Hung-Gay Fung
<
Hung-Gay
Fung
Dr. Y.S. Tsiang Professor in Chinese Studies
Office:
1113 SSB Tower ~ Voice: 314-516-6374
E-Mail: fungh@umsl.edu Current
Vitae
Degrees
Held:
Ph.D. (Major - Finance; minor - Economics), Georgia State University,1984
B.B.A. (Major - Finance; minor - Economics), The Chinese University
of Hong Kong, 1978
Interests:
- Areas: Investments, Risk Management, Corporate Finance, International Investments
- Courses:
- International Banking
- International Finance
- Options and Futures
- Investment Analysis
- Corporate Finance
Research:
- Areas: International Finance, Banking, Derivative Markets and Small Business Finance
- Selected
Significant Publications: [99] “China's Exchange Trade Fund: Is There a Trading Place Bias?” (with Louis Cheng and Yiuman Tse)
Review of Pacific Basin Financial Markets and Policies, forthcoming 2008.
[98] “Cross-Market Linkages of Taiwan Index Futures Contracts Listed on the Taiwan
Futures Exchange and the Singapore Exchange,” Review of Pacific Basin Financial Markets and Policies
(with Wilson Liu and Daniel Park), forthcoming 2008.
[97] “Market Structure and Profitability of Chinese Commercial Banks,” (with Yan Lu and Xianfeng
Jiang), Chinese Economy, forthcoming 2007.
[96] “On the Financial Performance of Private Enterprises in China" (with Eleanor Xu and Qi-Zi Zhang),
Journal of Developmental Entrepreneurship, 2007 forthcoming.
[95] “China Financial Research: A Review and Synthesis,” (with Kam C. Chan and Samanta Thapa),
International Review of Economics and Finance, 2007, forthcoming.
[94] “Assessment of the China-Hong Kong Closer Economic Partnership Agreement,” (with Jian Zhang),
Chinese Economy, 2007, 40(2), March-April, 36-50.
[93] “Prospects for China’s Free Trade Agreements,” (with Yanying Zhang and Gaiyan Zhang),
Chinese Economy, 2007, 40(2), March-April, 5-35.
[92] “Information Effects of Dividends: Evidence from the Hong Kong Market,” (co-authored with
Louis T. W. Cheng and Tak Yan Leung) Review of Quantitative Finance and Accounting, 2007, 28,
23-54.
[91] “Financing Alternatives for Chinese Small and Medium Enterprises: The Case for a Small and Medium
Enterprise Stock Market,” (with Qingfeng “Wilson” Liu and Jot Yau), China and World Economy, 2007,
Jan-Feb, No. 1, 26-42.
[90] “Winners and Losers: Assessing the Impact of Chinese Yuan Appreciation,” (coauthored with Jian
Zhang), Journal of Policy Modeling, 2006, 28, 995-1009.
[89] “International Business Research: Trends and School Rankings" (with Kam C. Chan and Wai Kin
Leung), International Business Review, 15 (4), 2006, 317-338.
[88] “The Impact of Chinese Real Exchange Rate Appreciation on India’s Trade and Investment: A General
Equilibrium Analysis,” (Jian Zhang and Bansi Sawhney), Indian Journal of Economics and Business, 2006,
5(2), December, 193-203.
[87] “China’s Privatization Reforms: Progress and Challenges,” (Donald Kummer and Jinjian Shen),
Chinese Economy, 2006, March-April, 39 (2), 5-25.
[86] “On the Imbalance between the Real Estate Market and the Stock Market in China,” (with Gaiyan
Zhang), Chinese Economy, 2006, March-April, 39 (2), 26-39.
[85] “China’s Social Capital and Financial Performance of Private Enterprises,” (with Qi-Zi Zhang), Journal
of Small Business and Enterprise Development, 2006, 13(2), 198-207.
[84] “Can Renminbi Appreciation Reduce the U.S. trade Deficit?” (with Jian Zhang and Donald Kummer),
China & World Economy, 2006, 14(1), 44-56.
[83] “The Development of the Real Estate Industry in China,” (with Alan Guoming Huang, Qingfeng
“Wilson” Liu, and Maggie Xiaoqin Shen), Chinese Economy, 2006, 9(1), 84-102.
[82] “New International Evidence on Interactions between Bank Size, Industrial Production, and
International Trade,” (with Zijun Wang and Wai-Chung Lo), Indian Journal of Economics and Business,
2005, 4(2), 285-304.
[81] “Floating the Non-floatables in China’s Stock Market: Theory and Design,” (with Alan Guoming
Huang), Emerging Market Finance and Trade, 2005, September-October, 41(5), 6-26.
[80] “Fiscal Deficit and Debt Conditions for China,”(with Yingqiu Liu and Zijun Wang), Emerging Market
Finance and Trade, 2005, September-October, 41(5), 56-74.
[79] “China’s Corporate Governance and Reforms,” (with Chi-ho Chung and Felix Y. Kwan) China and
World Economy, 2005, 13 (5), 28-42.
[78] “What Moves the Mortgage-Backed Securities Market?” (with Xiaoqing Eleanor Xu), Real Estate
Economics, 2005, 33 (2), 397-426.
[77] “Membership on Editorial Boards and Rankings of Schools with International Business Orientation,”
(with Kam C. Chan and Pikki Lai), Journal of International Business Studies, 2005, 36, 452-469.
[76] “China Trade and Investment: An Overview and Analysis,” China and World Economy, May-June
2005, 13 (3), 3-16.
[75] “Cross-market Linkages between U.S. and Japanese Precious Metal Futures Trading,” (with Eleanor
Xu), Journal of International Financial Markets, Institutions, and Money, April, 2005. Volume 15 Number
2, 107-124.
[74] “Intraday Volatility Behavior for the Chinese Futures Markets” (with Kam C. Chan and Wai K.
Leung), Journal of International Financial Markets, Institutions and Money, December 2004, volume 14,
491-505.
[73] “Non-Deliverable Forward Market for Chinese RMB: A First Look,” (with Wai K. Leung, and Jiang
Zhu) China Economic Review, 2004, Volume 15, Issue 3, 348-352.
[72] “Venture Capital Cycle, Opportunities, and Challenges in China,” (with Wilson Liu and Meggie Shen),
Chinese Economy, July-August 2004, 28-49.
[71] “Winners and Losers: Foreign Firms in China’s Emerging Market,” (with Julius Johnson and Yanda
Xu), Chinese Economy, 2004 May-June, Volume 37, No. 3, 5-16.
[70] “The Informational Role of Open Interest in Futures Markets,” (with Jain Yang and David A. Bessler)
Applied Economics Letters, 2004, Volume 11, 569-573.
[69] “Do Hedge Fund Managers Display Skill?” (with Eleanor Xu and Jot Yau) Journal of Alternative
Investments, Spring 2004, 22-31.
(An abstract in the November 2004 issue of CFA Digest, 11-13).
(cited:http://www.edhec-risk.com/research_news/choice?sort_on=effective&sort_order=reverse)
[68] “Stock Ownership Segmentation, Floatability and Constraints on Investment Banking in China,” (with
Alan G. Huang), China and World Economy, March-April, 2004, volume 12, No. 2, 66-78.
[67] “Information Flows Between the U.S. and China Commodity Futures Trading,” (Wai K. Leung and
Eleanor Xu), Review of Quantitative Finance and Accounting, 2003, November, Volume 21, 267-285.
[66] “A Rise of Capitalism in China,” China Business Review, August 2003, Volume 2, No. 1 (Serial No.
2), 1-7.
[65] “The Linkage of REIT Income- and Price-Returns with Fundamental Economic Variables,” (David H.
Downs, Gary A. Patterson, and Jot Yau), The Journal of Alternative Investments, 2003, Summer, Volume
6, No. 1, 39-50.
(Abstracted by The CFA Digest, Volume 34, Volume 1, February 2004, pp. 7-8.)
[64] “Are China’s Trade Policies Effective?” (with Yu-sheng Hsu, Changhong Pei, and Jinjian Shen), China
and World Economy, 2003, No. 1, 48-56.
(reprint in China: An Economic Research Study Series—Trading with the Dragon, Singapore: Marshall
Cavendish Academic, 2005).
[63] “Performance of Global Hedge Funds: An Analysis of Risk, Return and Market Timing,” (with Eleanor
Xu and Jot Yau), Financial Analysts Journal, 2002, November-December, 19-30.
[62] “Information Flows Across Markets: Evidence from Chinese Stocks Dually Listed in Hong Kong and
New York,” (with Eleanor Xu), Financial Review, 2002, Vol. 37, 563-588.
[61] “The Three-Way Economic Relationships Among U.S., Taiwan and China,” International Journal of
Business, 2002, Volume 7, No. 3, 3-18.
[60] “Financial Liberalization and Corporate Governance in China,” (with Wai Kin Leung) International
Journal of Business, 2001, Volume 2, No. 2, 3-31.
[59] “Chinese Banking: Challenges and Opportunities in the New Millennium,” Business Forum, 2001, Vol.
24, No. 3-4, 2-6.
[58] “The Information Role of U.S. Futures Trading in a Global Financial Market,” (W. K. Leung and
Xiaoqing Eleanor Xu), Journal of Futures Markets, November 2001, Vol. 21, 1090-2001.
[57] “Chinese Liberalization: Implications for Corporate Governance,” (with W. K. Leung) The Chinese
Economy, 2001, January-February, Vol. 34, No. 1., 5-14.
(also reprinted at Financial Market and Foreign Direct Investment in Greater China, H.G. Fung and
K. Zhang eds., M.S. Sharpe, 2002)
[56] “Volatility, Global Information, and Market Conditions: A Study in Futures Markets,” (with Gary
Patterson), Journal of Futures Markets, 2001, Volume 21, number 2, 173-196.
[55] “A Great (and not so Great) Expectations: An Endogenous Economic Explication of Insurance Cycles
and Liability Crises,” (Gene Lai, Bob Witt, Richard MacMinn, and Pat Brockett), Journal of Risk and
Insurance, 2000, vol. 67, No. 4, 617-652.
[54] “Red Chips or H-Shares: Which China-Backed Securities Process Information the Fastest?” (with
Winnie Poon) Journal of Multinational Financial Management, 2000, volume 10, 315-343.
[53] “Segmentation of the A- and B-Share Chinese Equity Markets,” with Wai Lee and Wai K. Leung)
Journal of Financial Research, Summer 2000, Vol. 23, 179-195.
[52] “Do Trading Rules Based Upon Winners and Losers Work Across Markets? Evidence from the
Pacific Basin and U.S. Markets,” (Wai K. Leung and Gary A. Patterson), Multinational Finance Journal,
1999, Volume 3, 41-70.
[51] “A Multivariate Analysis of the Determinants of Bank Financial Strength Ratings,” (with Winnie Poon
and Michael Firth), Journal of International Financial Markets, Institutions and Money, August 1999, Volume 9, Number 3, 267-283
[50] “Ethical Across Cultures: Managing the Differing Perspectives of China and the USA,” (with Dennis
Pita and Steve Isberg), Journal of Consumer Marketing, 1999, Volume 16, Number 3, 240-256.
[49] “Volatility Linkage Among Currency Futures Markets During US Trading and Non-trading Periods,”
(with Gary Patterson), Journal of Multinational Financial Management, March 1999, Volume 9, Number 2,
129-153.
[48] “The Dynamic Relationship of Volatility, Volume and Market Depth in Currency Futures Markets,”
(with Gary Patterson), Journal of International Financial Markets, Institutions and Money, 1999, Volume 9,
Number 1, 33-59.
[47] “Underwriting Cycles in Property and Liability Insurance: An Empirical Analysis of Industry and Byline
Data,” (with Gene C. Lai, Gary Patterson, and Robert C. Witt) Journal of Risk and Insurance,
December 1998, Volume 65, No. 4, 539-562.
[46] “The Relationship among Volatility, Volume, Bid-Ask Spread and Number of Brokers: Evidence from
Intra-Day on the Hong Kong Stock Market,” (with Chuan-Yang Hwang and Wai-Kin Leung), Review of
Pacific Basin Financial Markets and Policies, September 1998, Volume 1, Number 3, 303-320.
[45] “Asset Pricing in Segmented Capital Markets: Preliminary Evidence from China-Domiciled
Companies,” (with Winnie Poon and Michael Firth) Pacific-Basin Finance Journal, August 1998, Vol 6,
Number 3-4, 307-319.
[44] “The Spillover Effect of the Trade Suspension of the Treasury Bond Futures Market in China,” (with
Winnie Poon and Michael Firth), Journal of International Financial Markets, Institutions and Money, 1998,
Vol 8, 205-218.
[43] “Factors Affecting Foreign Investor Choice in Types of U.S. Real Estate,” (with Deborah Ford and
Dan Gerlowski) Journal of Real Estate Research, 1998, Vol. 16, Number 1, 99-111.
[42] “Asian Financial Crisis: A Credit Perspective,” (with Ron Chung) The Credit and Financial
Management Review, 1998, Vol. 4, Number 3, Third Quarter, 22-27
[41] “On Differentiation and Price Trend of China Capital Market According to B-Share Issue,” (in
Chinese) (with Winnie Poon), Journal of Zhejiang Institute of Finance and Economics, 1998, Number 5,
49-53.
[40] “Information Flows between the Eurodollar Spot and Futures Markets,” (with Yin-Wong Cheung),
Multinational Finance Journal, 1997, Vol. 1, number 4, 255-271.
[39] “International Interest Rate Transmission and Volatility Spillover,” (with Hoyoon Jang and Wai Lee)
International Review of Economics and Finance, 1997, volume 6, 67-75.
[38] “International Interest Rate Linkage: Evidence from the Money Markets in the United Kingdom,” (with
Wai Lee, and Ming-Shiun Pan) Journal of Multinational Financial Management, 1996, Volume 6 (4), 59-
71.
[37] “Do We Expect More Latent Variables in a Structurally Different Market: the Case of Hong Kong,”
(with Wai Lee and Wai-Chung Lo) Research in International Business and Finance, Larry Lang and John
Doukas (eds), JAI press, 1996, 313-328.
[36] “International Transmission of Stock Price Volatility: Evidence from the U.S. and Six Pacific Basin
Markets,” (with Angela Y. Liu and Ming-Shiun Pan) Journal of Multinational Financial Management, 1996,
Volume 6 (2/3), 81-94.
[35] “A Note on 'State Characteristics and the Location of Foreign Direct Investment Within the United
States',” (with Joseph Friedman,, Daniel A Gerlowski and Jonathan Silberman) Review of Economics and
Statistics, May 1996, 367-368.
[34] “A Note on Euroyen and Japanese Domestic Interest Rates,” (with Wai-Chung Lo and Joel N.
Morse) Journal of Banking and Finance, October 1995, 19, 1309-1321.
[33] “Evidence on the Dynamic Relationship between International Trade and the Stock Market: the Four
Asian Tigers,” (with Wai-Chung Lo, Wai K. Leung) Journal of International Trade and Economic
Development, July 1995, 4(2), 171-183.
[32] “Examining the Long-Range Dependency in Exchange Rates,” (with Wai-Chung Lo) Journal of
International Financial Markets, Institutions and Money, 1995, Vol. 5, No. 1, 19-29.
[31] “Purchasing Power Parity Under the European Monetary System,” (with Yin-Wong Cheung, Kon S.
Lai and Wai-Chung Lo) Journal of International Money and Finance, Volume 14, No. 2, February 1995,
179-189.
[30] “An Examination of the Ex Ante International Interest Rate Transmission,” (with Wai-Chung Lo)
Financial Review, February, 1995, 175-192.
(A summary of the article appears in the Certified Financial Analyst (CFA) Digest, summer 1995, 10-11).
[29] “Steering Clear of Derivatives Risk,” (with Ronald, K. Chung) Treasury Management Association
Journal, September/October 1995, 15(15), 10-13.
[28] “Exports, Imports and Industrial Production: Evidence from Advanced and Newly Industrializing
Countries,” (with Bansi Sawhney, Wai-Chung Lo, and Pinggui Xing) International Economic Journal, Vol 8,
No. 4, Winter 1994, 87-98.
[27] “The Location of Foreign Direct Investment in U.S. Real Estate: An Empirical Analysis,” (with Dan
Gerlowski and Deborah Ford) Land Economics, August 1994, 70(3), 286-293.
[26] “Examining the Dependency in Intra-day Stock Index Futures,” (with Wai-Chung Lo, and John E.
Peterson) Journal of Futures Markets, June 1994, Vol 14, No. 14, 405-419.
[25] “Empirical Investigation of Purchasing Power Parity,” (with Wai K. Leung, Bansi Sawhney and Eden
Yu) Indian Economic Journal, January 1994, 120-128.
[24] “Dependency in Pacific Basin Stock Returns,” (with Wai-Chung Lo, Shaw Chen, and Gene Lai)
International Review of Financial Analysis, Vol. 2, No. 3, 1993, 199-210.
[23] “Memory in Interest Rate Futures,” (with Wai-Chung Lo) Journal of Futures Markets, December
1993, 865-872.
[22] “The Choice of Implied Volatility for Valuing Options on Stock Index Futures,” (with Joel Morse)
Midwestern Journal of Business and Economics, Spring 1993, 29-35.
[21] “Optimal Financial Leverage and Managerial Productivity,” (with Dileep R. Mehta) in Advances in
Quantitative Analysis of Finance and Accounting, edited by Cheng F. Lee, JAI press Inc., Volume 2, 1993,
1-18.
[20] “The Pricing Relationship of Eurodollar Futures and Eurodollar Deposit Rates,” (with Wai K. Leung),
Journal of Futures Markets, April 1993, 115-126.
[19] “Forecasting Foreign Exchange Rates: Which Model?” (with Bansi Sawhney) Indian Journal of
Quantitative Economics, Vol VIII, no 1 & 2, 1992, 1-6.
[18] “Deviations from Purchasing Power Parity,” (with Wai-Chung Lo) Financial Review, November 1992,
553-570.
[17] “A Cointegration Analysis of the Asian Dollar and Eurodollar Interest Rate Transmission Mechanism,”
(with Steven Isberg and Wai K. Leung) Asia Pacific Journal of Management, 2, October 1992, 167-177.
[16] “The International Transmission of Eurodollar and U.S. Interest Rates: A Cointegration Analysis,” (with
Steven Isberg) Journal of Banking and Finance, August 1992, 757-769.
[15] “An Initial Assessment of the Locational Preferences of Foreign Investors in U.S. Real Estate: 1980-
1988,” (with Daniel Gerloswki and Fereidoon Shahrokh) Southern and Business Economic Journal, April
1992, 129-146.
[14] “Re-examining the Behavior of Real Exchange Rates,” (with Geoffrey Booth and Wai K. Leung)
Journal of International Financial Markets, Institutions and Money, Vol 1, no 4, 1991, 1-11.
[13] “The Growth of Currency Futures Markets,” (with Gene C. Lai and Spiros Martzoukos) International
Journal of Finance, Autumn 1991, 75-91.
[12] “A Pricing of Foreign Currency Investments,” (with Wai K. Leung) Global Finance Journal, Vol 2, no
(1/2), Spring/Summer 1991, 99-118.
[11] “The Use of Forward Contracts for Hedging Currency Risk,” (with Wai K. Leung) Journal of
International Financial Management and Accounting, Spring 1991, 78-92.
[10] “Forward Market and International Trade,” (with Gene C. Lai) Southern Economic Journal, April
1991, 982-992.
[9] “Currency Warrants on the American Stock Exchange,” (with Clifford F. Thies and Joel Morse) Journal
of International Financial Markets, Institutions and Money, Vol. 1, no.2, 1991, 85-95.
[8] “Put-Call Parity and Arbitrage Bounds for Options on Grain Futures,” (with William W. Wilson)
American Journal of Agricultural Economics, February 1991, 55-65.
[7] “The Forecasting Performance of Implied Standard Deviation in Currency Options,” (with Chin-Jen Lie
and Abel Moreno) Managerial Finance, Vol. 16, no 3, 1990, 24-29.
[6] “Tests of Unbiased Forecast in Stock Index Futures Markets,” (with Jeffrey E. Jarrett and Wai K.
Leung) Managerial Finance Vol. 16, no 3, 1990, 19-23.
[5] “Stock Market and Economic Activities: A Causal Analysis,” (with Chin-Jen Lie) Research on
Pacific-Basin Capital Markets, edited by G. Rhee and R. Chang, North-Holland, 1990.
[4] “Information Content of Volatilities Implied by Option Premiums in Grain Futures Markets,” (with
William W. Wilson) Journal of Futures Markets, February 1990, 13-27.
[3] “Option Price Behavior in Grain Futures Markets,” (with William W. Wilson and Michael Ricks) Journal
of Futures Markets, February, 1988, 47-65.
[2] “Monte Carlo Studies on the Effectiveness of the Bootstrap Bias Reduction Method on TSLS
24 Estimates,” (with Yu-Sheng Hsu, Kin-Nam Lau, and Edwin F. Ulveling) Economics Letters, 20, 1986,
233-239.
[1] “Inflation, Cost of Capital, and Capital Budgeting Procedures,” (with Dileep R Mehta and Michael
Curley) Financial Management, Winter 1984, 48-54.
- Recipient, Best Paper Award (with G.Lai, R. MacMinn and Bob Witt), Committee on Online Service (COOS), Casuality Actuarial Society, 1999.