A/Prof. Michael Chng

STAFF PROFILE

Position

Visitor

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Qualifications

Doctor of Philosophy, University of Melbourne, 2003
GCHE Exempt, Deakin University, 2009

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

M Chng, P Wang

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

journal

Higher moments and beta asymmetry : evidence from Australia

M Doan, C Lin, M 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

V Xiang, M Chng, V 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

M Chng, G 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

M Chng, G Foster

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

journal
2010

Comparing different economic linkages among commodity futures

M Chng

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

journal
2009

There is something about pairs trading

M 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

M Chng

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

journal

Common industry exposure in seemingly unrelated commodities

M Chng

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

journal
2005

Floor trading and screen trading : distinctions for practitioners

M Chng

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

journal

Measuring the summary informativeness of orders and trades

M Chng

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

journal
2004

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

M 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

M 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

M Chng, G 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