19th Annual
Asia-Pacific Futures Research Symposium

March 2 & 3, 2009 Taipei, Taiwan

19th APFRS Schedule of Presentations

Monday, March 2, 2009

8:00 am to 8:30 am Registration

8:30 am to 9:00 am Grand Ballroom II (3rd floor) Opening Remarks

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

Dr. William Lin, FeAT

Dr. Timothy Chandler, Senior Associate Provost, Kent State University

Dr. Kim Lam, Hong Kong Baptist University

Dr. Zong-wu Cai, Xiamen University

Dr. Robert Webb, Editor Journal of Futures Markets

Session 1: Trading Microstructure in Derivative Markets

Chair:

Mr. Patrick Catania

9:00 am to 9:50 am Paper 1: Price Formation and Liquidity Surrounding Large Trades in Interest Rate and Equity Index Futures: Evidence from the Sydney Futures Exchange

Presenting Author:

James R. Cummings or Alex Frino

Discussant:

Jayaram Muthuswamy

9:50 am to 10:20 am Break

10:20 am to 11:10 am Paper 2: Strategic Order Splitting, Order Choice, and Aggressiveness: Evidence from the Taiwan Futures Exchange

Presenting Author:

Robin K. Chou

Discussant:

Robert Webb

 

Session 2: Empirical Issues

Chair:

Dr.Mao-Wei Hung

11:10 am to 12:00 pm Paper 3: Are Credit Spreads Too Low or Too High? A Hybrid Barrier Option Approach

Presenting Author:

David S. Sun

Discussant:

San-Lin Chung

12:00 pm to 2:00 pm Residence One (Lobby Level) Lunch

Honorary Chair Person:

Dr. Paul Chiu, Vice Premier, Republic of China

Keynote Speech:

Dr. Sheng-Cheng Hu, Research Fellow, Academia Sinica

Keynote Speech:

Dr. Donald van Deventer, Chairman and CEO, Kamakura

2:00 pm to 2:50 pm Paper 4: Synthetic Currency Cross-Hedge Using Gold Futures versus Currency Forwards under a DCC-GARCH Model

Presenting Author:

Nicole Yueh-Neng Lin

Discussant

Joseph Fung

Session 3: Trading and Design of New Contracts

Chair:

Dr. Richard Kent

2:50 pm to 3:40 pm Paper 5: New Insights into India’s Single Stock Futures Markets

Presenting Author:

Leh-chyan So

Discussant:

Daniel Pu Liu

3:40 pm to 4:10 pm Break

4:10 pm to 5:00 pm Paper 6: The CBOE Volatility Futures Trading and the S&P 500 Cash Market

Presenting Author:

Paul Dawson

Discussant:

George Wang

Reception

5:00 pm to 8:00 pm The Residence (2nd Floor) Cocktail Reception

Introductions:

Dr. Mark Holder, Kent State University

Speaker:

Mr. Anothy Yeung, Dow Jones Indexes

Speaker:

Mr. Ted M. Ho, Chairman, Chinese National Futures Association

Speaker:

Mr. Steve Wang, President, TAIFEX

Toast:

Dr. Timothy Chandler, Senior Associate Provost, Kent State University

Dr. Bing-Huei Lin, Professor and Dean, National Chung Hsing University

Dr. William Lin, Chairman FeAT & Professor of Finance, Tamkang, Univewrsity

Dr. Mao-Wei Hung, Professor and Dean, National Taiwan University

Mr. Patrick Catania, Asia West Group and Head of International Relations, NCDEX

Dr. Kin Lam, Hong Kong Baptist University

Dr. Taewoo You, Myongji College

Dr. Zong-wu Cai, Xiamen University

Dr. Robert Webb, Editor, Journal of Futures Markets

Tuesday, March 3, 2009

8:30 am to 9:00 am Registration Session 4: Mean Reversion and Contract Pricing

Chair:

Dr. Richard Kent

9:00 am to 9:45 am Reversing the Lead, or a Series of Unfortunate Events?

Presenting Author:

James T. Moser

Discussant:

Kin Lam

9:45 am to 10:30 am Paper 8: Cross-Market Trading Dynamics in Related Commodity Futures

Presenting Author:

Michael T. Chng

Discussant:

Charles Upton

10:30 am to 10:50 am Break

10:50 am to 11:35 amPaper 9: Does Spurious Mean Reversion in Basis Changes Still Exist after the Introduction of Exchange Traded Funds?

Presenting Author:

Jayaram Muthuswamy

Discussant:

Taewoo You

Panel Discussion The Futures Markets after the Financial Tsunami

Chair:

Dr. Mark Holder

Panelists:

Mr. Charles Lui, Head Taiwan and Manager, Asia Markets Optiver Derivatives

Mr. Peter Chiur, SEVP TAIFEX

Mr. Patrick Catania, Asia West Group and Head of International Relations, NCDEX

12:00 pm Closing Remarks

Dr. Mark Holder - Kent State University