PACAP finance conference

PACIFIC-BASIN FINANCE JOURNAL ELSEVIER

Pacific-Basin

Finance Journal 5 (1997) 259-279

CONFERENCE 1996 APFA/PACAP

PROGRAM

FINANCE

CONFERENCE

July 8-10, 1996 Grand Hyatt Hotel Taipei, Taiwan, R.O.C. SPONSORED BY: Asia-Pacific Finance Association Chinese Finance Association PACAP Research Center at the University of Rhode Island Program Chairs: Dr. Rosita P. Chang Dr. Soushan Wu

MONDAY,

JULY

08:30- 1O:OO

8

OPENING SION

CEREMONY

AND KEYNOTE

ADDRESS

SES-

Opening Ceremony of the 1996 APFA/PACAP Finance Conference CFA Annual Meetings. Officiated by Lien Chan, Vice President and Premier, Republic of China. ‘The Future of Futures’ Merton H. Miller, 1990 Nobel Laureate and Robert R. McCormick guished Professor Emeritus, University of Chicago 10:20-12:oo

PLENARY sion

SESSION:

CHAIR S. Ghon Rhee, Professor of Finance University of Rhode Island

PACAP

Distinguished

& Director,

PACAP

Distin-

Speakers

Research

Ses-

Center,

260

Conference program

SPEAKERS ‘The Globalization of Stock Index Futures’ William J. Brodsky, President and CEO, Chicago Mercantile

Exchange

‘Exchange-Traded Derivatives-the Malaysian Experience’ Mohd Munir-Majir, Chairman, Securities Commission, Malaysia ‘Hong Kong, the Capital Market of China: A Pipe Dream?’ Michael Wu, Deputy Chairman and Chief Operating Officer, Futures Commission, Hong Kong 13:30-15:lO

CONCURRENT

Securities

8z

SESSIONS

Securities and Exchange Commission Special Session: Risk Management System for Equity and Other Financial Derivatives CHAIR Merton H. Miller, Robert McCormick versity of Chicago ‘A Perspective

on the Risk Management

Distinguished

Professor

Emeritus,

Uni-

of the Futures Market in Taiwan’

SPEAKER Chih-Chen Li, Head, International Affairs Office, Securities Commission, Ministry of Finance, Republic of China

and Exchange

PANEL MEMBERS Alger B. Chapman, Chairman & CEO, Chicago Board Options Exchange Ivers W. Riley, CEO, Hong Kong Futures Exchange, Ltd. Daryl Rabert, Vice President, Business Development, Options Clearing Corporation

Academic Session: Capital Market Integration CHAIR Dah-nein

Tzang, National

Chung Cheng University

‘Characterizing World Market Integration Through Time’ Vuhang Errunza, McGill University Ked Hogan, McGill University Mao-wei Hung, National Taiwan University ‘Capital Market Integration in the Pacific Basin Region: An Analysis Interest Rate Linkages

of Real

Conference program

261

Kate Phylaktis, City University of Hong Kong ‘Law of One Price and Its Implications for Capital Market Integration and ESJiciency ’ Danny Y.K. Ip, University of Southern Queensland Chizhong Luo, University of Southern Queensland ‘Capital Market Integration and Segmentation: An Empirical Study of the European Community, North American Free Trade Agreement and the Asian Trade Bloc’ Bwo-Nung Huang, National Chung Cheng University Chin Wei Yang, Clarion University of Pennsylvania Yi-Tsung Lee, National Chung Cheng University Shin-Hemg Michelle Chu, California State Polytechnic University ‘Trading Mechanisms, Stock Price Behavior and International Equity Market Integration ’ Kyung-Won Kim, Kyungnam University Joseph E. Finnerty, University of Illinois

DISCUSSANTS Ming-Hua Liu, Nanyang Technological University Ming-shen Chen, National Taiwan University Kyung-Won Kim, Kyungnam University Lisa Schuin, University of Limburg Dah-nein Tzang, National Chung Cheng University

Academic Session: ZPOdZ) CHAIR Gili Yen, China Development

Corporation

‘The Long-Run Performance of Initial Public OfSerings in Thailand’ David E. Allen, Edith Cowan University W. Piboonthanakiat, Siam Sanwa Industrial Credit Public Company (SICCO) ‘The investment and Operating Performance of Japanese SE0 Firms’ Jun Cai, The Hong Kong University of Science & Technology ‘Performance of New Issues on the Malaysian Stock Market’ Mansor M. Isa, University of Malaya Rubi Ahmad, University of Malaya

DISCUSSANTS Kie Ann Wong, National University of Singapore Ann E. Sherman, Hong Kong University of Science & Technology S . Janakiramanan, University of Melbourne

Ltd.

Conference program

262

Academic Session: Futures & Options(I) CHAIR Tai Ma, National

Sun Yat-Sen University

‘Pricing Foreign Currency and Cross-Currency Options under GARCH’ Jin-Chuan Duan, Hong Kong University of Science and Technology Jason 2. Wei, University of Saskatchewan ‘Expiration-Day Effects of Hang Seng Index Futures and Options’ K.C. Lim, City University of Hong Kong Y.H. Lui, City University of Hong Kong ‘Cross Hedging the Taiwanese Dollar/ US Dollar Exchange Rate Risk’ Chin-Wen Hsin, Yuan-Ze Institute of Technology ‘Individual Share Futures Contracts: The Economic Impact of their Introduction on the Underlying Equity Market’ Maurice Peat, University of Technology, Sydney Michael McCorry, University of Sydney ‘Implicit Transaction Costs on the Market for Nikkei Futures’ Onno W. Steenbeek, Erasmus University

DISCUSSANTS Yang-Cheng Lu, Ming Chuang University Carl Chiarella, University of Technology, Sydney Y.H. Lui, City University of Hong Kong Chia-Hsing Huang, Providence University Franceis L.S. Soh, Yuan-Ze Institute of Technology

Academic Session: Currency Exchange Risk CHAIR Dar-Yeh Hwang, National Taiwan University ‘Intraa’ay Bid-Ask Spreads on the Prediction of Currency Return and Risk’ Timothy H. Lin, National Chung Cheng University Ansing Chen, National Chung Cheng University ‘Foreign Exchange Exposure, Risk and the Japan Market’ Jia He, City University of Hong Kong Lilian K. Ng, City University of Hong Kong Xueping Wu, City University of Hong Kong ‘The Determinants of Foreign Exchange Rate Exposure: Evidence on Japanese Firms ’ Edward H. Chow, National Chengchi University Hung-Ling Chen, National Chengchi University ‘Time Variation in the Correlation Structure of Exchange Rates: High Frequency Analyses

263

Conference program

Aaron Low, National University of Singapore Jayaram Muthiswamy, National University of Singapore Sudipto Sarkar, National University of Singapore Eric Terry, National University of Singapore ‘The Exchange Rate Exposure of U.S. and Japanese Banking Institutions’ Sandra Chamberlain, Santa Clara University John S. Howe, University of Missouri-Colombia Helen Popper, Santa Clara University DISCUSSANTS Jie-Haun Lee, National Central University Dar-Yeh Hwang, National Taiwan University Takato Hiraki, International University of Japan Jongmoo Jay Choi, Temple University Bob Y. Chan, City University of Hong Kong 15:30- 17: 10

CONCURRENT

SESSIONS

J.P. Morgan Special Session: American and Global Depository Receipts

SPEAKER Jason K. Yeung, Associate,

J.P. Morgan

PANEL MEMBERS Victor Tzu-ping Chao, Vice President, J.P. Morgan Emma Chen, Vice President, Hong Kong and Shanghai

Banking

Corp.

Academic Session: Bond & Stock Markets CHAIR Paul Hsueh, National

Chung Cheng University

‘The ESfect of Unanticipated Injlation and Real Economic Activity on Interest Rates and Stock Prices’ Ranjit Ajit Singh, Securities Commission Optimal Bond Refinding: A Practical Approach’ Sudipto Sarkar, National University of Singapore ‘A New Stochastic Duration Measure by the Vasicek and CIR Term Structure Theories ’ Xueping Wu, City University of Hong Kong ‘Pricing Corporate Straight Bonds in Singapore’ Joseph C. Kang, Nanyang Technological University Kah Hwa Ng, Nanyang Technological University Ming-Hua Liu, Nanyang Technological University

Conference program

264

DISCUSSANTS Joseph C. Kang, Nanyang Technological University Robert C. Radcliffe, University of Florida Paul Hsueh, National Chung Cheng University Academic Session: Stock Trading CHAIR Simon H. Yen, National Chengchi University ‘Trading Frequencies and Stock Market Performance: Tai Ma, National Sun Yat-Sen University ‘Trading Dividends

on the Australian

The Case of Taiwan’

Stock Exchange ’

Ahstair Armstrong, The University of Western Australia Philip Brown, The University of Western Australia Alex Clarke, The University of Western Australia ‘The EfSects of Consolidated Trading on Market Quality:

Evidence

from

Singapore ’

Allaudeen Hameed, National University of Singapore Lim Khian, National University of Singapore ‘Short Term Trading and the Liquidity Premium: Exchange Data’

A Test Using Bombay Stock

Henk Be&man, University of Auckland Venkat R. Eleswarapu, University of Auckland DISCUSSANTS Yu-Jane Liu, National Chung Cheng University Stephen J. Brown, New York University Thomas Lee, National Chengchi University Simon H. Yen, National Chengchi University Chinese Academic Session: Corporate Finance(Z)

TUESDAY, JULY 9 08:50-1O:lO

KEYNOTE ADDRESS

Officiated by Paul C.H. Chiu, Minister of Finance, Republic of China ‘Foundations

of Financial Regulation’

Edward J. Kane, James F. Cleary Professor in Finance, Boston College

Conferenceprogram

267

Joseph C. Kang, Nanyang Technological University Kah Hwa Ng, Nanyang Technological University ‘Financial Analysts ’ Earnings Forecasts: The Case of Cross-Listed Fins’ Somnath Das, University of California, Berkley Shahrokh M. Saudagaran, Santa Clara University, California ‘The Value of Expected Cash Flows: Does the Market Value Real Options?’ Henk Berkman, University of Auckland ‘Of SOES and Spreads’ George Bentson, Emory University Robert Wood, University of Memphis DISCUSSANTS Mia Twu, National Chengchi University D.B. Shen, Soochow University Robert Wood, University of Memphis Eric L. Chu, National Taiwan University Henk Berkman. University of Auckland 12:00-14:00

APFA ANNUAL

MEETING

12:00- 1490

CFA ANNUAL

12:00-14:00

PACAP RESEARCH MEETING

14:00-15:30

CONCURRENT

MEETING CENTER

ADVISORY

BOARD

SESSIONS

Chicago Board of Trade Tutorial Session: Futures Vital Role: Present and Future LECTURER Peter Alonzi, Senior Manager, partment, Chicago Board of Trade

Education

Programs

Market Development

De-

Nikko Research Center Special Session: Potential for Japanese Znvestment in Asian Bonds CHAIR Masao Yokomizo, Center. Ltd.

Chairman

of the Advisory

Council,

The Nikko Research

Conferenceprogram

268

SPEAKERS Yutaka Shimimoto, Nikko Research Center, Ltd. Yoko Nakabayashi,

Economist,

Academic

Session:

Futures & Options (II)

CHAIR Jin-Chuan

Duan, McGill University

Deputy General

Manager,

Asia & Oceania

Division,

The

The Nikko Research Center, Ltd.

‘Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework ’ Ramaprasad Bhar, University of Technology, Sydney Carl Chiarella, University of Technology, Sydney ‘Pricing and Informational Eficiency of the Nikkei Futures Options’ Kian-Guan Lim, National University of Singapore Christina Teo, National University of Singapore ‘Volatility Smiles, Skewness Premia and Risk Metrics: Applicarions of a Four Parameter Closed Form Generalization of Geometric Brownian Motion to the Pricing of Options’ Dilip B. Madan, University of Maryland Eric C. Chang, Georgia Institute of Technology ‘An Eficient Method for Valuing American Currency Options and Warrants with Stochiastic Interest Rates’ Chuang-Chang Chang, National Central University DISCUSSANTS Jack S.K. Chang, California State University, Los Angeles Chuang-Chang Chang, National Central University Jin-Chuan Duan, McGill University Yih Jeng, National Sun Yat-Sen University Academic

Session:

Financial Institutions

CHAIR Michael T. Skully, Monash University ‘Asymmetric Information, Corporate Myopia and Implications Gains Tax Rates’ Thomas Chemmanur, Columbia University S. Abraham Ravid, Rutgers University ‘A Theory of Financial Intermediation and Loan Sales’

for

Capital

Conferenceprogram 10:30-12:oo PACAP Forum

Research

265

CONCURRENT SESSIONS Center

CHAIR C.Y. Lee, Chairman,

Special

Session:

Taiwan Stock Exchange

PACAP

Asian Stock Exchange

CEO

Corporation

PANEL MEMBERS Yoshiaki Kaneko, Managing Director, Tokyo Stock Exchange Shau-Dai Lin, President, Taiwan Stock Exchange Corporation Eduardo C. Lim, Chairman Emeritus, Philippine Stock Exchange Mohd Salleh Majid, General Manager, Kuala Lumpur Stock Exchange D. Cyril Noerhad, President, Jakarta Stock Exchange Chaipat Sahasakul, Senior Vice President, The Stock Exchange of Thailand

Academic Session: Asia-Pacific

Equity Markets

CHAIR Ming-Shu

Hua, National

Chi Nan University

‘Dual Listing Impact of A Share in the Shanghai Stock Exchange on H Shares in the Stock Exchange of Hong Kong’ Zhenmin Fang, City University of Hong Kong Richard Yan-ki Ho, City University of Hong Kong ‘The Bid-Ask Bounce E#ect and the Spread Size Effect: Evidence from the Taiwan Stock Market’ Ghon Rhee, University of Rhode Island ‘Intertemporal Stability of Stock Returns and Relationship with Stock Index Futures’ Gordon Y.N. Tang, Hong Kong Baptist University ‘Fractal Structure in Pacific-Rim Index Returns John S. Howe, University of Missouri-Colombia Deryl W. Martin, Tennessee Technological University Bob G. Wood, Jr., Tennessee Technological University ‘An Analysis of Risk-Return Perceptions Towards Taiwan in Comparison with Other Asia Pacific Markets’ John Vong, Nanyang Technological University Shahidur Rahman, Nanyang Technological University

DISCUSSANTS Shyan-Rong Chou, National Taiwan Institute of Technology Ted Azarmi, International University of Japan

Conference program

266

Justin Wood, University of New South Wales Theodore Bos, University of Alabama at Birmingham Chung-Hua Shen, National Chengchi University Academic CHAIR Joungyol

Session: Portfolio & Mutual Funds

Lin, National

Chengchi

University

‘Mutual Fund Styles’ Stephen J. Brown, New York University William N. Goetzmann, Yale University ‘The Portfolio Behavior of Japanese Corporations’ Stable Shareholders’ James S. Ang, Florida State University Richard Constand, University of Hawaii, Manoa James Wuh Lin, Montana State University ‘Enhancing Portfolio Performance: A Bayesian Approach to Incorporating the CAPM into Conditional Asset Allocation’ Anya Khanthavit, Thammasat University ‘Portfolio Maturity Choice as a Predictor of Interest Rate Movements: A Test of EfSicient Markets using Australian Cash Management Trusts’ Kevin Davis, University of Melbourne ‘A Corporation of Pet$onnance between Closed-End Funds and Open-End Funds’ J.B. Chay, University of Auckland DISCUSSANTS Shean-Bii Chiu, National Taiwan University Chia-Hsing Huang, Providence University Pin-Huang Chou, National Central University Yen-Shan Hsu, National Chengchi University Mansor M. Isa, University of Malaya Chinese Academic Academic

Session: Capital Markets

Session: Corporate Finance (ZZ)

CHAIR Eric L. Chu, National

Taiwan University

‘Large Shareholder Expropriation and Corporate Ownership Structure’ Bing Xiang, Hong Kong University of Science & Technology Guochang Zhang, Hong Kong University of Science & Technology ‘Share Price Effects of Convertible and Warrant Bonds Issues in Singapore’

Conference program

269

Saugata Banerjee, Koc University ‘Bank Asset and Liability Management Under Risk-based Capital Regulation’ Chin-Shen Lee, Ming Chuan College Ginchung Lin, Tamkang University ‘Incentive Compatible Governance in Cooperative Financial Institutions’ Kevin Davis, University of Melbourne

DISCUSSANTS Saugata Banerjee, Koc University Yea-Mow Chen, San Francisco State University Kehluh Wang, National Chiao-Tung University Yehning Chen, National Taiwan University

Academic Session: Znternational Finance CHAIR Robert Radcliffe,

University

of Florida

‘Beta and Return-Implications of Australia’s Dividend Imputation Tax System’ Robert Faff, Royal Melbourne Institute of Technology Justin Wood, University of New South Wales ‘The Financial Per$ormance of Newly Listed Companies-An Evaluation From the Main and Second Board of KLSE’ Fauzias Mat Nor, Universiti Kebangsaan Malaysia Wan Madznah Wan Ibrahim, Universiti Kebangsaan Malaysia Ros Zam Zam Sapian, Universiti Kebangsaan Malaysia ‘The Impact of Trade Barriers on Financial Markets: Purchasing Power Risk, Asset Pricing and Interest Rates’ Szu-Lang Liao, National Sun Yat-Sen University Son-Nan Chen, University of Maryland at College Park ‘Continental Factors in International Real Estate Returns’ Piet Eichholtz, University of Limburg Ronald Huisman, University of Limburg Kees Koedijk, University of Limburg Lisa Schuin, University of Limburg

DISCUSSANTS Ronald Huisman, University of Limburg Terry O’Keefe, University of Queensland Joseph A. Cherian, Boston University J.B. Chay, University of Auckland

Conference program

270

15:30-17:lO

CONCURRENT SESSIONS

Taiwan Stock Exchange Special Session: Development of Derivative Warrants SPEAKER Paul C.Y. Huang, Director, Research Department, ration

Taiwan Stock Exchange

Corpo-

PANEL MEMBERS Chi-Hsien Lee, Deputy Director, Securities and Exchange Commission Jonathan Cha, Manager, Listing Division, Stock Exchange of Hong Kong Alex Candlish, Director, W.I. C&Far East) Limited Julian Bell, Vice President, Morgan Stanley Asia Ltd. Soushan Wu, National Chiao-Tung University

Academic Session: IPOs (ZZ) CHAIR Thomas A. Fetherston,

University

of Alabama

at Birmingham

‘IPO Underpricing Explanations: Implications from Investor Application and Allocation Schedules’ Philip J. Lee, University of Sydney Stephen L. Taylor, University of Sydney Terry S. Walter, University of Sydney ‘Communication of Private Information and the Valuation of Initial Public Offerings (IPOs) in Singapore’ Li Li Eng, The National University of Singapore Andrew Khoo, The National University of Singapore Ruth Tan, The National University of Singapore “Hot Issue’ Markets: Taiwan Experience’ Chao Chen, California State University Northridge Timothy H. Lin, National Chung Cheng University ‘Underpricing in Initial Public Offerings: The Indian Evidence’ T.P. Madhusoodanan, UTl Institute of Capital Markets M. Thiripal Raju, UT1 Institute of Capital Markets ‘Shelf Registration and Legal Liability’ Ann Sherman, Hong Kong University of Science & Technology

DISCUSSANTS Ansing Chen, National Chung Cheng University Soong-Ming Chow, University of Malaya Jun Cai, The Hong Kong University of Science & Technology

271

Conference program

Hong-Jen Chiu, National Taiwan University Jayaram Muthuswamy, National University of Singapore Academic

Session:

Market Microstructure

CHAIR S. Ghon Rhee, University ‘Taxes

and Horizontal

of Rhode Island Corporate

Group

(Keiretsu)

Afiliation:

Empirical

Eui-

dence from Japan’

Piman Limpaphayom, University of Rhode Island S. Ghon Rhee, University of Rhode Island ‘Intraday and Interday Volatility Patterns in HSIF Contracts’

Daniel F.S. Choi, Hong Kong Baptist University Kin Lam, Hong Kong Baptist University ‘Stock Market

Microstructure

and Return

Volatility:

New Evidence

from

the

Korean Stock Market’

Young Kwang Chang, Sung Kyun Kwan University Chi Seung Song, Korea Securities Computer Corp. Chan-Wung Kim, Sung Kyun Kwan University ‘The Influence

of Daily Price Limits on Trading in Nikkei Futures’

Onno W. Steenbeek, Erasmus University Henk Be&man, University of Auckland ‘Cost of Transacting

and Expected

Venkat R. Eleswarapu,

University

Returns in the NASDAQ Market’

of Auckland

DISCUSSANTS Kiyoshi Kate, Nanzan University Chi-Jeng Wang, University of Rhode Island Venkat R. Eleswarapu, University of Auckland Jonathan Batten, University of Western Sydney, Macarthur Shyan-Rong Chou, National Taiwan Institute of Technology Chinese Academic

Session:

Academic

Session:

Hedging with Derivatives

CHAIR Kian-Guan

Lim, National

‘A Generalized Cross Hedge ’

Raymond

Measure

Futures & Options (ZZZJ

University

of Singapore

of Hedging

Effectiveness

Chiang, The Chinese University

and Hedging

of Hong Kong

Contribution for

Conference

272

program

Yang-Cheng Lu, Ming Chuan College Soushan Wu, National Chiao-Tung University Robert C. Radcliffe, University of Florida ‘Cross-Hedging Foreign Exchange Rate Risks: The Case of Deposit Money Banks in Emerging Asian Countries’ Kyung-Chun Mun, Truman State University George E. Morgan, Virginia Polytechnic Institute & State University ‘Relative Informational Eficiency of Cash, Futures, and Option Markets: The Case of and Emerging Market’ Raymond Chiang, The Chinese University of Hong Kong Wai-Ming Fong, The Chinese University of Hong Kong ‘The Term Structure of Return Correlations: The U.S. and Pacific-Basin Stock Markets’ Ming-Shiun Pan, Shippensburg University Y. Angela Liu, National Chung Cheng University DISCUSSANTS Haumin Chu, National Chengchi University Raymond Chiang, The Chinese University of Hong Kong Kian-Guan Lim, National University of Singapore Kate Phylaktis, City University of Hong Kong 18:30-20:30

SPECIAL

BANQUET

AND AWARD CEREMONY

WEDNESDAY, JULY 10 08:50-1O:lO ‘Derivatives

KEYNOTE ADDRESS SESSION and Risks in Bank Regulation’ Professor

Andrew H. Chen, Distinguished University ‘The Liberalization Market’

and Internationalization

of Finance, Process

Southern

Methodist

of Taiwan’s

Securities

Gordon S. Chen, Chairman, Securities and Exchange Commission,

Ministry

of

Finance 10:30-12:00

CONCURRENT SESSIONS

Moody’s Investors Service Special Session: Corporate Default Studies and Application to Relative Value Analysis SPEAKER Lea V. Catty, Senior Analyst,

Moody’s Investors

Services

Conference program

273

Daiwa Institute of Research Special Session: Outlook for Asian Stock Markets and Asian Petrochemical

Industries

SPEAKERS Peter Perkins, Regional Investment Strategist, DIR Hong KongYoshi Analyst (Chemicals), Daiwa Institute of Research Ltd.

Ooe, Senior

Academic Session: Financial Analysis CHAIR M.D. Chen, Fu-Jen Catholic University ‘Capability-Based Competitive Advantage in the Global Takeover Market: Inuesting and Governing Free Cash Flow and Implementation Strategy’ Hong-Jen Charles Chiu, National Taiwan University ‘Earning/Return Association’ Chen Lung Chin, National Chengchi University Shou-Ming Tsao, National Chengchi University ‘Earnings Forecasts in Malaysia: An Empirical Analysis ’ Krishna Paudyal, Glasgow Caledonian University Brahim Saadouni, Hull University Richard J. Briston, Hull University ‘MD &A Quality (Measured by the SEC) and Error and Dispersion in Analysts’ Earnings Forecasts’ Orie Barron, Indiana University Charles Kile, Emory University Terrence O’Keefe, University of Queensland

DISCUSSANTS Hsioujen Kuo, National Sun Yat-Sen University Shu Yeh, National Taiwan University Thomas Lin, National Chengchi University Terry S. Walter, University of Sydney

Academic Session: Issues on Taiwan Stock Market CHAIR Chung-Ming

Kuan, National

Taiwan University

‘On the Use of Limited-Dependent Variable Models to Estimating sion Models Under Price Limits’ Pin-Huang Chou, National Central University ‘On the Taiwan Exchange: Big Versus Small Players’

Linear Regres-

214

Conference program

Yi-Tsung Lee, National Chung Cheng University Ji-Chai Lin, National Chung Cheng University Yu-Jane Liu, National Chung Cheng University ‘Correlation Transformation and Components of Stock Prices’ Ray Y. Chou, Institute of Economics, Academia Sinica, Taiwan Ruey S. Tsay, University of Chicago ‘Price Limits and Liquidity: A Transactional Data Analysis’ Yea-Mow Chen, San Francisco State University

DISCUSSANTS Jean C.H. Loo, California State University, Los Angeles Sudipto Sarkar, National University of Singapore Chung-Ming Kuan, National Taiwan University Shing-Yang Hu, National Taiwan University

Academic Session: Asia-Pacific Equity Markets (ZZ) CHAIR Jen Chiou, National

Cheng Kung University

‘Currency Exposure of Japanese Firms and the Pricing of Exchange Rate Risks in the Japanese Equity Market’ John Doukas, Old Dominion University Patricia H. Hall, Central Connecticut State University Larry Lang, Chinese University of Hong Kong ‘Correlations, Trades and Stock Returns of the Pacific Rim Markets’ Nai-fu Chen, University of California Irvine Feng Zhang, University of California Irvine ‘Recognition of Foreign Exchange Risk in the Japanese Stock Market’ Jongmoo Jay Choi, Temple University Takato Hiraki, International University of Japan Nobuya Takezawa, International University of Japan ‘International Transmission of Stock Price: Evidence from Asian Emerging Markets ’ Lifan Wu, City University of Hong Kong Jing Chen, City University of Hong Kong ‘The Twist of the Weekend Eflect: East Asia Evidence ’ Ming-Hua Liu, Nanyang Technological University Keshab Shrestha, Nanyang Technological University

DISCUSSANTS Timothy H. Lin, National Chung Cheng University Robert G. Bowman, National University of Singapore

275

Conference program

Ming-Shu Hua, National Chi Nan University Cheng-Kum Kuo, National Taiwan University Yang-Pin Shen, National Chung Cheng University 13:30-15:30

CONCURRENT

SESSIONS

Chicago Board Options Exchange Tutorial Session: Index Option Strategies for Portfolio Management SPEARER William J. Barclay, Vice President, opment, Chicago Board Options Exchange

Strategic Planning

and International

Devel-

Stock Exchange of Thailand Special Session: Thai Capital Markets CHAIR Chaipat Sahasakul,

Senior Vice President,

The Stock Exchange

of Thailand

SPEAKERS ‘Recent Developments of the Stock Exchange of Thailand’ Wuttipan Tawarangkoon, Vice President, Research and Development Department, The Stock Exchange of Thailand ‘Short Sale and Securities Lending’ Chaipat Sahasakul, Senior Vice President, The Stock Exchange of Thailand ‘Investment Behavior of Closed-End Mutual Funds Listed on the Stock Exchange of Thailand’ Patarasavee Suvamsorn, Center for Capital Market Studies, The Stock Exchange of Thailand Ajaree Sattayaprasirt, Center for Capital Market Studies, The Stock Exchange of Thailand

Academic Session: Derivatives Pricing CHAIR Min-Teh

Yu, National

Central University

‘Pricing Catastrophe Insurance Futures Call Spreads: A Randomized tional Time Approach’ Carolyn W. Chang, California State University, Fullerton Jack S.K. Chang, California State University, Los Angeles Min-Teh Yu, National Central University ‘Pricing Equity Swaps ’

Opera-

Conference program

276

William T. Lin, Taiwan International Exhibition & Convention Center Nalin H. Kulatilaka, Boston University Soushan Wu, National Chiao-Tung University Thomas Lin, University of Southern California ‘The Real Option Premium in Japanese Land Prices’ Hiroshi Yamaguchi, Nippon Fire & marine Insurance Co., Ltd. Nobuya Takezawa, International University of Japan Ushio Sumita, International University of Japan Ted Azartni, International University of Japan ‘A Real Option Framework for Evaluating Infrastructure Investments’ George Y. Wang, Boston University Nalin Kulatilaka, Boston University

DISCUSSANTS George Y. Wang, Boston University Szu-Lang Liao, National Sun Yat-Sen University William T. Lin, Taiwan International Exhibition ACConvention Hsien-Hsing Liao, National Taiwan University

Academic Session:

Center

Conference program

2-n

CHAIR O.P. Gupta, Hindu Institute

of Management

‘Share Price Reaction of Australian Common Stocks to Announcements of International Joint Ventures’ Justin D. Bailey, University of Melbourne S. Janakiramanan, University of Melbourne ‘Stock Market Reactions to Pending Shifts in Liquidity: Additional Evidence for Price Pressures ’ Ghee Soon Lim, National University of Singapore Kie Ann Wong, National University of Singapore Lily Chew, National University of Singapore ‘The Announcement Effects of Rights and Bonus Issues on Malaysian Stock Prices’ Mansor M. Isa, University of Malaya ‘Venture Capital for Financing Technology in Taiwan’ Indra M. Pandey, Asian Institute of Technology Angela Jang, Land Bank of Taiwan The Wealth Effects of Stock Delistings: GARCH Evidence from the Stock Exchanges of Singapore and Malaysia’ Ahamed Meera, International Islamic University Michael Redfeam, University of North Texas Niranjan Tripathy, University of North Texas

DISCUSSANTS O.P. Gupta, Hindu Institute of Management Pin-Huang Chou, National Central University Thomas A. Fetherston, University of Alabama at Birmingham Xueping Wu, City University of Hong Kong Chung-Hua Shen, National Chengchi University 15:30-16:30

CONCURRENT SESSIONS

Academic Session: Empirical Methodology CHAIR Theodore

Bos, University

of Alabama

at Birmingham

‘Fractal Structures and Ndive Trading Systems: Evidence from the Spot U.S. Dollar/Japanese Yen ’ Jonathan Batten, University of Western Sydney Craig Ellis, University of Western Sydney ‘On the Likelihood of Unstable Processes in Financial Market Data’

Conference program

278

Theodore Bos, University of Alabama at Birmingham Thomas A. Fetherston, University of Alabama at Birmingham ‘Conditional Second Moment Effects: tures and Stock Price Processes’

Intra-day

Evidence

Australian

Index Fu-

Gerard Gannon, University of Melbourne DISCUSSANTS John S. Howe, University of Missouri-Columbia Bwo-Nung Huang, National Chung Cheng University Jean C.H. Loo, California State University, Los Angeles Academic Session: Stock Market Reactions & Higher Moments CHAIR Cheng-Kum Kuo, National Taiwan University ‘On Existence of an Optimal Stock Price: Evidence from Stock Splits and Reverse Stock Splits in Hong Kong’ Lifan Wu, City University of Hong Kong Bob Y. Chan, City University of Hong Kong ‘Short-Run

Overreaction

in the New Zealand Stock Market’

Robert G. Bowman, National University of Singapore David Iverson, University of Auckland ‘The Behavior in Taiwan’

of Stock Returns Around the Holidays: An Approach

of Robustness

Che-Peng Lin, Feng Chia University Mark Walker, University of Mississippi DISCUSSANTS Allaudeen Hameed, National University of Singapore Chih-Hsien Yu, National Chung Cheng University Lifan Wu, City University of Hong Kong Chinese Academic Session: Artificial Zntelligence in Finance Academic Session: Financing t Dividend Policy CHAIR Shean-Bii Chiu, National Taiwan University ‘Executiue Views on Dividends Philippines ’

and Capital Structure

George W. Kester, Bucknell University Rosita P. Chang, University of Rhode Island

Policy: Indonesia

and the

Conference

program

Erlinda S. Echanis, University of the Philippines Susatio Soedigno, PEPINDO Credit Rating Indonesia Ltd. ’ Voluntary Dividend Announcement in Japan’ Kiyoshi Kato, University of Utah Uri Loewenstein, University of Utah Wenyuh Tsay, University of Utah ‘Keiretsu Afiliation and Share Price Volatility in Japan ’ Dick Beason, University of Alberta DISCUSSANTS Sudipto Sarkar, National University of Singapore Tay-Chang Wang, National Taiwan University Shean-Bii Chiu, National Taiwan University Academic

Session: CFA Thesis Workshop

279