Asia Pacific Symposia
13th Annual APFRS - 2003 Shanghai
| Asia Pacific Futures Research Symposium
The 13th Annual AsiatoPacific Futures Research Symposium was held in the Hyatt Hotel in Jin Mao Tower in Shanghai . This is the first symposium to be held in mainland China and was a result of a cooperative effort by Hong Kong Baptist University , the Shanghai Futures Exchange and Kent State University . This was also the first year of Kent State 's stewardship of this historic and influential symposium. Many market regulators and practitioners were in attendance to hear the papers presented in English with simultaneous translation to Chinese. Attendance was high at all sessions and active audience participation took place. It was truly a significant milestone for the symposium and we hope to return to China soon for another symposium. |
Thursday, February 27, 2003
8:00 AM Registration Veaue: Grand Bllroom I, Podium Level 2, Grand Hyatt Shanghai
8:30 to 9:00 AM Opening Remarks
Patrick Catania CBOT Educational Research Foundation
Fred Grede CCO, Hong Kong Exchanges and Clearing Limited
Jiang Yang CEO, Shanghai Futures Exchanges
Robert Webb Editor, Journal of Futures Markets
Session 1 Capital Requirement
9:00 to 9:55 AM A Theoretical Framework to Evaluate Different MargintoSetting Methodologies
Authors
Kin Lam Hong Kong Baptist University
Chortoyiu Sin Hong Kong Baptist University
Rico Leung Securities and Futures Commission
Discussant
Ronald K. Chung, Equity Consulting Co.
9:55 to 10:15 AM Coffee Break
10:15 to 11:10 AM Regulatory Change and Structural Effects in HSIF and HIS Volatility
Author
Siu Pang AutoYeung University of Melbourne
Gerard Gannon
Discussant
Chortoyiu Sin Hong Kong Baptist University
11:10 to 12: 05 Hedging Models:Optimum Futures Hedge in the Presence of Clusterd Supply and Demand Shocks, Stochastic Basis, and Firm's Cost of Hedging
Authors
Carolyn Chang University of Hong Kong
Jack S.K. Chang
Discussant
Jay Muthuswamy University of Sydney
12:05 to 1:50 PM Lunch Venue: Crystal Ballroom H, Podium Level 2, Grand Hyatt Shanghai
Luncheon speaker: Mr. Jesse Wang, Assistant Chairma to China Securities regulatory Commission(TBC)
Session 2 Regulatory Impact
1:50 to 2:45 PM Discretionary Government Intervention, and the Mispricing of Index Futures
Authors
Paul Draper University of Exeter
Joseph K.W. Fung Hong Kong Baptist University
Discussant
William K.H. Fung London School of Business
2:45 to 3:40 PM Price Discovery in the HangtoSang Index Markets: Index, Futures, and the Tracker Fund
Authors
Raymond W. So Chinese University of Hong Kong
Yiuman Tse University of Texas
Discussant
Gerard Gannon University of Melbourne
3:40 to 4:00 PM Coffee Break
Session 3 Contract Design and Price Discovery
4:00 to 4:55 PM Copetition, Fragmetation and Complementarity: The Case of Equity Index Futures versus Etomini Equity Index Futures
Authors
Aysegul Ates Commodity Futures Trading Commission
George H.K. Wang
Discussant
Li Wei New York Stock Exchange
4:55 to 5:50 PM Price Discovery in InformationallytoLinked Markets: A Microstructure Analysis of Nikkei 225 Futures
Authors
Vicentin Covrig Nanyang Technological University
David K. Ding
Buen Sin Low
Discussant
Robert Webb University of Virginia
5:50 to 6:30 Evening Arrangement Location: Crystal Ballroom H, Podium Level 2, Grand Hyatt Shanghai
6:30 to 8:00 Cocktail Reception
Sponsored by Hong Kong Exchanges and Clearing Ltd.
Friday, February 28, 2003
Session 4 Option Pricing
8:30 to 9:25 AM Empirical Test of the Beta Model for Bond Option Pricing
Author
Les Gulko Paloma Partners
Discussant
Jack S.K. Chang University of Hong Kong
9:25 to 10:20 AM An Empirical Investigation of the GARCH Option Pricing Model: Hedging Performance
Authors
Haynes H.M. Yung Open University of Hong Kong
Hua Zhang Chinese University of Hong Kong
Discussant
Kin Lam Hong Kong Baptist University
10:20 to 10:40 AM Coffee Break
Session 5 FixedtoIncome Models
10:40 to 11:35 AM Estimating Swap Rates from Bank Bill Futures Prices: the Theory and the Practice
Authors
Rob Brown University of Melbourne
Victor Fang Monash University
Discussant
Min Qi Kent State University
11:35 to 12:30 PM The Jump Component of the Volatility structure of Interest Rate Futures Markets: An International Comparison
Authors
Carl Chiarella University of Technology, Sydney
ThuytoDuong To
Discussant
Hua Zhang Chinese University of Hong Kong
12:30 to 1:00 PM Closing Remarks and Adjournment
Mark Holder Kent State University
