Staff profile - Michael Chng
Aprof Michael Chng
|Faculty or Division:||Faculty of Business & Law|
|Department:||Department of Finance|
|Campus:||Melbourne Burwood Campus|
|Phone:||+61 3 92446537 +61 3 92446537|
- GCHE Exempt, Deakin University, 2009
- Doctor of Philosophy, University of Melbourne, 2003
Subjects and units currently teaching
MAF430/762/902 Advanced Derivative Securities
MAF702 Applied Corporate Finance
Price Discovery, Hedge fund strategies, CDS markets, Commodity markets
Chng, M., Wang, P., 2013. Ratings downgrade and the price impact of CDS spreads on stock returns, Review of Futures Markets, Forthcoming.
Chng, M., Doan, M., Lin, C.T., 2013. Beta asymmetry and higher moments: Evidence from Australia. Accounting and Finance, In-Press.
Chng, M., Fang, V., Xiang, V., 2013. Credit risk information flow between CDS and equity markets. Journal of Futures Markets Jun 33, 573-599.
Chng, M., Foster, G., 2012. The implied convenience yield of precious metals: Safe haven vs industrial usage. Review of Futures Markets 20, 349-394.
Chng, M., 2010. Comparing different economic linkages among commodity futures. Journal of Business Finance and Accounting 37, 1348-1389.
Chng, M., 2009a. Economic linkages across commodities futures: Hedging and trading implications. Journal of Banking and Finance 33, 958-970.
Chng, M., 2004a. The trading dynamics of close-substitute futures markets: Evidence of margin policy spillover effects. Journal of Multinational Financial Management 14, 463-483.
Chng, M., 2004b. Price discovery and market design: Theory and empirical evidence. Journal of Futures Markets 24, 1107-1146.