2016 Derivative Markets Conference
11th & 12th August 2016, Auckland, New Zealand
The Auckland Centre for Financial Research at the Faculty of Business and Law, Auckland University of Technology will be hosting a two-day conference that focuses on derivative markets. We invite academics and professionals to submit papers that model/explain features of derivative markets.
SPECIAL ISSUE
The Journal of Futures Markets has dedicated a special issue to selected papers presented at the conference.
KEYNOTE SPEAKER:
Prof. Robert I. Webb, University of Virginia, US
BEST PAPER AWARDS:
Best Paper Award NZD 2,000
Runner Up Award NZD 1,000
PAPER SUBMISSION:
Deadline for paper submission: 16 May 2016
Papers can be submitted by clicking the button below.
Authors will be informed of the outcome of their submission by June 15 2016.
REGISTRATION:
The deadline for registration was 1 July 2016 (NZD350 Registration Fee). Registration is now closed.
MEETING ORGANIZERS:
Bart Frijns
Professor of Finance, AUT University
Director of the ACFR
Alireza Tourani-Rad
Professor of Finance, AUT University
Robert I. Webb
Professor of Finance, University of Virginia, US
ACADEMIC PROGRAMME OVERVIEW
Friday 12th August 2016
08h30 to 10h30 - Session One
Session 1 Chair: Bart Frijns
Presenter:Deepak Agrawal, Indian School of Business
Paper:Do Derivatives Matter?: Evidence From A Policy Experiment
Discussant: Injun Hwang , Korea University Business School
Presenter: Fergus Bevin-McCrimmon, University of Otago
Paper: Liquidity and Risk Premia in the New Zealand Electricity Futures Market
Discussant: Prasenjit Chakrabarti, Indian Institute of Management Indore
Presenter: Xiaopeng Wei, University of Canterbury
Paper: Does the tail wag the dog? Evidence from fund flow to VIX ETFs and ETNs
Discussant: Ilnara Gafiatullina, Auckland University of Technology
Presenter:José Da Fonseca, Auckland University of Technology
Paper:Variance and Skew Risk Premiums for the Volatility Market: The VIX Evidence
Discussant: Chaohua He , University of International Business and Economics
10h30 to 10h45 Coffee/Tea Break
10h45 to 12h45 - Session Two
Session 2 Chair: Alireza Tourani-Rad
Presenter:Johan Bjursell, Credit Suisse, Tokyo, Japan
Paper:VPIN, Jump Dynamics, Inventory Announcements in Energy Futures Markets
Discussant:Adrian Fernandez-Perez, Auckland University of Technology
Presenter: Prasenjit Chakrabarti, Indian Institute of Management Indore
Paper: An Empirical Investigation on Information in Options Order Flow and Volatility Risk Premium
Discussant: Weiping Li, Southwest Jiaotong University and Oklahoma State University
Presenter: Bo Young Chang, Bank of Canada
Paper: Equity Option Implied Probability of Default and Equity Recovery Rate
Discussant: Jose Da Fonseca, Auckland University of Technology
Presenter: Adrian Fernandez-Perez, Auckland University of Technology
Paper: Did the Introduction of ETPs Change the Intraday Price Dynamics of VIX Futures?
Discussant: Johan Bjursell, Credit Suisse, Tokyo, Japan
12.45-14.00
Lunch + Keynote
Keynote Speaker: Prof. Robert I. Webb, University of Virginia, Charlottesville, USA
Crowded Trade Risk and Trader Induced Volatility The sudden unwinding of “crowded trade” positions exacerbates price moves and creates volatility. Such events may occur on their own or be precipitated by the actions of other market participants (intentionally or not). Whatever the cause, the volatility that accompanies the unwinding of crowded trades is largely unrelated to economic fundamentals. It is almost entirely trader-induced. This talk assesses the importance of crowded trade risk and other forms of trader-induced volatility and, discusses the implications for practitioners, policymakers and academics alike.
14h00 to 16h00 - Session Three
Session 3 Chair: Robert I. Webb, University of Virginia
Presenter:Jared DeLisle, Utah State University
Paper:Anchoring and Probability Weighting in Option Prices
Discussant: Hardy Hulley , University of Technology Sydney
Presenter: Chaohua He, University of International Business and Economics
Paper: Risk Premia in Chinese Commodity Markets
Discussant: Deepak Agrawal , Indian School of Business
Presenter:Changki Kim, Korea University Business School
Paper:Zero Lower Bound and Economic Determinants of the Cap Market
Discussant:Fergus Bevin-McCrimmon, University of Otago
Presenter:Ilnara Gafiatullina, Auckland University of Technology
Paper:Time Varying Price Discovery in VIX Exchange Traded Notes: A Tale of Retail vs. Institutional Trades
Discussant:Bo Young Chang, Bank of Canada
16h00 to 16h15 Coffee/Tea Break
16h15 to 18h15 - Session Four
Session 4 Chair: Jose da Fonseca, Auckland University of Technology
Presenter:Weiping Li, Southwest Jiaotong University and Oklahoma State University
Paper:Index Option Returns and Systemic Equity Risk
Discussant:Cheng Zhang, London School of Economics
Presenter: Xiaolin Wang, Harbin Institute of Technology, China
Paper: Impact of Investor Attention from Different Search Terminals on Futures Prices
Discussant: Jedrzej Bialkowski, University of Canterbury
Presenter:Cheng Zhang, London School of Economics
Paper:The Effect of Options on Liquidity and Asset Returns
Discussant:Jared DeLisle, Utah State University
Presenter: Hardy Hulley, University of Technology Sydney
Paper: Short Selling with Collateral Constraints and Recall Risk
Discussant: Xiaolin Wang, Harbin Institute of Technology, China