Asia Pacific Symposia
15th Annual APFRS - 2005 Singapore
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The 15th Annual Asia-Pacific Futures Research Symposium was held on Thursday and Friday, February 24-25, 2005, in Singapore at the Ritz-Carlton, Millennia Singapore, 7 Raffles Avenue, Singapore. The symposium - sponsored by Kent State University, The Review of Futures Markets, the Chicago Board of Trade Educational Research Foundation, the Journal of Futures Markets, Singapore Management University and Hong Kong Baptist University - is a high quality forum for the presentation and discussion of derivatives-oriented research carried out by academics and practitioners. Presentations and discussions will be in English. Participants included representatives from the Monetary Authority if Singapore, CFTC, Singapore Exchange, Federal Reserve, Penn State, London School of Business, University of Sydney and many other prestigious universities and institutions. |
Thursday, February 24, 2005
8:00 to 8:30 AM Registration
8:30 to 9:00 AM Opening Remarks Location: Chihuly Room (Level 3)
Patrick Catania Asia West Group, Chicago Illinois
Carol Cartwright, President Kent State University , Kent , Ohio
Robert Webb University of Virginia ( Journal of Futures Markets)
Howard Hunter, President Singapore Management University , Singapore
Session 1 Price Discovery
Moderator: Patrick Catania
9:00 to 9:55 AM The Information Content of an Open Limit Order Book: Evidence from the Australian Stock Exchange
Authors
Charles Cao Pennsylvania State University , University Park , Pennsylvania
Oliver Hansch Pennsylvania State University , University Park , Pennsylvania
Xiaoxin Wang Southern Illinois University , Carbondale , Illinois
Discussant
Jayaram Muthuswamy Singapore Management University , Singapore
9:55 to 10:15 AM Coffee Break Location: Chihuly Room Foyer (Level 3)
10:15 to 11:10 AM Liquidity and Price Discovery on Floor versus Screen-Based Trading Systems: An Analysis of Foreign Exchange Futures Market?
Authors
George Wang Commodity Futures Trading Commission, Washington DC
Aysegul Ates Commodity Futures Trading Commission, Washington DC
Discussant
Paul Dawson Cass Business School , London
Session 2 Information Content of Market Prices
Moderator: Patrick Catania
11:10 to 12:05 PM Recovering Market Expectations of FOMC Rate Changes with Options on Federal Funds Futures
Authors
John Carlson Federal Reserve Bank of Cleveland, Cleveland , Ohio
Ben Craig Federal Reserve Bank of Cleveland, Cleveland , Ohio
William Melick Kenyon College , Gambier, Ohio
Discussant
Paul Kofman The University of Melbourne , Melbourne , Australia
12:05 to 1:50 PM Lunch Location: Millenia 1 (Level 2)
Keynote Speaker: Hsieh Fu Hua, Chief Executive Officer, Singapore Exchange Ltd
1:50 to 2:45 PM The Implied Exchange Rates Derived From Option Premiums - A Test of the Currency
Option Boundary Approach on JPY
Authors
Takeshi Nishikawa St. John's University, Jamaica, New York
Peter Lung University of Dayton , Dayton , Ohio
Discussant
Ah Boon Sim The University of New South Wales , Kensington , Australia
Session 3 Market Microstructure
Moderator: Richard Kent
2:45 to 3:40 PM Information Flows and Option Bid-Ask Spreads
Authors
Lars Nord�n Stockholm University , Stockholm , Sweden
Fredrik Berchtold Stockholm University , Stockholm , Sweden
Discussant
Gerard Gannon Deakin University , Melbourne , Australia
3:40 to 4:00 PM Coffee Break Location: Chihuly Room Foyer (Level 3)
4:00 to 4:55 PM The Impact of Net Buying Pressure on Implied Volatilities Observed from SPI Futures Option
Authors
Sean Pinder The University of Melbourne , Melbourne , Australia
Christine Brown The University of Melbourne , Melbourne , Australia
Discussant
CY Sin Hong Kong Baptist University , Hong Kong
4:55 to 5:50 PM Slippage in Futures Markets: Evidence from the Sydney Futures Exchange
Authors
Alex Frino University of Sydney , Sydney , Australia
Teddy Oetomo University of Sydney , Sydney , Australia
Discussant
Larry Eisenberg University of Southern Mississippi , Hattiesburg , Mississippi
6:30 to 8:00 PM Cocktail Reception Location: Snappers (Level 1)
Comments: David B. Montgomery, Singapore Management University and
George Stevens, Dean, College of Business Administration , Kent State UniversityToast: Jay Sorkin, CBOT to ERF Emeritus Board Member
Friday, February 25, 2004
Session 4 Dynamic Hedging and Behavioral Aspects of Derivatives
Moderator: Joe Fung
8:30 to 9:25 AM Structurally Sound Dynamic Index Futures Hedging
Authors
Paul Kofman The University of Melbourne , Melbourne , Australia
Patrick McGlenchy Ernst & Young, Melbourne , Australia
Discussant
Kin Lam Hong Kong Baptist University , Hong Kong
9:25 to 10:20 AM Overreaction of Index Futures in Asia to U.S. Market Performance - Evidence of Behavioral Biases?
Authors
Alexander Kwok-Wah Fung Hong Kong Baptist University , Hong Kong
Kin Lam Hong Kong Baptist University , Hong Kong
Ka-Ming Lam Hong Kong Baptist University , Hong Kong
Discussant
Charles Upton Kent State University , Kent Ohio
10:20 to 10:40 AM Coffee Break Location: Location: Chihuly Room Foyer (Level 3)
10:40 to 11:35 AM Measuring the Summary Informativeness of Orders and Trades
Author
Michael Chng Monash University , Clayton, VIC, Australia
Discussant
Christopher Ting Singapore Management University, Singapore
Panel Discussion Location: Chihuly Room (Level 3)
Moderator: Annie Koh
11:35 to 12:30 PM Scope for Derivatives in Wealth Management for the Asia-Pacific region
Panelists
Stefan Weiser Goldman Sachs, Singapore
Johnny Heng Government of Singapore Investment Corporation, Singapore
Pang Siu Taur Monetary Authority of Singapore , Singapore
Rama Pillai Singapore Exchange Ltd., Singapore
Claudia Zeisberger Volatility Research & Trading, Singapore
12:30 to 1:00 PM Closing Remarks and Adjournment
Mark Holder Kent State University , Kent Ohio
