Asia Pacific Symposia
14th Annual APFRS - 2004 Hong Kong
Asia-Pacific Futures Research Symposium The 14th Annual Asia-Pacific Futures Research Symposium was held in the spectacular city of Hong Kong at the Island Shangri-La hotel. Returning to the venue of the first symposium in the Asia-Pacific region, the symposium was met with enthusiastic support from the academic and practitioner communities. Kent State University, the Journal of Futures Markets, Hong Kong Baptist University, and Dow Jones Indexes were the sponsors of this highly successful event. The presentations included papers by some of the top authors in the field of derivatives. Audience participation was exceptional. The symposium concluded with a panel session featuring Robert Webb of the Journal of Futures Markets, William Fung of the London School of Business and Jayaram Muthaswamy of the University of Sydney. |
Thursday, February 26, 2004
8:00 to 8:30 AM Registration Location:
8:30 to 9:00 AM Opening Remarks Location: Atrium (Level 36)
Mr. Patrick Catania Asia West Group
Dr. Paul Gaston, Provost Kent State University
Dr. Robert Webb University of Virginia ( Journal of Futures Markets)
Dr. Kin Lam Hong Kong Baptist University
Session 1 Contract Design and International Options Mark
9:00 to 9:55 AM The Implied Volatility of Australian Index Options
Authors
Sean Dowling Reserve Bank of Australia
Jayaram Muthuswamy University of Sydney
Discussant
Name Affiliation
9:55 to 10:15 AM Coffee Break Location: Library Area (Level 36)
10:15 to 11:10 AM Option Exchange Design: Concentration of Trading and Open Interest at the Swedish
Index Open Market
Author
Lars Norden Stockholm University
Discussant
Paul Dawson City University Business School , London
11:10 - 12: 05 Splitting the S&P 500 Futures
Authors
Peter R. Locke The George Washington University
Jianli Chen The George Washington University
Discussant
Name Affiliation
12:05 to 1:50 PM Lunch Location: Grand Ballroom A (Level 5)
Introducer:
Keynote Speaker: William Fung, London School of Business , Topic
Session 2 Price Discovery
1:50 to 2:45 PM A Model of Price Discovery and Market Design: Theory and Empirical Evidence
Author
Michael T. Chng University of Melbourne
Discussant
Ah Boon Sim The University of New South Wales
2:45 to 3:40 PM Impact of US and UK macroeconomic News Announcements on the Return Distribution
Implied by FTSE-100 Options
Author
Janne �ij� University of Vaasa
Discussant
Name Affiliation
3:40 to 4:00 PM Coffee Break Location: Library Area (Level 36)
Session 3 Market Microstructure to Hong Kong
4:00 to 4:55 PM Net Buying Pressure, Volatility Smile, and Abnormal Trading Profit of Hang Seng Index
Options
Authors
Kam C. Chan Western Kentucky University
Louis T. W. Cheng Hong Kong Polytechnic University
Peter P. Lung University of Dayton
Discussant
Min Qi Kent State University
4:55 to 5:50 PM Structural Effects and Spillovers in HSIF, HIS, and S&P500 Volatility
Authors
Gerard Gannon University of Melbourne
Siu Pang Au-Yeung University of Melbourne
Discussant
Name Affiliation
5:50 to 6:30 Break
6:30 to 8:00 Cocktail Reception Location: Peak & Harbour Rooms (Level 56)
KSU Comments: Dr. Joe Danks, Dean, College of Arts & Sciences and Dr.
George Stevens, Dean, College of Business Administration
Sponsored by:
Friday, February 27, 2004
Session 4 Market Microstructure to South Korea
8:30 to 9:25 AM What is so Special about KOSPI 200 Index Futures Market? Analysis of Trading Volume and Liquidity
Authors
Ahmet K. Karagozoglu Hofstra University
Cetin Ciner Northeastern University
Wi Saeng Kim Hofstra University
Discussant
Matthew Harrison Hong Kong Exchange and Clearing
9:25 to 10:20 AM Futures Trading, Spot Market Volatility, and Market Efficiency: The Case of the Korean
Index Futures Markets
Authors
Sung C. Bae Bowling Green State University
Taekho Kwon Yosu National University
Jongwon Cheju National University
Discussant
Jayaram Muthuswamy University of Sydney
10:20 to 10:40 AM Coffee Break Location: Library Area (Level 36)
Session 5 Market Microstructure to LIFFE
10:40 to 11:35 AM Intraday Liquidity Provision in the Electronic Futures Markets: LIFFE After the Pits
Authors
Ronald W. Spahr University of Illinois at Springfield
Nancy Scannell University of Illinois at Springfield
Tatyana Zabotina University of Illinois at Springfield
Discussant
Li Wei New York Stock Exchange
11:35 to 12:30 PM Panel Discussion Location
12:30 to 1:00 PM Closing Remarks and Adjournment Location
Dr. Mark Holder Kent State University
