1

POLITICS, STOCK MARKETS AND THE ECONOMY

UNIVERSITY OF SOUTH AUSTRALIA 2018 CONFERENCE PROGRAM

2

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

3

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.

4

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.

5

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

6

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

7

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

8

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

9

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

10

City and Campus Maps

11

12

Sponsors