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School of Accounting, Economics and Finance
Faculty of Business and Law
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Gerrard Gannon

Professor Gerard Gannon

Professor in Finance

BEc, MEc, PhD Monash, DipEd Melb

Tel: +61 3 9244 6243

Email: gerard.gannon@deakin.edu.au
Office location: Melbourne Campus at Burwood
Commenced at Deakin: 2004
Teaching Interests/
units taught at Deakin		 Research Methods (B.Comm-Hons)
Advanced Derivative Securities
Research interests Finance Theory
Market Micro-structure in Equity and Derivative Markets
Portfolio Analysis and Dynamic Hedging
Quantitative Finance
Link to Research Output
Publication Highlights
  • ^"Regulatory Change and Structural Effects in HSIF and HSI Volatility", with Siu Pang Au-Yeung, Review of Futures Markets, Vol 14, Number 2, 283-308, 2005.
  • "Simultaneous Volatility Transmissions and Spillover Effects: U.S. and Hong Kong Stock and Futures Markets", International Review of Financial Analysis, 14, 326-336, 2005.
  • "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.
  • *"First and Second Order Inefficiency in Australasian Currency Markets", Pacific Basin Finance Journal, Vol 4, No 2-3, 315-327, 1996.
  • ^"Simultaneous Volatility Effects in Index Futures", Review of Futures Markets, Vol 13, No 4, 1027-1066, 1994.
^ Chicago Board of Trade Educational Research Foundation Selected Paper Award.
* Asian Development Bank Selected Paper Award
Professional Affiliations
  • Asian Finance Association/FMA
  • Chinese Finance Association
  • European Financial Management Association
  • Multinational Finance Association
Current Research Projects
  • Using multivariate GARCH and computing hedge ratios for competing static and dynamic models.
  • Simultaneous volatility models (SVL) of the volatility/volume and lead/lag volatility effects and trader type behaviour. Using intra-day S&P500 futures trade type data as well as underlying 10 Year Bond futures data - 1994 to 2006.
  • Trading performance comparison of out of sample MGARCH and SVL dynamic one-step ahead hedge ratio forecasting models.
With Prasad Bhattacharya, Charles Corrado (Deakin University), Michael Chng (Melbourne University and Bob Webb (University of Virginia).