18th Annual
Asia-Pacific Futures Research Symposium

April 3 & 4, 2008 Seoul, Korea

18th APFRS Schedule of Presentations

Thursday, April 3, 2008

8:00 am to 8:30 am Registration and Continental Breakfast

8:30 am to 9:00 am Chrysanthemum Room Opening Remarks

Patrick Catania, Asia West Group & Head of International Relations, NCDEX

Dr. Byong Jin You, Myongji University

John West, Kent State University

Simon Ho, Hong Kong Baptist University

Guojin Chen, Xiamen University

Robert Webb, Journal of Futures Markets

Session 1: Volume and Price Behavior in Futures

Moderator: Patrick Catania

9:00 am to 9:50 am Public Information, Price Volatility, and Trading Volume in U.S. Bond Markets

Presenting Author:

Michael McKenzie

Discussant:

Kin Lam

9:50 am to 10:20 am Break

10:20 am to 11:10 am Individual Trades, Institutional Trades, and Intraday Futures Price Behavior

Presenting Author:

Yun-Yi Wang

Discussant:

Guojin Chen

 

Session 2: Arbitrage Trading

Moderator:

Joseph Sweeney

11:10 am to 12:00 pm Large Trades and Intraday Futures Price Behavior

Presenting Author:

George H. K. Wang

Discussant:

Hojin Lee

12:00 pm to 2:00 pm Lunch

Introductions:

Jay Sorkin, CBOT-ERF

Guest Speaker:

Yeong-Ho Woo, KRX

2:00 pm to 2:50 pm The Limits to Stock Index Arbitrage: Examining S&P 500 Futures and SPDRs

Presenting Author:

Nivine Richie

Discussant

Charles Upton

Session 3: KOSPI 200

Moderator:

Charles Upton

2:50 pm to 3:40 pm Value-at-Risk Analysis for KOSPI 200 Index Futures

Presenting Author:

Sang Hoon Kang

Discussant:

Christopher Ting

3:40 pm to 4:10 pm Break

4:10 pm to 5:00 pm Informed Trading in the Index Option Market: the Case of KOSPI 200 Options

Presenting Author:

Doojin Ryu

Discussant:

Jay Muthuswamy

Reception

5:00 pm to 7:00 pm Rose Room Cocktail Reception

Introductions:

Mark Holder, Kent State University

Speaker:

Dr. Hui Jong Park, Director of Institute for Finance and Knowledge, Myongji University

Speaker:

Mr. Anthony Yeung, Dow Jones Indexes and Stoxx Limited

Toast:

George Stevens & John West, Kent State University

Mr. Anthony Yeung, Dow Jones Indexes and Stoxx Limited

Mr. Chung Won Kang, KB Kookmin Bank

Dr. Kin Lam, Hong Kong Baptist University

Mr. Jong-Sun Kim, Hyundai Marine & Fire Insurance

Mr. In Gyu Choi, KB Kookmin Bank

Dr. Kin Lam, Hong Kong Baptist University

Mr. Jong-Sun Kim, Hyundai Marine & Fire Insurance

Mr. In Gyu Choi, KB Kookmin Bank

Dr. Young-Ho Woo, KRX

Dr. Jung-Sun Su, Myongji College

Dr. Hui Jong Park, Myongji University

Dr. Guojin Chen, Xiamen University

Robert I. Webb, Journal of Futures Markets,

Mark Holder, Review of Futures Markets

Special Guest:

Mr. Cheol Young Lee, President & CEO, Hyundai Marine & Fire Insurance

Special Guest:

Dr. Jung-Sun Suh, President, Myongji Colleg

Diner

5:00 pm to 7:00 pm Rose Room Buffet Dinner

Introductions:

Mr. Chung Won Kang, CEO, KB Kookmin Bank

Guest Speaker:

Gary King, CEO, Dubai Mercantile Exchange

Friday, April 4, 2008

8:30 am to 9:00 am Continental Breakfast Session 4: Quantitive Modeling of Markets

Moderator:

Richard Kent

9:00 am to 9:50 am Volatility Estimation and the Performance of Multifactor Term Structure Models for Pricing and Hedging Euribor Options

Presenting Author:

I-Doun Kuo

Discussant:

C Y Sin/p>

9:50 am to 10:40 am Exchange Membership Price as a Stock Market Predictor

Presenting Author:

Taewoo You

Discussant:

Joe Fung

10:40 am to 11:10 am Break

11:10 am to 12:00 pmOn the Term Structure of Model-free Volatilities and Volatility Risk Premium

Presenting Author:

Christopher Ting

Discussant:

Gerard Gannon

12:00 pm Closing Remarks and Adjournment

Mark Holder - Kent State University