Department of Economics & Finance
College of Business - City University of Hong Kong AACSB International EQUIS - European Quality Improvement System

Research Highlight

Selected Awards and Honours

Wu, Xueping

  • 2008 CICF Best Paper Award for the best papers at the China International Conference in Finance
  • 2006, 2008 NTU Outstanding Paper Award for the best papers at the International Conference on Finance
  • 2006 KSA Best Paper Award (third place) for the best papers at the 1st International Conference on Asian-pacific Financial Markets

Selected Books and Book Chapters

  • Evolving Role of Asia in Global Finance, by Yin-Wong Cheung, Vikas Kakkar and Guonan Ma, Bingley: Emerald Group Publishing Limit, 2011.
  • Mortgage Market Worldwide,by Ben-Shafar, Danny; Charles K. Y. Leung and Seow Eng Ong, co-edit, Oxford: Blackwell, 2008.
  • "Voluntary Provision of Public Goods" in HANDBOOK OF EXPERIMENTAL ECONOMICS RESULTS, vol. 1, by Kenneth Chan, Stuart Mestelman and R. Andrew Muller,, edited by Charles Plott, Vernon Smith, New York: North-Holland, 2008.
  • Critical issues in China's growth and development, edited by Yum K. Kwan and Eden S.H. Yu,  Aldershot, Hants, England ; Burlington, VT : Ashgate Pub., c2005.
  • Environmental policy, international trade, and factor markets, Chi-Chur Chao and Eden S.H. Yu,  Amsterdam ; Oxford : Elsevier, 2004. 

Selected Journal Articles

The following list is a selection of the recent journal publications and scholarly books of our regular and visiting faculty members:

Cai, Jun (Associate Professor)
Research interests: Investments, Market-microstructure, Japanese Capital Markets

  • “Price Clustering on the Limit-Order Book: Evidence from the Stock Exchange of Hong Kong,” Journal of Financial Markets, (with H.J. Ahn and Y.L Cheung), Vol. 8, No. 4, November 2005, pp. 421-451.
  • “Adverse Selection, Brokerage Coverage, and Trading Activity on the Tokyo Stock Exchange,” Journal of Banking and Finance, (with H.J. Ahn, Y. Hamao and R.Y.K. Ho), Vol. 29, No. 6, June 2005, pp. 1483-1508.
  • “The Components of the Bid-Ask Spread in a Limit-Order Market: Evidence from the Tokyo Stock Exchange,” Journal of Empirical Finance, (with H.J. Ahn, Y. Hamao and R.Y.K. Ho), Vol. 9, No. 4, November 2002, pp. 399-430.
  • “The Performance of Japanese Mutual Funds,” Review of Financial Studies, (with K.C. Chan and T. Yamada), Vol. 10, No. 2, 1997, pp. 237-274, (leading article).
  • “A Markov Model of Switching-Regime ARCH,” Journal of Business and Economic Statistics, Vol. 12, No. 3, July 1994, pp. 309-316.

Chan, Wing-Hong (Visiting Associate Professor)
Research interests: Financial Econometrics, Derivatives, Risk Management, Asset Pricing Models

  • “The Economic Value of Using Realized Volatility in Forecasting Future Implied Volatility,” Journal of Financial Research, (with R. Jha and M. Kalimipalli), forthcoming.
  • “Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps,” Studies in Nonlinear Dynamics & Econometrics, Vol. 12, Issue 2, 2008, Article 4.
  • “Jumping Hedges: An Examination of Movements in Copper Spot and Futures Markets,” Journal of Futures Markets, (with D. Young), Vol. 26, No. 2, 2006, pp. 169-188.
  • “Occupational Labour Demand and the Sources of Non-Neutral Technical Change,” Oxford Bulletin of Economics and Statistics, (with D.P. Rich), Vol. 68, No. 1, 2006, pp. 23-43.
  •  “Conditional Jump Dynamics in Stock Market Returns,” Journal of Business and Economic Statistics, (with J.M. Maheu), Vol. 20, No. 3, July 2002, pp. 377-389.

Fang, Zhenmin (Associate Professor)
Research interests:  Portfolio Management, Futures Market, China Stock Market

  • “No Gains from Dual Listing in the Shanghai Stock Exchange,” in Advances in Pacific Basin Financial Markets, T. Bos and T.A. Fetherston (eds.), JAI Press, Vol. 3, 1997, pp. 91-100.
  • “Using Interest Rate Swaps to Manage Corporate Bonds,” in Advances in Pacific Basin Financial Markets, T. Bos and T.A. Fetherston (eds.), JAI Press, Vol. 1, 1995, pp. 39-50.
  • “The Price Behavior and Hedging Effectiveness of Interest Rate Futures in Hong Kong,” The Review of Futures Markets, Vol. 12, No. 3, 1993, pp. 629-649.
  • “Intraday Arbitrage Opportunities and Price Behavior of the Hang Seng Index Futures,” The Review of Futures Markets, (with Richard Y.K. Ho and C.K. Woo), Vol. 11, No. 3, 1992, pp. 413-430.
  • “Two Factor Model for Bond Selection,” Economic Letters, (with C.K. Woo), Vol. 37, No. 4, 1991, pp. 417-421.

Ho, To-Ming (Associate Professor)
Research interest: Trade Elasticities, Education

  • “Preparing Business Students for the Challenge Ahead: A Case Study,” Journal of Teaching in International Business, (with M. Pang), Vol. 16, No. 4, 2005, pp. 45-64.

Ho, Richard Y.K. (Chair Professor of Finance)
Research interests: Investments, Financial Systems

  • “Tick Size Change and Liquidity Provision for Japanese Stock Trading near 1,000 Yen,” Japan and the World Economy, (with J. Cai and Y. Hamao),Vol. 20, 2008, pp. 19-39.
  • “Adverse Selection, Brokerage Coverage and Trading Activity on the Tokyo Stock Exchange,” Journal of Banking and Finance, (with H.J. Ahn, J. Cai and Y. Hamao), Vol. 29, Vol. 6, June 2005, pp. 1483-1508.
  • “The Components of the Bid-Ask Spread in a Limit-Order Market: Evidence from the Tokyo Stock Exchange,” Journal of Empirical Finance, (with H.J. Ahn, J. Cai and Y. Hamao), Vol. 9, No. 4, 2002, pp. 399-430.
  • “Market Closure Effects on Return, Volatility, and Turnover Patterns in the Hong Kong Index Futures Market,” International Financial Markets, Institutions and Money, (with Raymond S.K. Lee), Vol. 8, 1998, pp. 433-451.
  • “The Hong Kong Securities Markets: Review and Prospects”, Asia-Pacific Financial Markets, Vol. 5, 1998, pp. 29-44.

Kakkar, Vikas (Associate Professor)
Research interests: International Finance, Macroeconomics, Applied Game Theory

  • “Money Demand in Japan and Nonlinear Cointegration,” Journal of Money, Credit and Banking, (with Y. Bae and M. Ogaki), Vol. 38, No. 6, September 2006, pp. 1659-1667.
  •  “On the Evolution of Comparative Advantage in Matching Models,” Journal of International Economics, (with E. Fisher), Vol. 64, 2004, pp. 169-193.
  • “The Relative Price of Nontraded-Goods and Sectoral Total Factor Productivity: An Empirical Investigation,” Review of Economics and Statistics, Vol. 85, No. 2, 2003, pp. 444-452.
  • “Capital-Labor Ratios and Total Factor Productivity in the Balassa-Samuelson Model,” Review of International Economics, Vol. 10, No. 1, 2002, pp. 166-176.
  •  “Real Exchange Rates and Nontradables: A Relative Price Approach,” Journal of Empirical Finance, (with M. Ogaki), Vol. 6, 1999, pp. 193-215.

Kwan, Fred Y.K. (Associate Professor)
Research interests: Econometrics, Macroeconomics, Hong Kong and Chinese Economy

  • “Intellectual Property Rights Protection and Endogenous Economic Growth,” Journal of Economic Dynamics and Control, (with Edwin L.C. Lai), Vol. 27, No. 5, March 2003, pp. 853-873.
  • “What are the Determinants of the Location of Foreign Direct Investment? The Chinese Experience,” Journal of International Economics, (with Leonard K. Cheng), Vol. 51, No. 2, August 2000, pp. 379-400.
  • “Asymptotic Bayesian Analysis Based on a Limited Information Estimator,” Journal of Econometrics, Vol. 88, No. 1, January 1999, pp. 99-121.
  • “How the Basic RBC Model Fails to Explain US Time Series,” Journal of Monetary Economics, (with Gregory C. Chow), Vol. 41, No. 2, April 1998, pp. 301-318.
  • “Estimating Economic Effects of Political Movements in China,” Journal of Comparative Economics, (with Gregory C. Chow), Vol. 23, No. 2, October 1996, pp. 192-208.

Leung, Charles K.Y. (Associate Professor)
Research interests: Macroeconomics, Economics of Education, Economics of Real Estate

  • “Asset Price Spillover, Collateral and Crises: With An Application to Property Market Policy,” Journal of Real Estate Finance and Economics, (with N.K. Chen), Vol. 37, No. 4, 2008.
  • “Institutions, Technical Change and Macroeconomic Volatility, Crisis and Growth: A Robust Causation,” Journal of Macroeconomics, (with S.H.K. Tang and N. Groenewold), forthcoming.
  • Stock Price Volatility, Negative Auto-Correlation and Consumption-Wealth Ratio: The Case of Constant Fundamentals,” Pacific Economic Review, (with N.K. Chen), forthcoming.
  • “Equilibrium Correlations of Asset Price and Return,” Journal of Real Estate Finance and Economics, Vol. 34, No. 2, February 2007, pp. 233-256.
  • “Redistribution through Education and Other Transfer Mechanisms,” Journal of Monetary Economics, (with Eric A. Hanushek and K. Yilmaz), Vol. 50, Issue 8, November 2003, pp. 1719-1750. (Earlier version was circulated as National Bureau of Economic Research (NBER) Working Paper 8588.)

Li, Kui-Wai (Associate Professor)
Research interests: China’s Growth and Financial Development, Asia-Pacific and Hong Kong Economies, Globalization and Growth

  • “Economic Performance of Human Capital in Post-Reform China,” The Chinese Economy, (with L. Yun and G.C.S. Liu), forthcoming.
  • “Output Volatility of Five Crisis-Affected East Asian Economies,” Japan and the World Economy, (with M.L. Kwok), 2008.
  • “The Commutative Effect and Casuality of Openness and Indigenous Factors among World Economies,” Working Paper 245/08, Center for the Globalisation and Regionalisation, University of Warwick, UK, (with X. Zhou), June 2008.
  • “Productivity and Manufacture Export Causality among World Regions: 1989-1999,” The International Trade Journal, (with S. Bender), Vol. 21, No. 2, April 2007, pp. 121-159.
  • “Disparity in Factor Contributions between Coastal and Inner Provinces in Post-Reform China,” China Economic Review, (with T. Liu), Vol. 17, No. 4, 2006, pp. 449-470.

Li, Tao (Assistant Professor)
Research interests: Equilibrium Asset Pricing Models, Term Structure Models and Credit Risk, Derivatives, Contract Theory

  • “The Dynamics of Credit Spreads and Ratings Migrations,” Journal of Financial and Quantitative Analysis, (with H. Farnsworth), Vol. 42, Issue 3, September 2007, pp. 595-620.
  • “Heterogeneous Beliefs, Asset Prices, and Volatility in a Pure Exchange Economy,” Journal of Economic Dynamics and Control , Vol. 31, Issue 5, May 2007, pp. 1697-1727.
  • “Role of Index Bonds in an Optimal Dynamic Asset Allocation Problem with Real Subsistence Consumption,” Applied Mathematics and Computation, (with N. Gong), Vol. 174, 2006, pp. 710-731.

Tung, Humphrey K.K. (Visiting Assistant Professor)
Research interests: Derivative Pricings and Risk Analytics

  • “Financial Risk Forecasting with Nonlinear Dynamics and Support Vector Regression,” Journal of the Operational Research Society, forthcoming.

Vinaimont, Tom (Assistant Professor)
Research interests: Fixed Income Securities, International Finance, Corporate Finance

  • “Thin Trading Effects in Beta: Bias v Estimation Error,” Journal of Business Finance and Accounting, (with P. Sercu and M. Vandebroek), Vol. 35, Issue 9-10, November-December 2008, pp. 1196-1219.
  • “Selecting a Bond-Pricing Model for Trading, Benchmarking, Pooling and Other Issues,” Journal of Business Finance and Accounting, (with P. Sercu), Vol. 35, Issue 1, January 2008, pp. 250-280.
  • “The Forward Bias in the ECU: Peso Risks vs. Fads and Fashions,” Journal of Banking and Finance, (with P. Sercu), Vol. 30, No. 8, August 2006, pp. 2409-2432.

Wang, James J. (Associate Professor)
Research interests: Corporate Finance, Auctions, Market Microstructure

  • “A Theory of Socialistic Internal Capital Markets,” Journal of Financial Economics, (with A.E. Bernardo and J. Luo), Vol. 80, No. 3, June 2006, pp. 485-509.
  • “Inter-Dealer Trading in Financial Markets,” Journal of Business, (with S. Viswanathan), Vol. 77, No. 4, 2004, pp. 987-1040.
  • “Auctioning Divisible Goods,” Economic Theory, (with J.F. Zender), Vol. 19, No. 4, June 2002, pp. 673-705.
  • “Market Architecture: Limit-Order Books versus Dealership Markets,” Journal of Financial Markets, (with S. Viswanathan), Vol. 5, No. 2, April 2002, pp. 127-167.

Wang, Junbo (Associate Professor)
Research interests: Market Microstructure, Fixed Income, Asset Pricing

  • “Liquidity, Default, Taxes, and Yields on Municipal Bonds,” Journal of Banking and Finance, (with C. Wu and F. Zhang), Vol. 32, Issue 6, June 2008, pp. 1133-1149.
  • “Information Risk and Asset Pricing: Evidence from the U.S. Government Bond Market,” Journal of Finance, (with Y. He, H. Li and C. Wu), forthcoming.
  • “The Determinants of Corporate Bond Credit Spreads,” The Quarterly Review of Economics and Finance, (with S. Liu, J. Shi and C. Wu), forthcoming.
  • “How Much of the Corporate Bond Spread is Due to Personal Taxes,” Journal of Financial Economics, (with S. Liu, J. Shi and C. Wu), Vol. 85, No. 3, September 2007, pp. 599-636 (lead article).
  • “An Analysis of the Share Price and Accounting Performance of Rights Offerings in China,” Pacific-Basin Finance Journal, (with John K.C. Wei and Stephen W. Pruitt), Vol. 14, No. 1, January 2006, pp. 49-72.

Wang, Yong (Associate Professor)
Research interests: Macroeconomics, Financial Economics, Economic Growth

  • “Factor Taxation and Growth under Asymmetric Information,” Journal of Public Economics,(with W.H. Ho),Vol. 91, Issues 3-4, April 2007, pp. 775-789.
  • “Public Capital, Asymmetric Information, and Economic Growth,” Canadian Journal of Economics, (with W.H. Ho), Vol. 38, No. 1, February 2005, pp. 57-80.
  • “Inducing Human Capital Formation: Migration as a Substitute for Subsidies,” Journal of Public Economics, (with O. Stark), Vol. 86, No. 1, October 2002, pp. 29-46.
  • “Money and Credit in Liquidity Provision,” Journal of Banking and Finance, (with H. Zhou), Vol. 25, No. 11, November 2001, pp. 2041-2067.
  • “The Real Value of Money under Endogenous Beliefs,” Journal of Economic Theory, (with G. Bertocchi), Vol. 67, No. 1, October 1995, pp. 205-222.

Wong, Michael C.S. (Associate Professor)
Research interests: Financial Institutions, Venture Capitals, Financial Markets

  • “The Determinants of Net Interest Margins of Commercial Banks in Mainland China,” Emerging Markets Finance and Trade, (with K. Zhou), Vol. 44, Issue 5, September-October 2008, pp. 41-53.
  • “The Importance and Performance of Key Success Factors of International Joint Venture Hotels in China,” The Chinese Economy, (with S. Li and S. Luk), Vol. 39, No. 6, November - December 2006, pp. 83-94.
  • “Equity Ownership and Management Control in Sino-Foreign Joint Venture Hotels,” The Services Industries Journal, (with S. Luk and Stephen C.Y. Li), Vol. 25, No. 1, January 2005, pp. 117-133.
  • “Institutional Foundations: Credit Insurers, Asset-Backed Securitization Corporations and Asian Bond Funds,” Developing Asian Bond Markets, (with R.Y.K. Ho), T. Ito and Y. C. Park (eds.), Asia Pacific Press at the Australia National University, 2004.
  • “Market Risk Management of Banks: Implications from the Accuracy and Value-at-Risk Forecasts,” Journal of Forecasting, (with W.Y. Cheng and C.Y.P. Wong), Vol. 22, No. 1, November 2003, pp. 23-33.

Wu, Xueping (Associate Professor)
Research interests: Corporate Finance, Asset Pricing and Capital Markets, International Financial Management

  • “Is the Forward Bias Economically Small? Evidence from European Rates,” Journal of International Money and Finance, (with P. Sercu and M. Vandebroek), forthcoming.
  • “Equity Financing in a Myers-Majluf Framework with Private Benefits of Control,” Journal of Corporate Finance, (with Z. Wang), Vol. 11, No. 5, October 2005, pp. 915-945.
  • “Understanding the Positive Announcement Effects of the Private Equity Placements: New Insights from Hong Kong Data,” Review of Finance, (with Z. Wang and J. Yao), Vol. 9, No. 3, September 2005, pp. 385-414.
  • “The Value Information of Financing Decisions and Corporate Governance During and after the Japanese Deregulation,” Journal of Business, (with Lily L. Xu), Vol. 78, No. 1, 2005, pp. 243-280.
  • “A Conditional Multifactor Analysis of Return Momentum,” Journal of Banking and Finance, Vol. 26, No. 8, 2002, pp. 1675-1696. (Winner of the 2003 Iddo Sarnat Award, second place, for the Best Papers published in the 2002 issues of JBF).

Yan, Isabel K.M.  (Associate Professor)
Research interests: International Finance, Econometrics, South-East Asian Economies

  • “The International Linkages of the Japanese Stock Market,” Japan and the World Economy (with T. Chong and Y.C. Wong), Vol. 20, Issue 4, December 2008, pp. 601-621.
  • “On the Convergence of the China and Hong Kong Stock Markets: A Cointegration Analysis of the A and H Shares,” Applied Financial Economics, (with Q. Su and T. Chong), Vol. 17, Issue 16, November 2007, pp. 1349-1357.
  • “Balance of Payment Crises under Inflation Targeting,” Journal of International Economics, (with M. Kumhof and S. Li), Vol. 72, Issue 1, May 2007, pp. 242-264.
  • “The Aggregated Structural-Change Model,” Economics Bulletin, (with G. Liu and T. Chong), Vol. 3, No. 2, 2007, pp.1-10.
  • “Predicting Currency Crises with a Nested Logit Model,” Pacific Economic Review, (with L. Lau), Vol. 10, No. 3, 2005, pp. 295-316 (lead article).

Yu, Eden S.H. (Visiting Professor)
Research interests: International Trade Theory, Economic Development

  • “Imperfect Capital Mobility: A General Approach to the Two-Sector Harris – Today Economy,” Review of International Economics, (with J.Y. Choi), forthcoming.
  • “Government Budget, Public-Sector Wages and Capital Taxes in a Small Open Economy: A Hong Kong Case,” China Economic Review, forthcoming.
  • “Tourism, Dutch Disease and Welfare in an Open Dynamic Economy,” Japan Economic Review, (with C.C. Chao, B. Hazari, J. Laffargue and P. Sgro), Vol. 57, No. 4, December 2006, pp. 501-515.
  • “Partial Privatization, Foreign Competition and Optimum Tariff,” Review of International Economics, (with C.C. Chao), Vol. 14, No. 1, February 2006, pp. 97-102.
  • “Export-Performance Requirements, Foreign Investment Quotas, and Welfare in a Small Dynamic Economy,” Journal of Development Economics, (with C.C. Chao), Vol. 72, No. 1, October 2003, pp. 387-400.

Zou, Joe H. (Associate Professor)
Research interests: Corporate Risk Management, Insurance, Corporate Finance in China

  • “Mutual Funds' Ownership and Firm Performance: Evidence from China,” Journal of Banking & Finance, (with R. Yuan and J. Xiao), forthcoming.
  • “Controlling-Minority Shareholder Incentive Conflicts and Directors' and Officers' Liability Insurance: Evidence from China,” Journal of Banking & Finance, (with S. Wong, C. Shum, J. Xiong, and J. Yan), Vol. 32, No. 12, December 2008, pp. 2636-2645.
  • “Corporate Ownership and Equity Risks and Returns in the People’s Republic of China,” Journal of International Business Studies (with M.B. Adams), Vol. 39, No. 3, 2008, pp. 1149-1168.
  • “Debt Capacity, Cost of Debt and Corporate Insurance,” Journal of Financial and Quantitative Analysis, (with M.B. Adams), Vol. 43, No. 2, 2008, pp. 433-466.
  • “Reinsurance and Corporate Taxation in the United Kingdom Life Insurance Industry,” Journal of Banking and Finance, (with M.B. Adams and P. Hardwick), Vol. 32, 2008, pp. 101-115.