Gerard Gannon

Present Position:
Professor in Finance

Phone: +61 3 9244 6243
Fax: +61 3 9244 6283
Email: gerard@deakin.edu.au

Campus:
Deakin University
221 Burwood Hwy
Burwood Vic 3125
Australia

Academic Qualifications:
BEc, MEc, PhD Monash, DipEd Melbourne

Commenced at Deakin: 2004

Research Interests:

Finance Theory
Derivative Assets
Market Micro-structure
Quantitative Finance

Teaching areas:

Finance Theory
Quantitative Finance/Financial Econometrics
Market Micro Structure
International Finance
Derivative Securities

Professional Association/Membership:

Asian Finance Association/FMA
Chinese Finance Association
European Financial Management Association
Multinational Finance Association

Previous Employment:

Senior Lecturer Finance, The University of Melbourne

Research and publications:

Articles

"Structural Effects and Spillovers in HSIF, HSI and S&P500 Volatility", with Siu Pang Au-Yeung, in Research in International Business and Finance, Vol 18, (in press).
"Contemporaneous Intra-day Volume, Option and Futures Volatility Transmission across Parallel Markets", with Tuan Shew Chng, International Review of Financial Analysis, Vol 12, No 1, 49-68, 2003.
"Regulatory Change and Structural Effects in HSIF and HSI Volatility", with Siu Pang Au-Yeung, 13th Annual Asia Pacific Futures Research Symposium Proceedings: CBOT Electronic Proceedings, February 2003.
" 'Information Effect' of Economic News: SPI Index Futures", with Oon Geok Tan, International Review of Financial Analysis, Vol 11, No 4, 467-89, 2002.
"Share Price Index Futures Automated Trading Systems: Market Micro Structure Effects" with Chi-Ying Chang, 12th Annual Asia Pacific Futures Research Symposium Proceedings: CBOT Electronic Proceedings, December 2001.
"The Index Futures markets: Is Screen Trading More Efficient ? L. Copeland and S. A Jones, Cardiff Business School, and Kin Lam, Hong Kong Baptist University. Commentary G. L. Gannon, The University of Melbourne, 12th Annual Asia Pacific Futures Research Symposium Proceedings: CBOT Electronic Proceedings, December 2001.
"Risk Minimization and Trading Performance of Dynamic Hedging Models: Volatility Transmissions and Time Varying Co-variance", with Tuan Shew-Chng, Electronic publication at SSRN/FEN: European Financial Management Association 2001, Lugano, Ed J. Doukas, June 2001. .
"Stochastic Volatility Structures and Intra-day Asset Price Dynamics: Stock Price, Index and Futures Price Processes", Electronic publication at SSRN/FEN: Capital Markets Assets: Market Efficiency, Vol 4, Ed G. William Schwert and Econometrics working papers, June 2001.
"Dynamic Hedging in the Presence of Volatility Transmission and Time Varying Basis Risk", with Tuan Shew Chng, Chicago Board Of Trade Futures Research Symposium Proceedings, 27-60 and CBOT electronic proceedings, February 2000.
"Risk and Return Performance of Dynamic Hedging Models in International Markets", with Wen Yee Lee and S.C. Yeh, Asia Pacific Journal of Finance, Vol 3, No 2, 125-48, 2000.
"Comparing Trading Performance of the Constant and Dynamic Hedge Models: A Note", with S.C. Yeh, Review of Quantitative Finance and Accounting, Vol 14, No 2, 155-160, 2000.
"Stochastic Volatility Structures and Intra-day Asset Price Dynamics", International Congress on Modelling and Simulation MODSIM99 Proceedings, Vol 2, 417-422, December 1999.
"Simultaneous Volatility Transmissions and Spillover Effects: Derivatives to Underlying Assets and United States to Asia Pacific", Les 16emes Journees. Internationales de l'Association Francaise de Finance, (electronic), June 1999.
"Structural Models: Intra/Inter-day Volatility Transmission and Spillover Persistence of the HSI, HSIF and S&P 500 Futures", with D.F.S. Choi, International Review of Financial Analysis, Vol 7, No 1, 19-36, 1998.
"The Evaluation of Volatility Forecasts in an Economic Value Framework", with Adam Elder, International Review of Financial Analysis, Vol 7, No 3, 221-236, 1998.
"Modelling Volatility in the Malaysian Stock Market", with Kar Mei Tang,
Asia Pacific Journal of Finance, Vol 1, No 2, 155-190, 1998.
"Unconditional First and Conditional Second Moment Effects: Index Portfolios and Index Futures", Research in Finance, Supplement 2, 143-157, 1996.
"First and Second Order Inefficiency in Australasian Currency Markets", Pacific Basin Finance Journal, Vol 4, No 2-3, 315-327, 1996.
"Volatility Spillovers: Australasian Futures and Simulated Options Markets", Applied Finance and Investments, Vol 1, No 3, 58-65, 1996.
"Volatility Spillovers: Australasian Futures and Simulated Options Markets", First Annual AAM Conference Proceedings, 535-544, 1995.
"Volatility Persistence and Contemporaneous Effects", with L. Weatherill, Chicago Board Of Trade Futures Research Symposium Proceedings, 1-41, Winter 1995.
"Simultaneous Volatility Effects in Index Futures", Review of Futures Markets, Vol 13, No 4, 1027-1066, 1994.

Conference presentations

"Structural Effects and Spillovers in HSIF, HSI and S&P500 Volatility", with Siu Pang Au-Yeung, 13th Annual Asia Pacific Futures Research Symposium, Hong Kongi, February 2004. *
"Regulatory Change and Structural Effects in HSIF and HSI Volatility", with Siu Pang Au-Yeung, 13th Annual Asia Pacific Futures Research Symposium, Shanghai, February 2003. *
"Regulatory Change and Structural Effects in Hang Seng Index Futures and the Underlying Cash Market", with Siu Pang Au-Yeung, 2002 EFMA meeting, London, June 2002. .
"Regulatory Change: Structural Effects on Transmissions and Spillovers in HSIF, HSI and S&P500 Volatility", with Siu Pang Au-Yeung, 2002 joint PACAP/APFA/FMA meeting, Tokyo, July 2002.
"Share Price Index Futures Automated Trading Systems: Market Micro Structure Effects" with C-Y Chang, . Eleventh Annual Asia Pacific Futures Research Symposium held by the Chicago Board of Trade, forthcoming, Bangkok, December 2001. *
"Risk Minimization and Trading Performance of Dynamic Hedging Models: Volatility Transmissions and Time Varying Co-variance", European Financial Management Association, Lugano, June 2001.
"Risk Minimization and Trading Performance of Dynamic Hedging Models: Volatility Transmissions and Time Varying Co-variance", Multinational Finance Association, Lake Garda, June 2001.
"Stochastic Volatility Structures and Intra-day Asset Price Dynamics: Stock Price, Index and Futures Price Processes", European Financial Management Association, Athens, June/July 2000.
"Dynamic Hedging in the Presence of Volatility Transmission and Time Varying Basis Risk", with Tuan Shew Chng, Eighth Conference on Pacific Basin Business, Economics and Finance, Bangkok, June 2000.
"Simultaneous Volatility Transmissions and Spillover Effects: Derivatives to Underlying Assets and United States to Hong Kong", Eighth Conference on Pacific Basin Business, Economics and Finance, Bangkok, June 2000.
"Dynamic Hedging in the Presence of Volatility Transmission and Time Varying Basis Risk", with Tuan Shew Chng, Tenth Annual Asia Pacific Futures Research Symposium held by the Chicago Board of Trade, Hong Kong, February 2000. *
"Stochastic Volatility Structures and Intra-day Asset Price Dynamics", International Congress on Modelling and Simulation, University of Waikato, New Zealand, December 1999.
" 'Information Effect' of Economic News: SPI Index Futures", with Oon Geok Tan, Eleventh Annual PACAP/FMA Finance Conference, Singapore, July 1999.
"Dynamic Hedging in the Presence of Volatility Transmission and Time varying Basis Risk", with Tuan Shew Chng, Eleventh Annual PACAP/FMA Finance Conference, Singapore, July 1999.
"Simultaneous Volatility Transmissions and Spillover Effects: Derivatives to Underlying Assets and United States to Asia Pacific", 16th annual AFFI Meeting, Aix-en-Provence, June 1999.
" 'Information Effect' of Economic News: SPI Index Futures", with Oon Geok Tan, Eastern Finance Association Meeting, Miami Beach, Florida, April 1999.
"Contemporaneous Intra-day Volume, Option and Futures Volatility Transmission across Parallel Markets", with Tuan Shew Chng, Eastern Finance Association Meeting, Miami Beach, Florida, April 1999.
"Simultaneous Volatility Transmission Effects within the Australian and Hong Kong Futures Markets and Volatility Spillovers from the U.S. Futures Markets", Tenth annual PACAP/FMA Finance Conference, Kuala Lumpur, October 1998.
Dynamic and Cross Hedging in the Australian, Japanese Singaporean and U.S. Equity and Futures Markets", with Wen Yee Lee and Sally Yeh, First Joint annual NIPPON/APFA Finance Association meeting, Tokyo, July 1998.
"Simultaneous Volatility Transmissions and Spillover Effects", Eastern Finance Association Meeting, Williamsburg Virginia, April 1998.
"The Evaluation of Volatility Forecasts in an Economic Value Framework", with A. Elder, Ninth Annual Asia Pacific Futures Research Symposium held by the Chicago Board of Trade, Sydney, February 1998.
"Modeling Volatility in the Malaysian Stock Market", with Kar Mei Tang, Ninth Annual PACAP Finance Conference, Shanghai, August 1997.
"Structural Models: Intra/Inter-day Volatility Transmission and Spillover Persistence of the HSI, HSIF and S&P 500 Futures", with D.F.S. Choi, Ninth Annual PACAP Finance Conference, Shanghai, August 1997.
"Modeling Volatility in the Malaysian Stock Market", with Kar Mei Tang, Fourth Annual Asia Pacific Finance Association Conference, Kuala Lumpur, July 1997.
"Comparison of the Constant and Dynamic Hedge Models with the Presence of Transactions Costs in the Futures Market", with S.C. Yeh, Fifth Conference on Pacific Basin Business, Economics and Finance, Singapore, July 1997.
"Stochastic Volatility Structures and Intra-day Asset Price Dynamics", Ninth Annual Australasian Finance and Banking Conference, Sydney, December 1996.
"Conditional Second Moment Effects Intra-day Evidence: Australian Index Futures and Stock Price Processes", AFPA/PACAP and CFA Annual Meeting, Taipei, July 1996.
"Volatility Spillovers: Australasian Futures and Simulated Options Markets", First Annual Asian Academy of Management Conference, Penang, December 1995.
"First and Second Order Inefficiency in Australasian Currency Markets", Seventh Annual PACAP Finance Conference, Manila, July 1995. ^
"Unconditional First and Conditional Second Moment Effects: Index Portfolios and Index Futures", Second Annual Asia Pacific Finance Association Conference, Hong Kong, July 1995.
"Volatility Persistence and Contemporaneous Effects", with L. Weatherill, Sixth Annual Asia Pacific Futures Research Symposium held by the Chicago Board of Trade, Hong Kong, March 1995. *
"Pooling Volatility Forecasts from Alternative Estimators", Seventh Annual Australasian Finance and Banking Conference, Sydney, December, 1994.
"Volatility Transmissions and Spillover Effects: Currency Futures and Equity Index Futures", First Annual Asia Pacific Finance Conference, Sydney, September 1994.
"The Term Structure of Volatility and Contemporaneous Effects", with L. Weatherill, 1994 Australasian Meeting of the Econometric Society, Armidale, July 1994.
"Simultaneous Volatility Effects in Index Futures", Fifth Annual Asia Pacific Futures Research Symposium held by the Chicago Board of Trade, Taipei, Taiwan, March 1994.
"Comparing Systems of Engel Curves via Power Transformations", Twenty First Conference of Economists, Melbourne, July 1992.
"Models of Simultaneous Volatility", 1992 Australasian Meeting of the Econometric Society, Melbourne, July 1992.

Funded and selected paper award for conference presentation by the Chicago Board of Trade (CBOT).

Funded and selected paper award for conference presentation by the Asian Development Bank.

Research grants:

1. HKBU FRG/96-97/II-42
Title of Project:
"Simultaneous Intra-day Transmissions, Spillover, Volume and Information Effects: The Hong Kong Stock, Futures and Currency Exchange Markets"
Total Allocation: HKD$ 62,212

2. 1997 University of Melbourne FRG
Title of Project:
"Portfolio Analysis and Dynamic Hedging for Australian Equities, U.S. Equities and Dually Listed Equities on the Australian Stock Exchange (ASX) and New York Stock Exchange (NYSE)".
Total Allocation: AUD$ 9,000

3. Australian Research Council small grants scheme 1998.
1998 University of Melbourne FRG
Title of Project:
"Portfolio Modeling and Dynamic Hedging in Asia Pacific Markets".
Total allocation: AUD$15,500