2019 DMC - Academic Programme

DAY ONE

THU 8.30         REGISTRATION, COFFEE/TEA           
  
THU 9.00-11.00 SESSION 1A
Chairperson Robert I Webb, University of Virginia
  
Presenter Bart Frijns, Auckland University of Technology
Paper The Determinants of Price Discovery on Bitcoin Markets
Discussant Stefan Greppmair, University of Mannheim
  
Presenter Ognjen Kovacevic, Macquarie University
Paper The Sensitivity of Trading to the Cost of Information
Discussant Balasingham Balachandran, La Trobe University
  
Presenter Balasingham Balachandran, La Trobe University
Paper Informed Trading in the Options Market around CEO Turnover Announcements for Announcers, and their Suppliers and Customers
Discussant Ognjen Kovacevic, Macquarie University
  
Presenter Alex Frino, University of Wollongong
Paper The Impact of HFT on the Speed of Adjustment to New Information: Evidence from Interest Rate Derivatives
Discussant Bart Frijns, Auckland University of Technology
  
THU 9.00-11.00 SESSION 1B
Chairperson Raymond Kim, UC Riverside
  
Presenter Xin Huang, Federal Reserve Board
Paper The Risk of Betting on Risk: Conditional Variance and Correlation of Bank Credit Default Swaps
Discussant Leon Li, University of Waikato
  
Presenter Viet Nguyen, University of Melbourne
Paper On the International Spillover Effects of Country-Specific Financial Sector Bailouts and Sovereign Risk Shocks
Discussant Raymond Kim, UC Riverside
  
Presenter Leon Li, University of Waikato
Paper The relationship between sovereign bonds and credit default swaps: Does arbitrage increase market volatility?  
Discussant Viet Nguyen, University of Melbourne, St Gallen University
  
THU 11.00 - 11.30 COFFEE/TEA BREAK
  
THU 11.30-13.00 SESSION 2A
Chairperson Viet Nguyen, University of Melbourne
  
Presenter Tian Yue, University of Otago
Paper How Do Chinese Option-Traders "Smirk" on China: Evidence from SSE 50 ETF options
Discussant Ryan McKeon, University of San Diego
  
Presenter Jiling Cao, Auckland University of Technology
Paper Inferring information from the S&P 500 and CBOE indices: The more the merrier?
Discussant Zhipeng Yan, New Jersey Institute of Technology
  
Presenter Ryan McKeon, University of San Diego
Paper Time Variation in Options Expected Returns
Discussant Dean Diavatopoulos, Seattle University
  
THU 11.30-13.00 SESSION 2B
Chairperson Bei Chen, University of Sydney
  
Presenter Guanglian Hu, ITAM
Paper The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns
Discussant Shu Su, Auckland University of Technology
  
Presenter Bei Chen, University of Sydney
Paper Sentiment, Implied Volatility Slope, and Risk-Neutral Skewness
Discussant Guanglian Hu, ITAM
  
Presenter Shu Su, Auckland University of Technology
Paper Pricing VIX Derivatives with Infinite-Activity Jumps
Discussant Haehean Park, Southwestern University of Finance and Economics
  
THU 13.00 - 14.00 LUNCH BREAK
  
THU 14.00-15.30 SESSION 3A
Chairperson Yulia Veld-Merkoulova, Monash University
  
Presenter Stefan Greppmair, University of Mannheim
Paper Small Is Beautiful? How the Introduction of Mini Futures Contracts Affects the Regular Contract
Discussant Alex Frino, University of Wollongong
  
Presenter Qunzi Zhang, Shandong University
Paper Skewness and Index Futures Return
Discussant Tao Huang, Xi'an Jiaotong-Liverpool University
  
Presenter Yulia Veld-Merkoulova, Monash University
Paper Predictive Abilities of Speculators in Energy Markets
Discussant  Jin Boon (Jeff) Wong, Macquarie University
  
THU 14.00-15.30 SESSION 3B
Chairperson Ryan McKeon, University of San Diego
  
Presenter Raymond Kim, UC Riverside
Paper Disproportionate Costs of Uncertainty: Small Bank Hedging and Dodd-Frank
Discussant Xin Huang, Federal Reserve Board
  
Presenter Haehean Park, Southwestern University of Finance and Economics
Paper Informed Option Trading on the Implied Volatility surface: A Cross-sectional Approach
Discussant Tian Yue, University of Otago
  
THU 15.30 - 16.00  COFFEE/TEA BREAK
  
THU 16.00 - 17.00 KEYNOTE
 Robert I. WEBB, UNIVERSITY OF VIRGINIA
  The Internationalization of Futures Markets:  Lessons from the Past
Abstract Futures markets facilitate both price discovery and the transfer of risks.   Other things equal, the greater the trading volume of a futures market the greater is its contribution to price discovery.  Futures exchanges have long sought to "internationalize" their markets by attracting foreign order flow - particularly from "natural hedgers."  This talk examines some of the lessons from past attempts to internationalize futures markets and assesses their implications for today.  Particular attention is directed toward assessing the impact of the internationalization of Chinese commodity futures markets on global price discovery.
  
THU 19.00 - 21.30 Conference Dinner at The Bathhouse
  38 Marine Parade, Queenstown Town Centre
  

DAY TWO

FRI 9.00                  COFFEE/TEA ON ARRIVAL
  
FRI 9.00-11.00 SESSION 4
Chairperson Dean Diavatopoulos, Seattle University
  
Presenter Tingxi Zhang, Griffith University
Paper A Practical Look at Commodity Risk Factors in China
Discussant Yulia Veld-Merkoulova, Monash University
  
Presenter Loïc Maréchal, University of Neuchâtel
Paper Commodity Index Funds: The price impact of the roll on commodities futures contracts
Discussant Adrian Fernandez-Perez, Auckland University of Technology
  
Presenter Adrian Fernandez-Perez, Auckland University of Technology
Paper Profit Margin Hedging in the New Zealand Dairy Farming Industry
Discussant Loïc Maréchal, University of Neuchâtel
  
Presenter Jin Boon (Jeff) Wong, Macquarie University
Paper The Influence of Major Energy Prices on China's Industries
Discussant Tingxi Zhang, Griffith University
  
FRI 11.00 - 11.30 COFFEE/TEA BREAK
  
FRI 11.30-13.00 SESSION 5
Chairperson Xin Huang, Federal Reserve Board
  
Presenter Tao Huang, Xi'an Jiaotong-Liverpool University
Paper Asymmetric Variance Premium, Skewness Premium, and the Cross-Section of Stock Returns
Discussant Qunzi Zhang, Shandong University
  
Presenter Zhipeng Yan, New Jersey Institute of Technology
Paper Attention: Implied Volatility Spreads and Stock Returns
Discussant Bei Chen, University of Sydney
  
Presenter Dean Diavatopoulos, Seattle University
Paper Show Me the Money: Option Moneyness Concentration and Future Stock Returns
Discussant Jiling Cao, Auckland University of Technology
  
FRI 13.00 - 14.00 LUNCH BREAK + AWARDS