Research Services Division

Deakin Research

Research Output for Michael Chng

Note: The 2012, 2013, 2014 publications have not been audited.

Jump to: Publications | Grants and Consultancies | HDR completions

Publications

2014 School of Accounting, Economics and Finance

Chng, Michael T. and Wang, Peipei (2014) Rating downgrade and the price impact of CDS spread on stock return, Review of futures markets, vol. 21, no. 3, pp. 283-323, Kent State University, Chicago, IL [C1]
ERA journal ID: Not matching ERA journal list
DRO entry for this publication

2013 School of Accounting, Economics and Finance

Chng, Michael and Gannon, Gerard (2013) The trading performance of dynamic hedging models : time varying covariance and volatility transmission effects, in Lee, Cheng-Few and Lee, Alice C. (eds), Encyclopedia of finance, pp. 713-726, Springer, New York, N. Y. [B1]
DRO entry for this publication

Xiang, Vincent, Chng, Michael and Fang, Victor (2013) Transmigration across price discovery categories : evidence from the U.S. CDS and equity markets, Journal of futures markets, vol. 33, no. 6, pp. 573-599, Wiley, Malden, Mass. [C1]
ERA journal ID: 19575 – Scopus EID: 2-s2.0-84875541249
DRO entry for this publication

2012 School of Accounting, Economics and Finance

Chng, Michael T. and Foster, Grant* (2012) The implied convenience yield of precious metals : safe haven versus industrial usage, Review of futures markets, vol. 20, no. 4, pp. 349-394, Institute for Financial Markets, Washington, D. C. [C1]
ERA journal ID: Not matching ERA journal list
DRO entry for this publication

2010 School of Accounting, Economics and Finance

Chng, Michael T. (2010) Comparing different economic linkages among commodity futures, Journal of business finance & accounting, vol. 37, no. 9-10, pp. 1348-1389, Blackwell Publishing, Oxford, England [C1]
ERA journal ID: 19531 – Scopus EID: 2-s2.0-78650435098
Citation counts: Scopus - 1
DRO entry for this publication

2009 School of Accounting, Economics and Finance

Chng, Michael (2009) There is something about pairs trading, Corporate finance review, vol. 13, no. 5, pp. 27-35, W G & L Financial Reporting & Management Research, New York, N.Y. [C1]
ERA journal ID: 19538 – Scopus EID: Not tagged
DRO entry for this publication

Chng, Michael (2009) Economic linkages across commodity futures : hedging and trading implications, Journal of banking and finance, vol. 33, no. 5, pp. 958-970, Elsevier B.V., Amsterdam, The Netherlands [C1]
ERA journal ID: 19530 – Scopus EID: 2-s2.0-60749089620
Citation counts: Scopus - 13, Thomson - 13
DRO entry for this publication

Chng, Michael T. (2009) Common industry exposure in seemingly unrelated commodities, Review of futures markets, vol. 18, no. 1, pp. 7-38, Kent State University, Kent, Ohio [C1]
ERA journal ID: 35606 – Scopus EID: Not tagged
DRO entry for this publication

2005 External

Chng, Michael T.* (2005) Measuring the summary informativeness of orders and trades, Review of futures markets, vol. 14, no. 2, pp. 245-281, Kent State University, Kent, Ohio [C1.1]
ERA journal ID: 35606 – Scopus EID: Not tagged
DRO entry for this publication

Chng, Michael T.* (2005) Floor trading and screen trading : distinctions for practitioners, Corporate finance review, vol. 9, no. 6, pp. 5-18, W G & L Financial Reporting & Management Research, New York, N.Y. [C1.1]
ERA journal ID: 19538 – Scopus EID: Not tagged
DRO entry for this publication

2004 External

Chng, Michael T.* (2004) A model of price discovery and market design : theory and empirical evidence, Journal of futures markets, vol. 24, no. 12, pp. 1107-1146, John Wiley & Sons, Hoboken, N.J. [C1.1]
ERA journal ID: 19575 – Scopus EID: Not tagged
Citation counts: Scopus - 3, Thomson - 5
DRO entry for this publication

Chng, Michael T.* (2004) The trading dynamics of close-substitute futures markets : evidence of margin policy spillover effects, Journal of multinational financial management, vol. 14, no. 4-5, pp. 463-483, Elservier B.V., Amsterdam, Netherlands [C1.1]
ERA journal ID: 19580 – Scopus EID: 2-s2.0-4043113689
Citation counts: Scopus - 3
DRO entry for this publication

2003 External

Chng, Michael* and Gannon, Gerard (2003) Contemporaneous intra-day volume, option, and futures volatility transmissions across parallel markets, International review of financial analysis, vol. 12, no. 1, pp. 49-68, Elsevier Science Ltd, New York, N.Y. [C1.1]
ERA journal ID: 19556 – Scopus EID: 2-s2.0-0037240135
Citation counts: Scopus - 3
DRO entry for this publication

Grants and Consultancies

All years

Research Income - Industry and Other Funding

Xiang, Y and Chng, M. Credit risk information dynamics and capital structure arbitrage: Evidence from the U.S. CDS and equity markets [V]

  • 2013: $3,818

Chng, M, Liu, Q* and Xiang, Y. Commodity Hedging with Stochastic Volatility Models [V]

  • 2013: $5,455

Chng, M*. Quantifying the strategic value of socially responsible investing [V]

  • 2012: $0

Higher Degree by Research Completions supervised by Michael Chng

No completions found or audited.

Legend:
* Not a member of Deakin University at time of output.

DRO to publications collection last synchronised: Monday 1st September 2014 10:04pm

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23rd July 2011