AsPr Victor Fang

STAFF PROFILE

Position

Associate Professor

Faculty

Faculty of Business and Law

Department

BL Deakin Business School

Campus

Melbourne Burwood Campus

Contact

v.fang@deakin.edu.au
+61 3 924 46919

Research interests

• Fixed Income and interest rate swaps and related issues
• Financial risk Management
• Modeling of Term structure of Interest Rates
• Volatility Modeling

Publications

Filter by

2016

The role of optimistic news stories in IPO pricing

Prof Peter Carey, A/Prof Victor Fang, Dr Hong Feng Zhang

(2016), Vol. 41, pp. 16-29, Journal of international financial markets, institutions and money, Amsterdam, The Netherlands, C1

journal

Aggregate volatility risk and the cross-section of stock returns: Australian evidence

Van Anh Vivan Mai, Dr Tze Ang, A/Prof Victor Fang

(2016), Vol. 36, pp. 134-149, Pacific-Basin finance journal, Amsterdam, The Netherlands, C1

journal

How accurately can convertibles be classified as debt or equity for tax purposes? Evidence from Australia

Jean-Pierre Fenech, A/Prof Victor Fang, Rob Brown

(2016), Vol. 12, pp. 153-164, Review of law & economics, Berlin, Germany, C1

journal
2015

Non-tradable share reform, liquidity, and stock returns in China

Chi-Hsiou Hung, Qiuliang Chen, A/Prof Victor Fang

(2015), Vol. 15, pp. 27-54, International Review of Finance, , C1

journal

What determines the yen swap spread?

Dr Sohel Azad, Prof Jonathan A Batten, A/Prof Victor Fang

(2015), Vol. 40, pp. 1-13, International Review of Financial Analysis, , C1

journal

International swap market contagion and volatility

Dr Sohel Azad, Prof Jonathan A Batten, A/Prof Victor Fang, J Wickramanayake

(2015), Vol. 47, pp. 355-371, Economic Modelling, , C1

journal

The economic significance of CDS price discovery

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

(2015), Vol. In press, pp. 1-30, Review of quantitative finance and accounting, New York, N.Y., C1

journal

The underpricing of infrastructure IPOs: Evidence from China

Mr Qile Tan, A/Prof Bill Dimovski, A/Prof Victor Fang

(2015), Vol. 18, pp. 150025-1-1550025-31, Review of Pacific Basin Financial Markets and Policies, Singapore, Asia, C1

journal
2014

Unchecked manipulations, price–volume relationship and market efficiency: evidence from emerging markets

Dr Sohel Azad, Saad Azmat, A/Prof Victor Fang, Piyadasa Edirisuriya

(2014), Vol. 30, pp. 51-71, Research in international business and finance, Philadelphia, USA, C1

journal

Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods

Chi-Hsiou Hung, Dr Sohel Azad, A/Prof Victor Fang

(2014), Vol. 31, pp. 14-29, Journal of international financial markets, institutions & money, Amsterdam, The Netherlands, C1

journal

Impact of policy changes on the efficiency and returns-to-scale of Japanese financial institutions: an evaluation

Dr Sohel Azad, Suzuki Yasushi, A/Prof Victor Fang, Dr Amirul Ahsan

(2014), Vol. 32, pp. 159-171, Research in international business and finance, Amsterdam, The Netherlands, C1

journal

Corporate bond prices and idiosyncratic risk : evidence from Australia

A/Prof Victor Fang, Chi-Hsiou Hung

(2014), Vol. 33, pp. 99-114, Journal of international financial markets, institutions & money, Amsterdam, The Netherlands, C1

journal
2013

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

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

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

journal

Stock prices and the location of trade : evidence from China-backed ADRs

Xue Wang, Lee J Yao, A/Prof Victor Fang

(2013), Vol. 26, pp. 677-688, North American jounal of economics and finance, Amsterdam, The Netherlands, C1

journal

An investigation of the deviation from the market efficiency and its Implications for capital market development: the DSE evidence

Dr Sohel Azad, Dr Amirul Ahsan, A/Prof Victor Fang

(2013), pp. 143-159, Emerging markets and the global economy: a handbook, Oxford, England, B1

chapter
2012

Business cycles and the impact of macroeconomic surprises on interest rate swap spreads : Australian evidence

A/Prof Victor Fang, Dr Sohel Azad, Prof Jonathan A Batten, Prof Chien-Ting Lin

(2012), pp. 379-398, Contemporary studies in economic and financial analysis, Bingley, England, B1

chapter

Linking the interest rate swap markets to the macroeconomic risk : The UK and us evidence

Dr Sohel Azad, A/Prof Victor Fang, Chi-Hsiou Hung

(2012), Vol. 22, pp. 38-47, International review of financial analysis, Amsterdam, Netherlands, C1

journal
2011

Low-frequency volatility of yen interest rate swap market in relation to macroeconomic risk

Dr Sohel Azad, A/Prof Victor Fang, J Wickramanayake

(2011), Vol. 11, pp. 353-390, International review of finance, Richmond, Vic., C1-1

journal
2010

Value-at-risk disclosures and the implications on bank stakeholders

Jason Ball, A/Prof Victor Fang

(2010), pp. 3-27, Banking and capital markets : new international perspective, Singapore, B1-1

chapter
2009

Volatility spillover between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis

Daniel F. S. Choi, A/Prof Victor Fang, Tian Yong Fu

(2009), Vol. 1, pp. 106-117, Asian journal of finance and accounting, Las Vegas, Nev., C1-1

journal
2008

A heuristic approach to Asian hedge fund allocation

A/Prof Victor Fang, A/Prof Kok Fai Phoon, Mr Vincent Xiang

(2008), Vol. 10, pp. 42-52, Journal of wealth management, New York, N. Y., C1-1

journal

Macroeconomic news, business cycles and Australian financial markets

A/Prof Victor Fang, Prof Chien-Ting Lin, Kunaal M. Parboo

(2008), Vol. 15, pp. 185-207, Asian Pacific Financial Markets, New York, N. Y., C1-1

journal
2007

Volatility linkages and spillovers in stock and bond markets : some international evidence

A/Prof Victor Fang, Edward Lin, Vincent C S Lee

(2007), Vol. 7, pp. 1-10, Journal of international finance and economics, Turlock, Calif., C1-1

journal

An examination of Australian gold mining firms' exposure over the collapse of gold price in the late 1990s

A/Prof Victor Fang, Edward Lin, Warren Poon

(2007), Vol. 15, pp. 37-49, International journal of accounting and information management, West Yorks, U. K., C1-1

journal
2006

A survey of value-at-risk and its role in the banking industry

Jason Ball, A/Prof Victor Fang

(2006), Vol. 32, pp. 1-31, Journal of financial education, Philadelphia, Pa., C1-1

journal

Volatility transmissions between stock and bond markets : evidence from Japan and the U.S.

A/Prof Victor Fang, Yee-Choon Lim, Prof Chien-Ting Lin

(2006), Vol. 12, pp. 120-128, International journal of information technology, Singapore, Singapore, C1-1

journal
2005

Can the choice of interpolation method explain the difference between swap prices and futures prices?

Rob Brown, A/Prof Victor Fang

(2005), Vol. 45, pp. 199-216, Accounting and finance, Richmond, Vic., C1-1

journal

Volatility transmission between stock and bond markets : evidence from US and Australia

A/Prof Victor Fang, Vincent C S Lee, Lim Yee-Choon

(2005), Vol. 3578, pp. 580-587, Lecture notes in computer science, Heidelberg, Germany, C1-1

journal
2004

Credit risk of interest rate swaps : a comparative study of CIR and Monte Carlo simulation approach

A/Prof Victor Fang, Vincent C S Lee

(2004), Vol. 3177, pp. 780-787, Lecture notes in computer science, Berlin, Germany, C1-1

journal

Australian and US interest rate swap markets : comparison and linkages

Dr Francis In, A/Prof Victor Fang, Rob Brown

(2004), Vol. 44, pp. 45-56, Accounting and finance, Richmond, Vic., C1-1

journal

Using forward rate agreements to price and hedge interest rate swaps

Rob Brown, A/Prof Victor Fang

(2004), Vol. 17, pp. 71-76, Accounting research journal, London, England, C1-1

journal
2003

Testing the expectations hypothesis for interest rate term structure : some Australian evidence

A/Prof Victor Fang, Vincent C S Lee

(2003), Vol. 2669, pp. 189-198, Lecture notes in computer science, Berlin, Germany, C1-1

journal

An empirical analysis of the Australian dollar swap spreads

A/Prof Victor Fang, Ronny Muljono

(2003), Vol. 11, pp. 153-173, Pacific-basin finance journal, Amsterdam, The Netherlands, C1-1

journal

Links among interest rate swap markets : U.S., U.K. and Japan

Dr Francis In, Rob Brown, A/Prof Victor Fang

(2003), Vol. 13, pp. 84-95, Journal of fixed income, London, England, C1-1

journal

Modeling volatility and changes in the swap spread

Dr Francis In, Rob Brown, A/Prof Victor Fang

(2003), Vol. 12, pp. 545-561, International review of financial analysis, Amsterdam, The Netherlands, C1-1

journal
2002

Modeling the determinants of swap spreads

Rob Brown, Dr Francis In, A/Prof Victor Fang

(2002), Vol. 12, pp. 29-40, Journal of fixed income, London, England, C1-1

journal