- Faculty, Finance, Sasin School of Management
- Senior Fellow, Sasin School of Management
- 2024: Director Certification Program (DCP 352), Thai Institute of Directors
- 2011: Graduate Certificate in Higher Education, Monash University
- 2001: Ph.D. (Finance), School of Commerce, The University of Queensland, Brisbane, Australia Dissertation Title: Essay on one-factor interest rate models Committee Chairman: Professor Stephen Gray
- 1994: MBA (International Finance and Banking), SBPM, The George Washington University, Washington D.C., USA.
- 1992: BSc. in Statistics (Honors), Faculty of Commerce and Accountancy, Chulalongkorn University, Bangkok, Thailand.
- 2020 – Present: Visiting Professor and Senior Research Fellow, Sasin School of Management, Chulalongkorn University, Thailand
- 2022 – Present: Emeritus Professor, UWA Business School, The University of Western Australia, Perth, Australia.
- 2011 – 2022: Professor in Finance, Accounting and Finance Discipline, UWA Business School, Perth, Australia
- 2009 – 2010: Senior Lecturer in Finance, Department of Accounting and Finance, Monash University, Melbourne, Australia.
- 2003 – 2008: Senior Lecturer in Finance, School of Finance and Applied Statistics, The Australian National University, Canberra, Australia.
- 2002: Lecturer in Finance, School of Finance and Applied Statistics, The Australian National University, Canberra, Australia.
- 2001 – 2002: Lecturer in Finance, Commerce Department, Lincoln University, Christchurch, New Zealand.
- 1999: Casual Tutor, School of Commerce, The University of Queensland, Brisbane, Australia
- 1996 – 1997: Derivatives Dealer, Foreign Exchange Trading Department, Bangkok Bank,Bangkok, Thailand.
- 1995 – 1996: Swap Dealer, Foreign Exchange Trading Department, Bangkok Bank, Bangkok, Thailand.
- 1994: Teaching Assistant, SBPM, The George Washington University, Washington
- 1992: System Analyst, MIS, Petroleum Authority of Thailand, Bangkok, Thailand.
- 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).
- Hull, J., Treepongkaruna, S., Pitt, D., Heaney, R. and Colswell, D., 2013, Fundamentals of Futures and Options Market, Pearson.
- 1) Bissoondoyal-Bheenick, E., Brooks, R., Treepongkaruna, S., and Wee, M., 2015, “Realized Volatility of Spread: What influence the volatility of liquidity?” in Risk Management in Emerging Markets: Issues, Framework and Modeling
- 2) Treepongkaruna, S. and E.Wu, 2009, Rating skewness spillovers in equity and currency markets: Evidence from the Pacific-Rim, in Gregoriou, G. N. (ed.) Emerging Markets: Performance, Analysis and Innovations, Chapman-Hall /Taylor and Francis, London UK.
- 3) Sarajoti, P., Papangkorn, S. Chatjuthamard, P., and Treepongkaruna, S., 2022, “CSR and Female Directors: A Review and Future Research Agenda,” Corporate Social Responsibility
- 4) Sarajoti, P., Papangkorn, S. Chatjuthamard, P., and Treepongkaruna, S., 2022, “Corporate Innovation and Sustainability,” Corporate Social Responsibility”
Draft New Degree
- proposal for Master of Applied Finance, UWA, offered for the first time in July 2015 Courses Taught
- 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.
- 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