AsPr Michael Chng

STAFF PROFILE

Position

Associate Professor

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Contact

michael.chng@deakin.edu.au
+61 3 924 46537

Research interests

Price Discovery, Hedge fund strategies, CDS markets, Commodity markets

Units taught

MAF430/762/902 Advanced Derivative Securities

MAF702 Applied Corporate Finance

Publications

Filter by

2014

Rating downgrade and the price impact of CDS spread on stock return

A/Prof Michael Chng, Dr Peipei Wang

(2014), Vol. 21, pp. 283-323, Review of futures markets, Chicago, IL, C1

journal

Higher moments and beta asymmetry : evidence from Australia

Dr Daisy Doan, Prof Chien-Ting Lin, A/Prof Michael Chng

(2014), Vol. 54, pp. 779-807, Accounting and finance, Melbourne, Vic., C1

journal
2013

Transmigration across price discovery categories : evidence from the U.S. CDS and equity markets

Dr Vincent Xiang, A/Prof Michael Chng, A/Prof Victor Fang

(2013), Vol. 33, pp. 573-599, Journal of futures markets, Malden, Mass., C1

journal

The trading performance of dynamic hedging models : time varying covariance and volatility transmission effects

A/Prof Michael Chng, Prof Gerard Gannon

(2013), pp. 713-726, Encyclopedia of finance, New York, N. Y., B1

chapter
2012

The implied convenience yield of precious metals: safe haven versus industrial usage

A/Prof Michael Chng, Grant Foster

(2012), Vol. 20, pp. 349-394, Review of futures markets, Washington, D. C., C1

journal
2010

Comparing different economic linkages among commodity futures

A/Prof Michael Chng

(2010), Vol. 37, pp. 1348-1389, Journal of business finance & accounting, Oxford, England, C1

journal
2009

Common industry exposure in seemingly unrelated commodities

A/Prof Michael Chng

(2009), Vol. 18, pp. 7-38, Review of futures markets, Kent, Ohio, C1

journal

There is something about pairs trading

A/Prof Michael Chng

(2009), Vol. 13, pp. 27-35, Corporate finance review, New York, N.Y., C1

journal

Economic linkages across commodity futures : hedging and trading implications

A/Prof Michael Chng

(2009), Vol. 33, pp. 958-970, Journal of banking and finance, Amsterdam, The Netherlands, C1

journal
2005

Measuring the summary informativeness of orders and trades

A/Prof Michael Chng

(2005), Vol. 14, pp. 245-281, Review of futures markets, Kent, Ohio, C1-1

journal

Floor trading and screen trading : distinctions for practitioners

A/Prof Michael Chng

(2005), Vol. 9, pp. 5-18, Corporate finance review, New York, N.Y., C1-1

journal
2004

The trading dynamics of close-substitute futures markets : evidence of margin policy spillover effects

A/Prof Michael Chng

(2004), Vol. 14, pp. 463-483, Journal of multinational financial management, Amsterdam, Netherlands, C1-1

journal

A model of price discovery and market design : theory and empirical evidence

A/Prof Michael Chng

(2004), Vol. 24, pp. 1107-1146, Journal of futures markets, Hoboken, N.J., C1-1

journal
2003

Contemporaneous intra-day volume, option, and futures volatility transmissions across parallel markets

A/Prof Michael Chng, Prof Gerard Gannon

(2003), Vol. 12, pp. 49-68, International review of financial analysis, New York, N.Y., C1-1

journal

Grants

Industry and Other Funding

Credit risk information dynamics and capital structure arbitrage: Evidence from the U.S. CDS and equity markets

Dr Vincent Xiang, A/Prof Michael Chng

  • 2013: $3,818

Commodity Hedging with Stochastic Volatility Models

A/Prof Michael Chng, A/Prof Qingfu Liu, Dr Vincent Xiang

  • 2014: $3,636
  • 2013: $5,454

Supervisions

Associate Supervisor
2013

Hansen Limong

Thesis entitled: Information Linkages between the U.S. Credit Default Swap and Equity Markets

Doctor of Philosophy, School of Accounting, Economics & Finance