Sch of Economics & Finance

Research and Scholarship 2005

SCHOOL OF ECONOMICS & FINANCE



Researcher : Bai C
Project Title:The system of incentives for managers with multitasks: theory and evidence from Chinese state-owned enterprises
Investigator(s):Bai C, Xu C.L.X.
Department:Economics and Finance, School of
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:01/2003
Abstract:
To contribute to the general economic literature on incentive issues in firms rather than policies about firms in China.


Project Title:Franchising as a nexus of incentive devices for production involving a brand name
Investigator(s):Bai C
Department:Economics and Finance, School of
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:09/2003
Abstract:
To provide a unified theoretical framework to understand various incentive devices in franchising, including dual distribution, minimum quality standards, asset specificity, mandatory advertising expenditures, and area development plans.


Project Title:Franchising as a nexus of incentive devices for production involving a brand name
Investigator(s):Bai C
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2003
Abstract:
To provide a unified theoretical framework to understand various incentive devices in franchising, including dual distribution, minimum quality standards, asset specificity, mandatory advertising expenditures, and area development plans.


List of Research Outputs

Bai C., Liu Q., Lu J.Z., Song F.M. and Zhang J.J., An empirical analysis of corporate governance in China, 中国上市公司治理结构的实证研究, Journal of Economic Research. 经济研究, 2005, 2: 81-91.
Bai C., Liu Q., Lu J.Z., Song F.M. and Zhang J.J., Corporate governance and market valuation in China, Journal of Comparative Economics. 2004, 32(4): 599-616.
Bai C., Lu J. and Tao Z., 投资环境对外资企业效益的影响：来自企业层面的证据, Journal of Economic Research. 经济研究, 2004, 9: 82-89.
Bai C., Du Y.J., Tao Z. and Tong S.Y., Local protectionism and regional specialization: evidence from China's industries, Journal of International Economics. Netherlands, Elsevier Science BV, 2004, 63(2): 397-417.
Bai C., Tao Z. and Wu C.Q., Revenue sharing and control rights in team production: theories and evidence from joint ventures, Rand Journal of Economics. USA, Rand, 2004, 35(2): 277-305.
Bai C., Lu J. and Tao Z., 投资环境对外资企业效益的影响：来自企业层面的证据, 企业管理研究, 人民大学, 2005, 1.
Bai C., Lu J. and Tao Z., 中国私营企业银行贷款的经验研究, 经济学（季刊）, 2005, 3: 605-622.


Researcher : Carverhill AP
Project Title:Non-parametric modelling of the term structure of interest rates, using Eurodollar futures
Investigator(s):Carverhill AP
Department:Business, School of
Source(s) of Funding:Seed Funding for New Staff
Start Date:08/2002
Abstract:
To model the Term Structure of Interest Rates, that is the ways in which interest rates of various maturities move, and the equilibrium relationships between then, taking as data the Eurodollar futures prices, and using a non-parametric modelling approach.


List of Research Outputs

Kung J. and Carverhill A.P., A Co-integration Study of the Efficiency of the US Treasury STRIPs Market, Applied Economics. Coventry, United Kingdom, Routledge, 2005, 37 No. 6: 695-703.


Researcher : Chan AWH
Project Title:Information contents of the end-of-day effect
Investigator(s):Chan AWH, Chen N.F.
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2002
Abstract:
Many studies find that stock prices systematically increase just before the end of trading day. This phenomenon, end-of-day effect, exists in many different exchanges of different countries; it does not depend on any particular trading system. This project is to empirically study this end-of-day effect.


List of Research Outputs

Chan A.W.H., Information Contents of the End-of-Day Effect, International Journal of Business and Economics GCBE Conference 2004.
Chan A.W.H., Trading at Ask Price and the End-of-Day Effect: The Case of Stock Exchange of Hong Kong, 2004 Academy Of International Business Southeast Asia Regional Conference. 2004.
Chan A.W.H., Undergraduate Teaching Awards 2003-04 from the Faculty of Business and Economics, HKU, 2004.


Researcher : Chan W
Project Title:Investing in reputation: strategic choices in career-building
Investigator(s):Chan W, Suen WC
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:08/2002
Abstract:
In most economics literature, the match between workers and careers is not random bu involves selection. Yet, most economists tend to treat a career as a static concept, ignoring the fact that pursuing a successful career involves strategic decisions at different stages. This project attempts to explore the dynamics of a career path.





Researcher : Cheung HTT
List of Research Outputs

Cheung H.T.T., Barrier to equality: corruption between government and monopoly, International Business Research Conference. Melbourne, Australia, World Business Institute, 2004, 15.


Researcher : Ching STF
List of Research Outputs

Ching S.T.F., A Constitutional Basis for Using a Timetable to Implement Dual Universal Suffrage, HKCER Letters. Hong Kong, 2004, 80: 1-5.
Ching S.T.F., An Alternative to Abolishing Estate Duty, Asia-Pacific Journal of Taxation. 2004, 8(3): 74-80.
Ching S.T.F., Maximal and Supremal Domains for Strategy-Proofness, The Seventh International Meeting of The Society for Social Choice and Welfare. 2004.
Ching S.T.F., Population Monotonicity and Proportional Representation, The Asian Decentralization Conference 2005.


Researcher : Chiu SYW
Project Title:Defending a fixed exchange rate regime through commitment strengthening
Investigator(s):Chiu SYW, Chan K.S.
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2002
Abstract:
To study the government's choice to strengthen its commitment to its currency peg; to evaluate the proposals of Hong Kong dollar put option or structured notes, which were made by Chan and Chen (1999) and Miller (1998) when Hong Kong was under attack in 1997-98.


Project Title:Posted price clauses in auctions: theory and evidence
Investigator(s):Chiu SYW
Department:Economics and Finance, School of
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2004
Abstract:
Refer to hard copy





Researcher : Hau TD
List of Research Outputs

Hau T.D., Economic Fundamentals of Road Pricing: A Diagrammatic Analysis, Part I - Fundamentals, Transportmetrica. 2005, 1, No. 2: 81-117.
Hau T.D., Economic Fundamentals of Road Pricing: A Diagrammatic Analysis, Part II - Relaxation of Assumptions, Transportmetrica. 2005, 1, No. 2: 119-149.
Hau T.D., Wong K.I. and Wong S.C., Estimating optimal tolls for cross harbour tunnels in Hong Kong, Proceedings of the Ninth Conference of Hong Kong Society for Transportation Studies. Hong Kong, Hong Kong Society for Transportation Studies, 2004, 420-422.
Hau T.D., International Editorial Board Member, Transport Policy. Amsterdam, The Netherlands, Elsevier Ltd., 2005.
Ho H.W., Wong S.C. and Hau T.D., Economic aspects of housing-related problems in a continuous transportation system, Proceedings of the Ninth Conference of Hong Kong Society for Transportation Studies. Hong Kong, Hong Kong Society for Transportation Studies, 2004, 330-339.


Researcher : Jao YC
Project Title:Financial reform in Hong Kong
Investigator(s):Jao YC
Department:Economics and Finance, School of
Source(s) of Funding:Other Funding Scheme
Start Date:09/2000
Abstract:
To examine the background, rational, and implementation of reform measures in the financial sector of Hong Kong, 1970-2000, and to evaluate their implications for Hong Kong's economic restructuring and position as an international financial centre.


List of Research Outputs

Jao Y.C., 香港：國際金融中心的復興, 信報財經月刊, 香港, 2005, 334: 39-43.
Jao Y.C., 新資本協定與銀行業, 信報財經月刊, 香港, 2005, 339: 49-54.


Researcher : Kang Q
Project Title:Investor base and pay performance sensitivity
Investigator(s):Kang Q, Brandt M.
Department:Economics and Finance, School of
Source(s) of Funding:Seed Funding for New Staff
Start Date:02/2003
Completion Date:01/2005
Abstract:
There is no convincing empirical evidence on the pay performance sensitivity in the literature yet. In this project, we try to answer this question: whether the sensitivity is related to the investor base of the firm which the manager is managing? Alternatively, does (or not) the investor base contribute to the pay-performance sensitivity?


Project Title:A revisit of the nature of risks and the source of momentum profits
Investigator(s):Kang Q, MacKinlay A.C.
Department:Economics and Finance, School of
Source(s) of Funding:Small Project Funding
Start Date:11/2003
Completion Date:10/2005
Abstract:
To resolve the following questions: (1) Is there a way to reconcile the differences in those contradicting arguments? If yes, what have caused the differences? (2) What are the natue of the risks and the economic source of the rewards to momentum investing? (3) What do those commonly-used Fama-French risk factors stand for? Is there any other economically-sound risk factor for the theoretical and empirical asset pricing models?





Researcher : Lau SH
Project Title:Achieving intertemporal efficiency and symmetry through intratemporal asymmetry: an analysis of turn taking
Investigator(s):Lau SH, Mui V.L.
Department:Economics and Finance, School of
Source(s) of Funding:Small Project Funding
Start Date:11/2003
Abstract:
To study when and how turn taking can be supported as an equilibrium outcome; to find a quantitative measure of the players' welfare gain in the turn-taking equilibrium, and to provide an economic interpretation of such gain; to study other welfare-improving methods (such as the use of correlated strategies, cheap talk) in addition to turn taking, and to assess the separate contribution of turn taking, cheap talk etc. in improving the players' payoffs.


Project Title:The economics of turn taking
Investigator(s):Lau SH, Mui V.L.
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2004
Abstract:
To study when and how turn taking can be supported as an equilibrium outcome; to assess the welfare-improving role of turn taking by proposing a quantitative measure of the players' welfare gain in the turn-taking equilibrium, and to provide an economic interpretation of the gain; to study other welfare-improving methods in addition to turn taking, and to assess the separate contribution of turn taking, cheap talk in improving the players' welfare; to design and conduct experiments to test various hypotheses developed in this project, and to provide experimental evidence regarding turn-taking behaviour.


Project Title:The economics of turn taking
Investigator(s):Lau SH
Department:Economics and Finance, School of
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


List of Research Outputs

Lau S.H. and Mui V.L., Using Turn Taking To Mitigate Conflict And Coordination Problems In The Battle Of The Sexes Game. Hong Kong, School of Economics & Finance, HKU, 2005, 31.


Researcher : Liu Q
Project Title:Firm value, risk, and options of technology breakthrough or impasse
Investigator(s):Liu Q
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:08/2001
Completion Date:08/2004
Abstract:
To theoretically and empirically study how knowledge capital affects the firm's stock market performance and its R&D stragegies.


Project Title:An information-based explanation on investment cash flow sensitivity
Investigator(s):Liu Q
Department:Economics and Finance, School of
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2003
Abstract:
To find an information based explanation that is able to reconcile "financing constraint" hypothesis.


Project Title:Measuring the impact of corporate governance in China
Investigator(s):Liu Q
Department:Economics and Finance, School of
Source(s) of Funding:Small Project Funding
Start Date:11/2004
Abstract:
To systematically examine the dynamic interactions between various corporate governance mechanisms and important corporate decisions in the listed companies in China.


List of Research Outputs

Bai C., Liu Q., Lu J.Z., Song F.M. and Zhang J.J., An empirical analysis of corporate governance in China, 中国上市公司治理结构的实证研究, Journal of Economic Research. 经济研究, 2005, 2: 81-91.
Bai C., Liu Q., Lu J.Z., Song F.M. and Zhang J.J., Corporate governance and market valuation in China, Journal of Comparative Economics. 2004, 32(4): 599-616.
Cai H.B., Liu Q. and Xiao G., Does Competition Encourage Unethical Behavior? The Case of Corporate Profit Hiding in China, Hong Kong Institute of Economics and Business Strategy. 2005.
Cai H.B., Liu Q. and Xiao G., Does Competition Encourage Unethical Behavior? The Case of Corporate Profit Hiding in China, The First Asia Corporate Governance Conference. Shanghai, China, 2005.
Lejot P.L., Arner D.W. and Liu Q., Making Markets: Reforms to Strengthen Asia's Debt Capital Markets, HKIMR Working Paper. Hong Kong, HKIMR, 2004, 13/2004: 55pp.
Lejot P.L., Arner D.W. and Liu Q., Making Markets: Reforms to Strengthen Asia's Debt Capital Markets, Hong Kong Institute of Monetary Research Working Paper. Hong Kong, HKIMR, 2004, 13/2004: 55.
Liu Q. and Kang Q., A missing link in the risk-incentive tradeoff, 2005.
Liu Q., Lejot P., Arner D., Chan M. and Mays M., Asia's debt capital markets - appraisal and agenda for policy reform, Asia's debt capital markets: prospects and strategies for development. New York, Springer, 2005, 40.
Liu Q., Lejot P., Arner D. and Park J., Asia's debt capital markets: prospects and strategies for development. New York, Springer, 2005, 460.
Liu Q., Corporate governance in China: current practices, economic effects, and institutional determinaints, CESifo Economic Studies Conference on Understanding the Chinese Economy. Munich, 2005.
Liu Q. and Lu J.Z., Earnings management and tunneling, China Economics Quarterly. 经济学季刊, 2004, 3 No. 2: 437-456.
Liu Q., Darby M.R. and Zucker L., High stakes in high technology: high-tech market values as options, Economic Inquiry. 2004, 42(3): 351-369.
Liu Q. and Xiao G., Look Who Are Disguising Profits: An Application to Chinese Industrial Firms, Public Economics Theory Conference. Beijing, China, 2004, 52.
Liu Q., Lejot P. and Arner D., Making Markets: reforms to strengthen Asia's debt capital markets, Asia's debt capital markets: prospects and strategies for development. New York, Springer, 2005, 52.


Researcher : Meng R
Project Title:The Double-Play Manipulation, Government Intervention and the Role of Transaction Tax
Investigator(s):Meng R, Bai L
Department:Business, School of
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:02/2005
Abstract:
Some developing countries or regions have established a currency board system whereby the local currency is pegged to a more stable currency - typically the US dollar - or a composite of currencies in order to maintain the stability of the local currency. One salient feature of the currency board is that domestic interest rates adjust automatically to pressures on the currency. During the Asian financial crisis that took place in 1997 - 1998, a number of large investment houses were believed to have engaged in a so-called "double-play manipulation" which inflicted damages to affected Asian countries beyond the level justified by their own weak economic fundamentals. Hidden among legitimate hedging and speculative activities, these investment houses picked Asian currencies that were subject to the pressure of devaluation from their fixed level and took small short positions against them - to trigger a panic response in the currency market which was on the verge of "a nervous breakdown" - but aware of the local government's commitment to the peg, predicted a sharp increase in interest rate, and simultaneously taking large short positions in interest rates sensitive instruments, and in particular the equity market. In order to deter such a manipulative scheme and alleviate the pressures that it had imposed on the local currency and equity market, some Asian government, in particular the Hong Kong Monetary Authority, took an unprecedented action by intervening, not only in the currency market but also in the equity market, to squeeze out the profit of manipulators. Mr Joseph Yam, the chief executive of the Hong Kong Monetary Authority said "we wish to send the very clear message to those manipulating our currency for this purpose that they may stand to lose money instead." During the two-week intervention period from August 14th to August 28th 1998, the government bought US$15 billion (about 15.5% of Hong Kong's foreign reserves) worth of local stocks and long positions in Hang Seng index futures. For the single day of August 28th, when the August Hang Seng Index futures contract was expiring, the government was forced to lay out at least US$8 billion. The action held the Hang Seng to a 1.2% drop on a day when markets around the world plummeted. There was a mixed response to the Hong Kong government's intervention in the stock and futures markets. Nobel laureate Milton Friedman blasted the government's shopping spree as "insane". He said that the government's purchasing of shares undermined the credibility of its currency system. At a meeting of the Hong Kong Legislative Council, legislator Emily Lau slammed the HKMA's decision not to consult with law-makers before spending "hard-earned tax-payers dollars" to buy shares in a bid to foil speculators. Ms. Lau, said the government must "draw a line in the sand" and immediately stop spending money intervening in the stock market. The finance professionals questioned the sustainability of the government's intervention policy because, in the end, no government could withstand month after month of attacks on its currency and bourses by striking back through interventions. Indeed the battle did not end with the expiration of the August contract. Many traders were rolling over their short positions from the August contract to September, sensing the Hang Seng Index remained a tempting target. On August 31st 1998, the government stepped back from its intervention in the stock market. Hang Seng Index plunged 7%. This paper will consider a policy that the government imposes a temporary and one-way "Tobin-Tax" type transaction tax on short positions in the equity market and uses the tax revenue to support its intervention. The tax is effective during the period when the government believes that the double-play manipulation exists and has caused the market to deviate from its natural path. This paper will discusses the conditions under which the tax will prompt a manipulator to reduce short positions and examines whether such conditions exist by analyzing historical events of transaction cost changes that took place in bear markets.


List of Research Outputs

Meng R., A Patent Race in a Real Options Setting: Investment Strategy, Valuation, CAPM Beta and Return Volatility , In: Stefano Gatti; Stefano Casselli; and John A. Doukas, 2005 European Financial Managment Association Annual Conference. 2005.
Meng R., A Patent Race in a Real Options Setting: Investment Strategy, Valuation, CAPM Beta and Return Volatility , In: Lenos Trigeorgis; Mondher Bellalah; Ephraim Clark; Michael Brennan; Robert McDonald; Gordon Sick; Alex Triantis; and Han Smit., Real Options 9th Annual International Conference. Paris, France, 2005.
Meng R., A Patent Race in a Real Options Setting: Investment Strategy, Valuation, CAPM Beta and Return Volatility, In: Mark GrinblattSheridan TitmanCampbell HarveyYacine Ait-SahaliaKent DanielMichael FishmanDavid HirschleiferNarasimhan JegadeeshTobias Moskowitz, 2005 Annual Meeting Of Western Finance Association. 2005.


Researcher : Shea KL
Project Title:Ad Valorem tariff versus specifid tariff
Investigator(s):Shea KL, Shea E.Y.P.
Department:Economics and Finance, School of
Source(s) of Funding:Other Funding Scheme
Start Date:09/2002
Abstract:
To examine if ad valorem tariff and specific tariff are equivalent under duopoly.


Project Title:Should tax be damaged dependent in correcting externalities
Investigator(s):Shea KL
Department:Economics and Finance, School of
Source(s) of Funding:Other Funding Scheme
Start Date:09/2002
Abstract:
To compare the efficacy of three tax forms, namely, a fixed amount of tax, a tax that depends on the damage inflicted by externalties and one that depends on the fine.





Researcher : Song FM
Project Title:Corporate Governance and Market Valuation in China and Hong Kong
Investigator(s):Song FM, Zhang JJ, Lin J., Zhen Z.W., Geng X., Yin H.R.
Department:Economics and Finance, School of
Source(s) of Funding:The University of Hong Kong Foundation Seed Grant
Start Date:07/2003
Abstract:
To develop extensive knowledge and expertise in the field of China and Hong Kong's corporate governance; to play an important role in the reform of corporate governance in China and Hong Kong.


Project Title:The behavior of commodity prices and futures market hedging
Investigator(s):Song FM, Chatrath A., Ai C.R.
Department:Economics and Finance, School of
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2003
Abstract:
To examine several important predictions on price behavior implied in the theory of commodity prices, in particular the behavior of price autocorrelations, conditional volatility, and term structure of commodity prices; to identify and test variables in various hedging models using futures contracts. We belived the hedging models based on our understanding of behavior of commodity prices will be more effective in hedging against risk of commodity market; to search for different hedging models other than static and dynamic GARCH models.


Project Title:Microstructure of Hong Kong stock exchanges: order aggressiveness, volume, and liquidity
Investigator(s):Song FM, Chung CK
Department:Economics and Finance, School of
Source(s) of Funding:Small Project Funding
Start Date:11/2004
Abstract:
To introduce the order aggressiveness as a proxy for asymmetric information to explain spread. The dataset used in this study will be compiled from Trade Record and Bid and Ask Record from HKSE.


List of Research Outputs

Bai C., Liu Q., Lu J.Z., Song F.M. and Zhang J.J., An empirical analysis of corporate governance in China, 中国上市公司治理结构的实证研究, Journal of Economic Research. 经济研究, 2005, 2: 81-91.
Bai C., Liu Q., Lu J.Z., Song F.M. and Zhang J.J., Corporate governance and market valuation in China, Journal of Comparative Economics. 2004, 32(4): 599-616.


Researcher : Suen WC
Project Title:Decision making under divergent interests
Investigator(s):Suen WC, Li H
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2001
Completion Date:08/2004
Abstract:
To studies the tension between information aggregation and strategic information manipulation in collective decision making.


Project Title:The media and electoral politics: a strategic information transmission perspective
Investigator(s):Suen WC
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2004
Completion Date:06/2005
Abstract:
To provide a formal framework to understand the influence of the media in electoral politics; to contribute to the cheap talk literature by paying special attention to off-equilibrium beliefs; to provide welfare assessment about the argulation and the organization of the media industry.


Project Title:The media and electoral politics: a strategic information transmission perspective
Investigator(s):Suen WC
Department:Economics and Finance, School of
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


List of Research Outputs

Lui H.K. and Suen W.C., The Shrinking Earnings Premium for University Graduates in Hong Kong: The Effect of Quantity or Quality?, Contemporary Economic Policy. Western Economic Association International, 2005, 23: 242-254.


Researcher : Tse CY
List of Research Outputs

Tse C.Y., Evaluating the Quantitative Effects of Import Restrictions - An almost neoclassical Benchmark, Human Capital, Trade and Public Policy in Rapidly Growing Economies. Cheltenham, UK, Edward Elgar, 2004, 170-195.
Tse C.Y., Journal of Economics. Wien, Austria, Springer Wien New York, 2005, 84.


Researcher : Tse KS
List of Research Outputs

Pretorius F.I.H., Tse K.S. and Chau K.W., A Term Structure of Commercial Lease Real Estate Returns, In: Eleventh Pacific Rim Real Estate Society Conference, Melbourne, Australia, 2005.
Wong S.K., Yiu C.Y., Tse K.S. and Chau K.W., Do the forward sales of real estate stabilize spot prices?, The 2004 Hong-Kong Singapore International Real Estate Research Symposium. Hong Kong, 2004.


Researcher : Tu Z
List of Research Outputs

Tu Z. and Xiao G., 中国的工业生产力革命--用随机前沿生产模型对中国大中型企业全要素生产率增长的分解及分析, 经济研究, 北京, 中国社会科学院经济研究所, 2005, 40(443): 4-15.
Tu Z. and Xiao G., 中国工业生产力革命的制度及市场基础, 中国留美经济学会2005年会, 中国重庆, 2005.
Xiao G. and Tu Z., China's Industrial Productivity Revolution: A Stochastic Frontier Production Function Analysis of China's Large and Medium Industrial Enterprises during 1995-2002, WEAI/HKEA 2005 Pacific Rim Conference. 2005.


Researcher : Vere JP
Project Title:Fertility and female labor supply
Investigator(s):Vere JP
Department:Economics and Finance, School of
Source(s) of Funding:Other Funding Scheme
Start Date:02/2003
Abstract:
To study the casual effect of fertility on feamle labor supply in Hong Kong and U.S.A.; to identify casual effect of the first child (previous work can only identify 2nd and higher order births); to find advance methodology of this type of study with respect to age bias problems in estimation.


Project Title:Studies in labor force participation, unemployment and displaced workers
Investigator(s):Vere JP
Department:Economics and Finance, School of
Source(s) of Funding:Seed Funding for New Staff
Start Date:05/2003
Abstract:
To undertake basic research in the determinants of unemployment and job displacement, using data from Hong Kong and the United States Current Population Surveys.


Project Title:Labor cost saving measures in Hong Kong, and employees' response
Investigator(s):Vere JP
Department:Economics and Finance, School of
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2003
Abstract:
To evaluate the above theories and identify the most important factors in a firm's decision to cut salaries or lay off workers; to use this information to predict which sectors, firms and employees will be the worst hit by unemployment during an economic downturn.


Project Title:Fertility and female labor supply
Investigator(s):Vere JP
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:01/2005
Abstract:
To study the causal effect of fertility on female labour supply in Hong Kong and the United States.


Project Title:Fertility and female labor supply
Investigator(s):Vere JP
Department:Economics and Finance, School of
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


List of Research Outputs

Vere J.P., Education, Development and Wage Inequality: The Case of Taiwan, Economic Development and Cultural Change. 2005, 53(3): 711-735.
Vere J.P., Life Cycle Effects of Fertility on Parents’ Labor Supply, Society of Labor Economists 10th Annual Meetings, 2-5 June 2005. San Francisco, CA, USA.
Vere J.P., Wage Structure Effects of Taiwan’s Science and Technology Development Policy, Asian Economic Journal. 2005, 19(2): 159-180.


Researcher : Wang H
List of Research Outputs

Wang H., Dynamic Volume-Volatility Relation, European Financial Management Association 2005 Conference. Milan, Italy, European Financial Management Association, 2005, 39.


Researcher : Wong KP
List of Research Outputs

Lien D. and Wong K.P., Optimal Bidding and Hedging in International Markets, Journal of International Money and Finance. U.S., Elsevier, 2004, 23: 785-798.
Wong K.P. and Yick H.Y., Currency Options and Export-Flexible Firms, 3rd International Conference of the Portuguese Finance Network (2004). Lisbon, Portugal, Portuguese Finance Network, 2004, 16.
Wong K.P. and Yick H.Y., Currency Options and Export-Flexible Firms, Bulletin of Economic Research. U.K., Blackwell, 2004, 56: 379-394.
Wong K.P., Hedging, Liquidity, and the Competitive Firm under Price Uncertainty, Journal of Futures Markets. U.S., Wiley, 2004, 24: 697-706.
Wong K.P., Liquidity Constraints and the Hedging Role of Futures Spreads, Journal of Futures Markets. U.S., Wiley, 2004, 24: 909-921.
Wong K.P., Operating Leverage and the Interaction between Abandonment Options and Exotic Hedging, Journal of Derivatives Accounting. Singapore, World Scientific, 2005, 2: 87-96.
Wong K.P., Tax Asymmetry and Futures Hedging under Liquidity Constraints, Managerial and Decision Economics. U.S., Blackwell, 2005, 26: 271-281.


Researcher : Wong RYC
Project Title:Institute of economics and business strategy
Investigator(s):Wong RYC
Department:Business, School of
Source(s) of Funding:Areas of Excellence Scheme
Start Date:11/1999
Abstract:
To study economic and business issues of strategic significance, to advance the frontiers of both theoretical and applied knowledge in this area and to have an impact on policy decisions and business practices through research, education and public information.


List of Research Outputs

Wong R.Y.C., Siu A.K.F. and Choi G.S.W., Bottlenecks in Logistics – Cross-Boundary Road-Freight Industry, HKCER Letters, no. 83, May-June 2005, pp. 1-11. Hong Kong, HK Centre for Economic Research, 2005, no. 83: 1-11.
Wong R.Y.C., Discussant for J Teranishi, “Investor right in Historical Perspective: Globalization and the Future of Japanese Firm and Financial System”, Asian Economic Panel. 2005.
Wong R.Y.C., Overview of Global Entrepreneurship between Asia and the U.S., Asian American/Asian Research Institute, The City University of New York 2005 Conference “Global Entreneurship: Economic Development for Asia and the U.S.”. 2005.
Wong R.Y.C., Roundtable on “The Renminbi and the Global Economy: Implications for Hong Kong”, Nobel Laureates Forum, Chinese University of Hong Kong. 2005.
Wong R.Y.C., “HKU’s MBA in Shanghai”, Hong Kong Management Association Annual Conference. 2004.
Wong R.Y.C., “Rethinking Hong Kong Human Resources and Competitiveness”, CEO Manpower Conference 2005 on “Human Capital: Hong Kong’s Future”. 2005.
Wong R.Y.C., “The Industrial and Economic Development Trend of Hong Kong and Pan PRD”, CEO Forum: Opportunities, Challenges for Industries in Hong Kong and the PRD. 2005.


Researcher : Xiao G
List of Research Outputs

Cai H.B., Liu Q. and Xiao G., Does Competition Encourage Unethical Behavior? The Case of Corporate Profit Hiding in China, Hong Kong Institute of Economics and Business Strategy. 2005.
Cai H.B., Liu Q. and Xiao G., Does Competition Encourage Unethical Behavior? The Case of Corporate Profit Hiding in China, The First Asia Corporate Governance Conference. Shanghai, China, 2005.
Liu Q. and Xiao G., Look Who Are Disguising Profits: An Application to Chinese Industrial Firms, Public Economics Theory Conference. Beijing, China, 2004, 52.
Sheng A.L.T., Xiao G. and Wang Y., Property Rights And Original Sin In China, Perspectives. USA, 2005, 6: 6-17.
Sheng A.L.T., Xiao G. and Wang Y., 原罪的新制度经济学分析与产权基础设施建设, In: 吴敬琏江平, 洪范评论, 北京, 中国政法大学出版社, 2005, 2(1): 18-23.
Sheng A.L.T., Xiao G. and Wang Y., 中国金融改革与产权基础设施, 视野, USA, 2004, 4(4): 18-23.
Tu Z. and Xiao G., 中国的工业生产力革命--用随机前沿生产模型对中国大中型企业全要素生产率增长的分解及分析, 经济研究, 北京, 中国社会科学院经济研究所, 2005, 40(443): 4-15.
Tu Z. and Xiao G., 中国工业生产力革命的制度及市场基础, 中国留美经济学会2005年会, 中国重庆, 2005.
Xiao G., A Tale of Two Cities: Will Shanghai Overtake HKSAR?, UCLA. USA, 2005.
Xiao G. and Tu Z., China's Industrial Productivity Revolution: A Stochastic Frontier Production Function Analysis of China's Large and Medium Industrial Enterprises during 1995-2002, WEAI/HKEA 2005 Pacific Rim Conference. 2005.
Xiao G., New Direction of the Macroeconomic Policies in China and its Impacts for Hong Kong, HKSAR Government Civil Services Training Centre. 2005.
Xiao G., Productivity Revolution and Growth Sustainability in China, BHP Billiton 2004 China Conference. 2005.
Xiao G., Sustainable growth, Far Eastern Economic Review. 2005, 168(2): 54-55.
Xiao G., What Is Special about China's Current Economic Transformation?, China Investment Forum, The Seven China Equity Fund. Tokyo, 2005.
Xiao G., What Is Special about Enterprise Performance in North-East China? Dynamics of Privatization, Profitability and Productivity during Reform Era, Asian Development Bank Institute Discussion Paper. Tokyo, 2005, 28.
Xiao G., 香港在与内地经济整合过程中的定位, 促进内地与香港共同繁荣学术研讨会, 香港, 2004.
Xiao G., 从“中航油事件”看国企改革的产权问题, 第一财经日报, 2004.


Researcher : Yetman JA
Project Title:Optimal monetary policy with state dependent pricing
Investigator(s):Yetman JA
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:10/2004
Abstract:
To investigate optimal monetary policy in a model of state dependent pricing and contrast it with models incorporating time dependent pricing.


Project Title:Optimal monetary policy with state dependent pricing
Investigator(s):Yetman JA
Department:Economics and Finance, School of
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


List of Research Outputs

Gregory A.W. and Yetman J.A., The Evolution of Consensus in Macroeconomic Forecasting, International Journal of Forecasting. Netherlands, Elsevier, 2004, 20(3): 461-473.
Yetman J.A., Speed Limit Policies and Interest Rate Smoothing, Economics Bulletin. 2004, 5(17): 1-5.
Yetman J.A., The Long-Run Output-Inflation Trade-off With Menu Costs, 11th International Conference on Computing in Economics and Finance. Washington DC, 2005.
Yetman J.A., The Long-Run Output-Inflation Trade-off With Menu Costs, Globalisation and Regionalism, Hong Kong Economics Association. 2005.
Yetman J.A., Understanding Economic Forecasts (book review), Journal of Comparative Policy Analysis. Canada, Frank Cass, 2004, 6(3): 317-318.


Researcher : Yick HY
List of Research Outputs

Wong K.P. and Yick H.Y., Currency Options and Export-Flexible Firms, 3rd International Conference of the Portuguese Finance Network (2004). Lisbon, Portugal, Portuguese Finance Network, 2004, 16.
Wong K.P. and Yick H.Y., Currency Options and Export-Flexible Firms, Bulletin of Economic Research. U.K., Blackwell, 2004, 56: 379-394.


Researcher : Yick HY
List of Research Outputs

Wong K.P. and Yick H.Y., Currency Options and Export-Flexible Firms, 3rd International Conference of the Portuguese Finance Network (2004). Lisbon, Portugal, Portuguese Finance Network, 2004, 16.
Wong K.P. and Yick H.Y., Currency Options and Export-Flexible Firms, Bulletin of Economic Research. U.K., Blackwell, 2004, 56: 379-394.


Researcher : Yuen CW
Project Title:Globalization and the output-inflation tradeoff
Investigator(s):Yuen CW, Razin A.
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:08/2002
Abstract:
The study attempts to better understand, both theoretically and empirically, how globalization in the form of opening up an otherwise closed economy to commodity trade and foreign investment will affect the economy's ability to simultaneously control inflation and output (or unemployment). It also tries to examine the implications of the changing nature of the output-inflation tradeoff under different forms of opennes for economic efficiency and social welfare and, on such bases, design optimal (loss-minimizing or welfare-maximizing) policies to stabilize inflation and output.


Project Title:Aggregate supply vs. the Phillips curve: inflation and output dynamics in open economies from a new keynesian perspective
Investigator(s):Yuen CW
Department:Economics and Finance, School of
Source(s) of Funding:Small Project Funding
Start Date:11/2004
Abstract:
To examine how openness interacts with the degree of price rigidity in the domestic economy to affect the dynamics of inflation and output under different exchange rate (ER) regimes


List of Research Outputs

Frenkel J., Razin A. and Yuen C.W., Fiscal Policies and Growth in the World Economy. 世界宏观经济学：全球一体化下的财政政策与经济增长, 北京, 中国, 经济科学出版社, 2005, 569.
Yuen C.W., Lectures on Dynamic Macroeconomics, Institute for Advanced Study, Wuhan University, Wuhan, China. 2004.
Yuen C.W., Lectures on Recent Monetary-Policy Research, Guanghua School of Management, Peking University, Beijing, China. 2005.


Researcher : Zhang J
Project Title:Straddle options to manage volatility risk and its valuation
Investigator(s):Zhang J, Brenner M., Ou E.Y.
Department:Business, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:07/2001
Abstract:
To propose a new instrument, i.e. Straddle Option, which can be used to manage market volatility risk, and, has the real potential to be accepted and practically used by the market.


Project Title:Volatility smirk implied in option pricing models
Investigator(s):Zhang J
Department:Business, School of
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:10/2004
Abstract:
To perform a comprehensive comparative study on different option-pricing models.


List of Research Outputs

Li Y.S. and Zhang J., Option Pricing with Weyl-Titchmarsh Theory, Quantitative Finance. 2004, 4(4): 457-464.
Shu J.H. and Zhang J., Pricing S&P 500 Index Options Under Stochastic Volatility with the Indirect Inference Method, Journal of Derivatives Accounting. 2004, 1(2): 171-186.


Researcher : Zhang JJ
Project Title:Permanent and temporary components of stock prices: an empirical investigation of the Chinese stock market
Investigator(s):Zhang JJ
Department:Economics and Finance, School of
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:05/2002
Abstract:
To investigate permanent and transitory components in stock prices for the Chinese markets.


Project Title:The Financial and Operating Performance of Chinese Family-owned Listed Companies
Investigator(s):Zhang JJ
Department:Economics and Finance, School of
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:12/2004
Abstract:
While existing studies often use sector-level data to explain the phenomenal growth in the Chinese private sector, this project attempts to use firm-level data to conduct a comparative study on performance between family-owned and state-owned firms in China. Specifically, we attempt to use the whole population of listed firms for the latest period to analyze their financial performances.W propose five measures: (1) revenue per employee, (2) revenue per unit of cost, (3) net profit per employee, (4) return on assets, and (5) market to book ratio. These measures capture firm's human resource performance, operating efficiency, productivity, economic profitability and market value, respectively. Specifically, we attempt to address the following question: Do different ownership structures lead to different performances? We also plan to control for other firm characteristics, such as size, leverage and industry belonging, in the project. Our predicted results are that family-owned companies will have significantly superior performance as compared to state-owned enterprises.


List of Research Outputs

Bai C., Liu Q., Lu J.Z., Song F.M. and Zhang J.J., An empirical analysis of corporate governance in China, 中国上市公司治理结构的实证研究, Journal of Economic Research. 经济研究, 2005, 2: 81-91.
Bai C., Liu Q., Lu J.Z., Song F.M. and Zhang J.J., Corporate governance and market valuation in China, Journal of Comparative Economics. 2004, 32(4): 599-616.


Researcher : Zhou X
Project Title:Management turnover and related incentive issues
Investigator(s):Zhou X
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2001
Completion Date:08/2004
Abstract:
To deepen our understanding of the phenomenon of managerial turnover and address related serious issues in the literature.


Project Title:Managerial ownership, turnover, and firm performance: an examination of listed Chinese companies
Investigator(s):Zhou X
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2002
Abstract:
The separation between ownership (shareholders) and control (managers) in modern corporations raises a fundamental question: how can managers be motivated to promote teh interests of shareholders? Theoretically, providing managers an equity stake in the company is said to enhance managerial working incentives. The current project will use a large sample of listed Chinese companies to re-examine the ownership-performance relationship and dismissal incentives.


Project Title:Executive promotion and incentive contracts
Investigator(s):Zhou X
Department:Economics and Finance, School of
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:01/2005
Abstract:
To identify factors affecting executive promotion; to determine the effect of the promotion scheme on executive incentive contracts.


Project Title:Executive promotion and incentive contracts
Investigator(s):Zhou X
Department:Economics and Finance, School of
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy





-- End of Listing --