Joseph FUNG (Research Fellow)
Hong Kong Baptist University
(Feb 2019; Apr and Jul 2009 (part-time basis); Feb - Sept 2008 (part-time basis); Aug 2005 - Jul 2006 (part-time basis); Mar - Dec 2004 (part-time basis))
Research Topic:
2019: The Dynamics of HKD Interest Rate and Spot HKD/USD Exchange Rate under the Linked Exchange Rate System
2009: The Impact of Monetary Policy Change on Carry Trade and Liquidity in the Foreign Exchange Markets
2008: Do Derivative Market Contain Useful Information for Forecasting the Timing and Magnitude of "Hot Money" Flows?
2005 - 2006: The Microstructure of Inter-bank Liquidity and the Dynamics of Hong Kong Money Market Rates
2004: Developments around Asian Financial Crisis, using Prices and Volumes of Index Derivatives in Hong Kong
Working Papers:
Liquidity Crunch in Late 2008: High-Frequency Differentials between Forward-Implied Funding Costs and Money Market Rates
Do Derivative Markets Contain Useful Information for Signaling “Hot Money” Flows?
Initial Day Return and Underpricing Cost in Advance Payment Initial Public Offerings
FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value
Order Imbalance and the Dynamics of Index and Futures Prices
Expiration-Day Effects - An Asian Twist
Order Imbalance and the Pricing of Index Futures
The Information Content of Option Implied Volatility Surrounding the 1997 Hong Kong Stock Market Crash
Personal website:
http://bus.hkbu.edu.hk/hkbusob/live/html/en/excel.php?id=jfungHKB&cv=0004
Email:
[email protected]
Joseph FUNG (Research Fellow)