2019 Derivative Markets Conference
The Auckland Centre for Financial Research at the Auckland University of Technology was hosting its annual derivative markets conference. We invited academics and professionals to submit papers related to derivative markets and products. The conference featured a special issue of the Journal of Futures Markets.
Dates and venue
8 - 9 August 2019
QT Queenstown/Rydges
30 Brunswick Street
Queenstown
New Zealand
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
Paper submission
Please submit paper in PDF format. The deadline for paper submission: 15 April 2019.
Authors will be informed of the outcome of their submission by 15 May 2019.
Meeting organisers
- Adrian Fernandez-Perez
Research Fellow, ACFR - Bart Frijns
Professor of Finance, AUT University
Director of the ACFR - Alireza Tourani-Rad
Professor of Finance, AUT University
Deputy Dean of Faculty - Robert I. Webb
Professor of Finance, University of Virginia, US
Schedule
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 |
New Zealand Finance Meeting 2018, in Queenstown NZ
Full Programme PDF Version *A printed version will be in your conference pack*
2018 Doctoral Symposium, Queenstown, New Zealand
CROWNE PLAZA, QUEENSTOWN
Monday, 17 December 2018 08:00 - 17:30
08:00 - 08:15 | REGISTRATION | ATRIUM |
SESSION 1 | BOARDROOM | |
08:15 - 08:30 | Alireza Tourani-Rad & Ayesha Scott Welcome | |
08:30 - 09:30 | Wolfgang Bessler, Justus-Liebig University Giessen Wolfgang Bessler is a Professor of Finance & Banking at Justus-Liebig University in Giessen and a research fellow at the Center for Financial Studies at Goethe-University in Frankfurt. He has previously held faculty positions at Syracuse University, Rensselaer Polytechnic Institute and Hamburg University. He currently serves on the advisory and editorial board of various journals including the European Journal of Finance, Journal of International Financial Markets, Institutions & Money, International Review of Financial Analysis and Journal of Multinational Financial Management. He is a board member of the Midwest Finance Association, the Multinational Finance Society, and the European Shadow Financial Regulatory Committee. His research interest includes financial markets and institutions, securities markets, corporate finance and governance as well as asset management and derivatives. He has published extensively in international journals including the Review of Finance, Journal of Financial Stability, Journal of Banking and Finance, Journal of Corporate Finance, European Journal of Finance, European Financial Management, and European Journal of Operational Research, among others. He recently published articles on hedge fund activism, capital structure, zero leverage, portfolio optimization, mutual fund performance persistence, bank risk factors and hedging of sovereign risks. | |
09:30 - 10:30 | Christina Atanasova, Simon Fraser University Christina Atanasova is an Associate Professor in Finance at the Beedie School of Business at Simon Fraser University, Canada. She holds a PhD in Finance from the University of Leeds, UK. She has been in the faculty at the University of York, a Visiting Professor at Université Dauphine Paris, and an Erskine fellow at the University of Canterbury. Her research has focused on issues in empirical corporate finance such as corporate governance, capital structure and risk management. She has published in leading academic and practitioner journals. She has been an associate editor for the Bulletin of Economic Research since 2004 and is currently a member of the editorial board of the Financial Analyst Journal. | |
10:30 - 11:00 | COFFEE/TEA BREAK | ATRIUM |
11:00 - 12:00 | Roberto Pascual, University of the Balearic Islands Roberto Pascual has a Ph.D. in Economics by Universidad Carlos III de Madrid, Spain. He has been Associate Professor at the Business Department of the University of the Balearic Islands (UIB) since 2006. He is currently teaching Financial Economics and Financial Markets to undergraduate students at UIB, and Market Microstructure courses in Ph.D./MBA programs at the Pompeu Fabra University (Barclona, 2009-present) and the Autonomous University (Barcelona, 2009-2016). His main area of expertise is Empirical Market Microstructure, covering topics such as high-frequency trading, circuit breakers, liquidity provision in order-driven markets, market-making costs, and limit order book dynamics. His research has been published in academic journals such as the Journal of Financial Markets, Journal of Banking and Finance, Journal of Financial Econometrics, or Energy Economics. He has held visiting research positions at the Salomon Center of the Stern School of Business - New York University, the European Center for Advanced Research in Economics and Statistics (ECARES) - Université Libre de Bruxelles, and the International Center for Finance of the Yale School of Management - Yale University. | |
12:00 - 13:30 | LUNCH BREAK | ATRIUM/COURTYARD |
13:30 - 15:30 | SESSION 2A | BOARDROOM |
| CHAIR: | Professor Roberto Pascual, University of the Balearic Islands | |
| Paper: | Predicting Stock Returns Using Firm Characteristics: A Bayesian Model Averaging Approach | |
| Presenter: | Shan Chen, City University of Hong Kong | |
| Discussant: | Baoqing Gan, University of Technology Sydney | |
| Paper: | Bilateral and country-specific drivers of geopolitical risk transmission | |
| Presenter: | Mudassar Hasan, Massey University | |
| Discussant: | Sanghyun Hong, University of Canterbury | |
| Paper: | Sensitivity to Sentiments: Social vs News Impacts on Stock Markets – A comparison using textual analysis | |
| Presenter: | Baoqing Gan, University of Technology Sydney | |
| Discussant: | Shan Chen, City University of Hong Kong | |
| Paper: | Exploring Liquidity Risk | |
| Presenter: | Sanghyun Hong, University of Canterbury | |
| Discussant: | Mudassar Hasan, Massey University | |
13:30 - 15:30 | SESSION 2B | CROWNE III |
| CHAIR: | Professor Christina Atanasova, Simon Fraser University | |
| Paper: | The Determinants of IPO Withdrawal - Evidence from Europe | |
| Presenter: | Pia Helbing, Trinity College Dublin | |
| Discussant: | Lubna Rahman, University of New South Wales | |
| Paper: | Corporate Social Responsibility and Capital Allocation Efficiency: Evidence from Australia and New Zealand | |
| Presenter: | Shengze Xu, Auckland University of Technology | |
| Discussant: | Pia Helbing, Trinity College Dublin | |
| Paper: | Employee Friendliness and Corporate Innovation: Evidence from Quasi-Exogenous Natual Experiments | |
| Presenter: | Lubna Rahman, University of New South Wales | |
| Discussant: | Thuy Lien Nguyen, The University of Adelaide | |
| Paper: | CEO Characteristic and Corporate Disclosure | |
| Presenter: | Thuy Lien Nguyen, The University of Adelaide | |
| Discussant: | Shengze Xu, Auckland University of Technology | |
15:30 - 16:00 | COFFEE/TEA BREAK | ATRIUM |
16:00 - 17:30 | SESSION 3A | BOARDROOM |
| CHAIR: | Professor Alireza Tourani-Rad, Auckland University of Technology | |
| Paper: | Dividend Smoothing and the Allocation of Internal Cash Flow | |
| Presenter: | Bardia Khorsand, Australian National University | |
| Discussant: | George Smyrnis, University of Sydney | |
| Paper: | Market Response of US Equities to Domestic Natual Disasters: Industry-Based Evidence | |
| Presenter: | Ihtisham Abdul Malik, The University of Queensland | |
| Discussant: | Bardia Khorsand, Australian National University | |
| Paper: | Motivated saving: The impact of projections on retirement saving intentions | |
| Presenter: | George Smyrnis, University of Sydney | |
| Discussant: | Ihtisham Abdul Malik, The University of Queensland | |
16:00 - 17:30 | SESSION 3B | CROWNE III |
| CHAIR: | Professor Wolfgang Bessler, Justus-Liebig University Giessen | |
| Paper: | How Do Credit Constraints Impact Innovation?: Evidence from Vietnam | |
| Presenter: | Lan Nguyen, Griffith University | |
| Discussant: | Isaac (Guangqian) Pan, Australian National University | |
| Paper: | Risk Sharing, Creditor Diversity, and Bank Regulation | |
| Presenter: | Isaac (Guangqian) Pan, Australian National University | |
| Discussant: | Matjaz Maletic, Tilburg University | |
| Paper: | Chinese slowdown and the nominal term structures of the U.S. and German interest rates | |
| Presenter: | Matjaz Maletic, Tilburg University | |
| Discussant: | Lan Nguyen, Griffith University | |
17:30 - 18:30 | WELCOME RECEPTION | ATRIUM/COURTYARD |