Conference Venue:
Grand Hyatt Erawan, Bangkok, Thailand

Thursday, March 23, 2006 (Day 1)

7:30 - 8:00 AM Registration

8:00 - 9:00 AM Opening Remarks Location: Grand Ballroom III

Danuja Kunpanitchakit - Dean, Faculty of Commerce and Accountancy, Chulalongkorn University

Carol Cartwright - President, Kent State University

Patrick Catania - CEO, Asia West Group

Khunying Suchada Kiranandana - President, Chulalongkorn University

Session 1 Price Discovery Issues in Derivatives Markets

Moderator:

Patrick Catania

9:00 - 9:55 AM Limit Order Book Transparency, Execution Risk and Market Liquidity

Authors

Luke Bortoli - The University of Sydney

Alex Frino - The University of Sydney

David Johnstone - The University of Sydney Discussant

Paul Dawson -Kent State University

9:55 - 10:15 AM Coffee Break Location: Pre-Function Area


10:15 - 11:10 AM Sources of Price Discovery in the Australian Dollar Currency Market

Authors

Alex Frino - The University of Sydney

Elvis Jarnecic - The University of Sydney

Maxwell Stevenson - The University of Sydney

Andrew Tan - The University of Sydney

Discussant

Taewoo You - Myongji College

11:10- 12:05 PM Price Discovery in Spot and Futures Markets: A Reconsideration

Authors

Erik Theissen - University of Bonn

Discussant

William Fung - London Business School

12:05 - 1:50 PM Lunch Location: Grand Ballroom I

Keynote Speaker

Mr. Vijit Supinit - Chairman Thailand Futures Exchange and Stock Exchange of Thailand

Session 2 Understanding the Nature of Risk

Moderator:

Richard Kent

 

1:50 - 2:45 PM Dynamic Trading Value at Risk: Futures Floor Trading

Authors

Jongdoo Lee - West Chester University

Peter Locke - George Washington University

Discussant

Alex Frino - The University of Sydney

2:45 - 3:40 PM A Return-Volatility-Volume Analysis of Futures Contracts

Authors

Duong Nguyen -Florida International University

Robert Daigler -Florida International University

Discussant

George Wang -Commodity Futures Trading Commission

3:40 - 4:00 PM Coffee Break Location: Pre-Function Area



4:00 - 4:55 PM The Effectiveness of Margin-Setting with Historical, Implied, or Realized Volatility

Authors

Chor-yiu Sin - Hong Kong Baptist University

in Lam - Hong Kong Baptist University

Discussant

Peter Locke - George Washington University

4:55 - 5:50 PM The Won/Dollar Forward Exchange Return and Risk Premium: Empirical Evidence from the 1997 Financial Crisis

Authors

Taewoo You - Myongji College

Mark Holder - Kent State University

Thomas Chiang - Drexel University

Discussant

Duong Nguyen Florida International University

6:00 - 8:00 PM Cocktail Reception Location: The Residence at the Mezzanine Floor

Comments:

William Fung - London Business School

George Stevens - Dean, College of Business Administration, Kent State University

Anthony Yeung - Regional Director, Asia Pacific, Dow Jones Indexes

Toast:

Patrick Catania CEO, Asia West Group

Friday, March 24, 2006 (Day 2)
Session 3 Topics in Index Futures and Exchange Volume Issues

Moderator:

Joe Fung

8:00 - 8:55 AM Markowitz-Sharpe Portfolios for International Stock Index Futures

Authors

Leyuan You - Florida International University

Robert Daigler - Florida International University

Discussant

Pornanong Budsaratragoon - Chulalongkorn University

8:55 - 9:50 AM Transaction Tax and Market Quality of the Taiwan Stock Index Futures

Authors

George Wang - Commodity Futures Trading Commission

Robin Chou - National Central University

Discussant

Gerard Gannon - Deakin University

9:50 - 10:45 AMDoes An Index Futures Split Enhance Trading Activity and Hedging Effectiveness of the Futures Contract?

Author

Lars Nordén - Stockholm University

Discussant

Kin Lam - Hong Kong Baptist University

10:45 - 11:00 AM Coffee Break Location: Pre-Function Area

11:00 - 11:55 AM Liquidity Externality and Migration within the Same Security Exchange

Author

Christopher Ting - Singapore Management University

Discussant

Charles Upton Kent State University

Panel Discussion Location: Grand Ballroom III

Moderator:

Mark Holder

12:00 - 1:00 PM Futures Exchanges: What Determines Contract and Exchange Success (Or Failure)

Panelists

Patrick Catania - CEO, Asia West Group

Napaporn Kurupasutachai - President, Agricultural Futures Exchange of Thailand

Kesara Manchusree - Managing Director, Thailand Futures Exchange

Chaipat Sahasakul - Secretary-General, The Office of the Agricultural Futures Trading Commission

Anthony Yeung - Regional Director, Asia Pacific, Dow Jones Indexes

1:00 - 1:15 PM Closing Remarks and Adjournment

Mark Holder - Kent State University