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POLITICS, STOCK MARKETS AND THE ECONOMY
UNIVERSITY OF SOUTH AUSTRALIA 2018 CONFERENCE PROGRAM
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Welcome
On behalf of the School of Commerce and the
Centre for Applied Finance and Economics, I have
great pleasure in welcoming you to the beautiful
city of Adelaide, South Australia. The conference
theme is Politics, Stock Markets and the Economy.
Political factors are of great importance, not only
to governments and policy makers, but also to investors in an
increasingly interconnected world. Political and policy shocks are
major drivers of global stock, bond and other financial market
volatility. Within the broad theme of “Politics, stock markets, and the
economy”, this symposium will include research papers on aspects
such as asset pricing, corporate finance, market microstructure,
capital markets, macroeconomic effects, international finance and
behavioural finance. We have put together a very interesting program
from some of the best academics – both in Australia and from
overseas. Another highlight of the program is an industry panel that
will deliberate on current challenges facing the finance industry. We
all look forward to two days of stimulating and thought-provoking
discussions. I want to thank all of you for supporting the conference
with your excellent presentations and discussions. I wish you all the
very best in enjoying the conference sessions and hope that you are
able to take some time out to enjoy the sights here in Adelaide.
Chandra Krishnamurti
Conference Convener
Professor of Finance, School of Commerce, University of South
Australia
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Centre for Applied Finance and Economics (CAFE)
The Centre for Applied Finance and Economics provides the structure
and focus for multi-disciplinary research looking at the dynamics of
the global economy. This ranges from analysis of market function
and efficiency and the relationship between foreign investment and
innovation, to monetary policy, exchange rates, economic and
financial integration and banking reform.
Our researchers also are at the forefront of emerging social issues
with implications for the broader economy, such as the rising cost of
health care, how to adjust to an ageing society, the need for greater
financial inclusion and financial literacy, and workplace diversity and
reform. The focus is always on identifying trends and finding
solutions to problems.
The Centre brings together economists, accountants and finance
specialists from a range of backgrounds. There is a strong overlap
with the work of the Centre for Sustainability Governance,
particularly in areas such as corporate social responsibility and
climate change, as well as with UniSA’s Australian Centre for Asian
Business. The Centre also is affiliated with the national Capital
Markets CRC.
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Key Note Speaker
Professor Tarun Chordia received his PhD in
finance from the Anderson School, UCLA, in
1993. Prior to his doctoral studies, he worked
for Citibank as a relationship and credit
manager in the Financial Institutions Group. He
was an Assistant Professor of Finance at the
Owen Graduate School of Management,
Vanderbilt University from 1993 to 2000. He
joined the Goizueta Business School at Emory
University in 2000.
Professor Chordia's research is grounded in both theory and
empirical methods, and spans a diverse area of financial economics.
He has received numerous awards for his research on empirical asset
pricing and market microstructure. Professor Chordia has published
extensively in the top finance journals, including Journal of Finance,
Journal of Financial Economics, Journal of Financial and Quantitative
Analysis and the Review of Financial Studies. He is currently the
managing editor of the Journal of Financial Markets and a past
associate editor of Review of Financial Studies. He has been on the
program committee for the American Finance Association meetings,
European Finance Association meetings, FIRS Conference, Finance
Down Under Conference, NBER Market Microstructure group, Stern
Microstructure Conference, the Utah Winter Finance Conference and
the Western Finance Association meetings, and is a referee for
numerous journals.
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Overview of Schedule
Day 1, Tuesday 4 December 2018 Conference Venue
9:00 Registration and Coffee The conference will take place
in the Hawke Building, UniSA City West campus, 55 North Terrace, Adelaide, South Australia, in room H6-12 (6th floor). Please note that The Hawke Building is a no smoking venue.
9:30 Welcome 10:00 Session 1 11:30 Morning tea 11:40 Keynote – Tarun Chordia 12:40 Lunch 1:40 Session 2 3.10 Afternoon tea 3.20 Session 3 6.30 Dinner at Rigoni’s Bistro Dinner Day 2, Wednesday 5 December 2018 Drinks and dinner will
commence at 6.30pm at Rigoni’s Bistro, 27 Leigh Street, Adelaide. The restaurant is a ten minute walk from the conference venue. Alternatively, you can take the tram one stop east along North Terrace. The restaurant is about two minutes’ walk from the tram stop. Please refer to the City and Campus Maps on page 10 of this program for more information.
8.30 Morning coffee 9.00 Session 4 10.30 Morning tea 10.40 Industry panel 12.00 Lunch 1.00 Session 5 2.30 Afternoon tea 2.40 Session 6 4.00 Session 7 5.30 Drinks Reception
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Program
Day One – Tuesday 4 December 2018 Location: H6-12 (Hawke Building, Level 6)
9.00am Registration & Opening
9.30am Welcome to Country
Patricia Agius
9.40am Conference Opening
Prof. Lin Crase Head of School, UniSA School of Commerce
9.50am Welcome
Prof. Chandra Krishnamurti Professor of Finance, UniSA School of Commerce
Session 1 Chair: Ron McIver, UniSA 10.00 – 11.30am
Geopolitics and international bank flows
Authors: Phong Ngo, ANU; Kun Li, ANU Discussant: Hao Zhou
Income Tax Shocks, Political Cycles and Asset Prices
Author: Ruchith Dissanayake Discussant: Reza Bradrania
Policy Uncertainty and Stock Liquidity
Authors: My Nguyen, RMIT; Huu Nhan Duong, Monash University; Chandra Krishnamurti, UniSA; Justin Hung Nguyen, Victoria University of Wellington; S. Ghon Rhee, University of Hawaii Discussant: Takeshi Yamada
11.30am Morning Tea Foyer
Keynote Speaker 11.40am – 12.40pm
Anomalies and Multiple Hypothesis Testing: Evidence from over Two Million Trading Strategies
Tarun Chordia, Editor of Journal of Financial Markets
12.40 Lunch Foyer
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Day One (cont.) – Tuesday 4 December 2018 Location: H6-12 (Hawke Building, Level 6)
Session 2 Chair: Takeshi Yamada, ANU 1.40 – 3.10pm How do the Media Influence
Regulatory Decisions? Evidence from the Initial Public Offering Approval Decision in China
Authors: Gary Gang Tian, Macquarie University; Zhi Jin, South Western University of Finance & Economics, China; Yanling Wu, Macquarie University Discussant: Adrian Cheung
Government Spending Shocks and Firm Innovation
Authors: Sean Wu, QUT; Ruchith Dissanayake, QUT; Huizhong Zhang, QUT Discussant: Gary Tian
The BOJ Large-scale Purchases of Index ETFs: Float Reduction and its Impact on Market Frictions
Authors: Takeshi Yamada, ANU; Zhuo Chen, UNSW; Keiichi Ito, SMBC Nikko Securities; Bohui Zhang, CUHK-Shenzhen Discussant: Tarun Chordia
3.10pm Afternoon Tea Foyer
Session 3 Chair: Gary Tian, Macquarie University 3.20 – 5.20pm Do customers' government
subsidies have spillover effects on the innovation of their suppliers? Evidence from China
Authors: David Xiang, Edith Cowan University; Yong Wang, China University of Petroleum (East China); Adrian Cheung, Flinders University; Wenjuan Ruan, Murdoch University Discussant: Chandra Krishnamurti
The Role of Tax Evasion, Liquidity Preference and Borrower Sophistication in Strategic Default
Authors: Nikolas Artavanis, University of Massachussetts Amherst; Ioannic Spyridopoulos, American University Discussant: Ron McIver
Do Superstitions Bias Trading Behaviour?
Author: Toro Chen, University of Macau Discussant: My Nguyen
Trading in the Options Market around CEO Turnovers
Author: Bala Balachandran, La Trobe University Discussant: Chris Veld
6.30pm Dinner Rigoni’s Bistro
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Day Two – Wednesday 5 December 2018 Location: H6-12 (Hawke Building, Level 6)
8.30am Morning coffee Foyer
Session 4 Chair: Adrian Cheung, Flinders University 9.00 – 10.30am Institutional Investors' Holdings
and Corporate Environmental Information Disclosure in an Emerging Market
Authors: Hanqiao Li, University of the South Pacific, Fiji; Qiang Li & Ruotong Li, China University of Mining and Technology, Xuzhou Discussant: Harminder Singh
The political consequences of financial development: Evidence from the opening of African stock exchanges
Authors: José Albuquerque de Sousa, Norwegian School of Economics; Mathijs A. van Dijk, Erasmus University Discussant: Raj Banerjee
Liquidity Effects on Prices and Returns Co-movement and Co-integration in Commodity Futures Markets
Authors: Yongmin Zhang, Ningbo University, China; Shusheng Ding, University of Nottingham (Ningbo) Discussant: Van Vu
10.30am Morning Tea Foyer
Industry Panel 10.40am – 12.00pm
Thadeus McCrindle, Geoff Pacecca, Mark Bastiaans
12.00 Lunch Foyer
Session 5 Chair: Panagiotis Politsidis, University of Surrey, UK 1.00 – 2.30pm Receiving next month's news:
Information Spillover through Collateralized Loan Obligations
Authors: Chris Veld, Monash University; Abe de Jong, Erasmus University Rotterdam; Tim Kooijmans, Monash University Discussant: Huu Duong
Commonality in Liquidity and Demand-Side Explanations: Evidence from the U.S. Corporate Bond Market
Authors: Qiuyang Chen, ANU; Huu Nhan Duong, Monash University Discussant: Nathan Dong
Contagion during the euro debt crisis: evidence from the sovereign bond and CDS markets
Authors: Panagiotis Politsidis, University of Surrey, UK; Georgios Bampinas & Theodore Panagiotidis, University of Macedonia Discussant: Thanh Le
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Day Two (cont.) – Wednesday 5 December 2018 Location: H6-12 (Hawke Building, Level 6)
2.30pm Afternoon Tea Foyer
Session 6 Chair: Chris Veld, Monash University 2.40 – 4.00pm Transparency in the Equity Market
from a Historical Perspective: Quasi-Natural Experiment Evidence
Authors: G. Nathan Dong, Columbia University; Wan-Jiun Paul Chiou, Northeastern University; Alejandro Serrano, Pennsylvania State University - Abington Discussant: Hanqiao Li
Bond Liquidity and the Cost of Borrowing
Authors: Van Vu, University of Newcastle; Harminder Singh, Deakin University; Huu Nhan Duong, Monash University Discussant: Simon Cottrell
Understanding High Frequency Trading: Role of News Readability
Author: Van Dang, UniSA Discussant: Qiuyang Chen
Session 7 Chair: José Albuquerque de Sousa, Norwegian School of Economics
4.00 – 5.00pm Informal Short-term Borrowings and Small and Medium Enterprises' Performance in a Credit Crunch: Evidence from Vietnam
Authors: Thanh Le, Flinders University; Thang Bach, National Economics University, Vietnam & Flinders University; Yen Bui, Flinders University Discussant: Lei Xu
Pricing Regime-Switching Risk in an HJM Interest Rate Environment
Author: Robert Elliott Discussant: José Albuquerque de Sousa
5.30 – 7.30 pm Drinks Reception Foyer
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City and Campus Maps
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Sponsors