HK stock market ▪ 2004: Regional Currency for ASEAN bloc ▪ Tristan Darwin (2007): Dynamic Relationship between equity prices, credit default swap premia, and corporate bond yield spreads ▪ Daniel Rana (2008): Conditional Skewness ▪ Nikki Zeng (2008): Banking Premium in US publicly listed firms ▪ Yuan Xiang CHENG (2010): World Price of Banking Risk ▪ Monica Peng (2010): Contagion and Flight to Quality: Evidences from the Asia-Pacific Region ▪ Glenn Ho (2011): The Effect of Short Selling on Realised Volatility: Evidence from the Australian Stock Market (co-supervise with Marvin Wee) ▪ Ernest Tan (2012): Investor attention and the post earnings announcement drift (co-supervise with Marvin Wee) ▪ Henri Lim (2012): The Impact of Market Sentiment and National Culture on the Financial Stock Markets during Sovereign Credit Rating Changes ▪ Lim, A. (2013): Asset Pricing and Energy Consumption ▪ Broughton, S. (2013): Credit Rating Spillover in Sovereign Debt Markets: Evidence from the Eurozone ▪ Hee, J. (2013): Milestone Age and Individual’s Investment Portfolio ▪ Wong, J. (2015): M&A in Pharmaceutical industry ▪ Foster, S. (2015): Benefits of alternative assets on Australian superannuation ▪ Yan, H (2015): Can talent hedge fund manager time the market? ▪ Chiew, D. (2016): Science vs Astronomy: An Application of the Expected Utility – Entropy Decision Model in Portfolio Selection Administrative role School of Finance and Applied Statistics seminar convenor from 2004-2006 at ANU Department of Accounting and Finance seminar coordinator 2010 at Monash Editorial board for Review of Applied Economics Honour Coordinator semester 2, 2011-semester 2, 2013 Editorial board for Accounting and Finance Referee for journals including Journal of Banking and Finance, Australian Journal of Management, Pacific Basin Finance Journal, Economic Record, Accounting and Finance, Accounting Research Journal, Review of Applied Economics, and Emerging Markets Finance and Trade. Committee Member ANU Scholarship committee 2006 A member of the 2009 FMA Asian Conference Program committee A member of the 2009 EFA Conference Program committee A member of the 2009 AsianFA Conference Technical committee A stream-chair of International Finance and Trade for 2009 ANZIBA conference Alternate Faculty Board member at Monash University from 2009-present Review Panel for 2010 FINSIA conference UWA Scholarship committee 2011 Review Panel for 2012 FMA Asia conference Review Panel for 2012 Auckland Finance Meeting conference Academic Board Member, UWA Board of Postgraduate Studies Member, UWA

Seminar/Conference Paper 2018

2017 Copenhagen Business School, Copenhagen, Denmark NUTU Business School, Tronhiem, Norway Copenhagen Business School, Copenhagen, Denmark The 4th Paris Financial Management Conference, Paris, France
2016 The 3rd Paris Financial Management Conference, Paris, France
2015 The 2nd Paris Financial Management Conference, Paris, France Monash University, Melbourne, Australia
2014 International Corporate Governance Symposium, Bangkok, Thailand UQ Global Leadership Series: Insider Trading Around the World, Brisbane, Australia. The 7th International Accounting & Finance Doctoral Symposium, Trondheim, Norway.
2013 The 1st Paris Financial Management Conference, Paris, France The 6th International Accounting & Finance Doctoral Symposium, Bologna, Italy. The 2013 FEBS/ LabEx-ReFi International Conference, Paris, France International Conference on the Global Financial Crisis and the European Markets and Institutions, Southampton, UK Allied Social Sciences Association (ASSA) Annual Meeting, San Diego, USA (presented by co-author, Mardi Dungey)
2012 EFMA conference, Barcelona, Spain FMA, Asia conference, Phuket, Thailand
2011 Kasetsart University, Thailand MFS conference, Rome, Italy Global Finance conference, Bangkok, Thailand University of Western Australia, Perth, Australia.
2010 MFS Conference, Barcelona, Spain
2009 University of Western Australia, Perth, Australia. Eastern Finance Association Annual Meeting, Washington DC, USA. Asian FA Conference, Brisbane, Australia.
2008 American Finance Association Annual Meeting, New Orleans, USA. Latrobe University, Melbourne, Australia. European Financial Management Association Conference, Athens, Greece. Financial Management Association Conference, Dallas, USA (in Oct 2008)
2007 European Financial Management Association Conference, Vienna, Austria Asia Finance Conference, Hong Kong University of Melbourne, Melbourne, Australia.
2006 European Financial Management Association Conference, Madrid, Spain Asia Finance Conference, Auckland, New Zealand Monash University, Melbourne, Australia.
2005 AFAANZ Conference, Melbourne, Australia. International Conference on Finance, Copenhagen, Denmark
2004 The 12th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Business, Bangkok, Thailand.
2003 AFAANZ Conference, Brisbane, Australia. Research School of Pacific and Asian Studies, ANU, Canberra, Australia. Midwest Finance Association, St. Louis, USA. Kasetsart University, Bangkok, Thailand.
2001 University of Melbourne, Melbourne, Australia. Lincoln University, Christchurch, New Zealand. European Financial Management Association, Paris, France. Southwestern Finance Association, New Orleans, USA.
1997 Bangkok Bank, Bangkok, Thailand.
PROFESSIONAL TRAINING 2001 Futures Research Symposium, Bangkok, Thailand: The 12th Annual Asia- Pacific Futures Research Symposium
2000 QUT Finance Forum, Brisbane, Australia:Risk Measurement and Control Forum
1996 CITI Bank, Singapore: Bourse Games, Bangkok Bank PCL., Bangkok, Thailand: Investment Banking CCMS, Bangkok, Thailand: Regulatory Development on Derivatives in Thailand Bangkok Bank PCL., Bangkok, Thailand: Financial Derivatives Seminar arranged by Fuji Capital Market Corporation Reuters, Bangkok, Thailand: Financial Derivatives “Theory and Practice”
1995 Bank of America, Bangkok, Thailand: Risk Management: FX and derivatives.
1992 SCO Unix Training Center, Olympia, Bangkok, Thailand: Training “C’ programming.

Grants/Awards

1998-2001 UQIPRS (University of Queensland International Postgraduate Research Scholarship), The University of Queensland, Brisbane, Australia.
1998-2001 OPRS (Overseas Postgraduate Research Scholarship), DETYA, Australia.
2001 Summer Research Scholar, Lincoln University, New Zealand.
2003 Faculty Research Grant Scheme, Australian National University, Australia.
2004 Faculty Internal Grant Scheme, Australian National University, Australia.
AFAANZ 2004 Research Fund, Accounting & Finance Association of Australia and New Zealand.
AFAANZ 2005 Research Fund, Accounting & Finance Association of Australia and New Zealand.
2006 Best paper award, AsiaFA/FMA conference, New Zealand College Internal Grant Scheme, Australian National University, Australia.
2007 College Internal Grant Scheme, Australian National University, Australia.
2008 College rewards for publication in top-tier journal list, Australian National University, Australia.
2009 MCFS Research Grant, Melbourne Centre for Financial Studies, awarded $9,000 for a year.
2011 Best paper award, Global Finance conference, Bangkok, Thailand UWA ISL Grant, “Enquiry-based learning versus Teacher-centred Learning: Evidence from a simulated trading game,” awarded $3,000.
AFAANZ 2012 Research Fund, Accounting & Finance Association of Australia and New Zealand (as mentor for Ronny Hoffman) ARC Discovery Grant DP130103299, “The economic cost of insider trading, culture, legislation, governance, gender and crisis impacts: comparative evidence from around the globe” awarded $404,485 for 2013-2015.
2013 Runner-Up for the E. Yetton Prize.
2012 Best Paper Award in the Australian Journal of Management.
2013 Prize Winning Paper for the best research by a FIRN Cross Institutional Research Team, UWABS Dean’s Research Fellowship, UWA Business School Research Grant.
2021-23 Senior Research Fellow, National Research Council of Thailand, “Sustainable Developments in Financial and Capital Markets, awarded THB6,000,000 for 3 years.
2022-24 Sustainability in Financial & Capital Market Development Research Unit, Rachadasompoch, Chulalongkorn University, awarded THB3,000,000 for 3 years
2023-24 Thailand Capital Market Development Fund, Stock Exchange of Thailand, Market Microstructure: Evidence from Thai Bond Market, awarded THB1,916,200
2023-25 Thailand Capital Market Development Fund, Stock Exchange of Thailand, Measuring Corporate Culture Using Machine Learning: Evidence from Thai listed companies, awarded THB2,294,600
2024-25 Thailand Science Research and Innovation Fund Chulalongkorn University, Economics and Air Quality Impact Assessment of PM2.5 Mitigation Measures in Bangkok Area, awarded THB1,000,000

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