CURRICULUM VITAE

Joseph K.W. Fung, Ph.D.

Office direct-line: (852) 3411-7559

Fax number: (852) 3411-5585

Education and Professional Qualifications:

Education:

1.  Doctor of Philosophy in Finance, University of Alabama (1991)

2.  Master of Arts in Economics, University of Alabama, (1985)

3. Honors Diploma in Economics, Hong Kong Baptist College (1984)

Dissertation:

“The Pricing of Vulnerable Interest Rate Swap Contracts.” A Dissertation, University of Alabama, 1991.

Academic Teaching Experience:

1.  Professor of Finance, since July 2005, Department of Finance and Decision Sciences, Hong Kong Baptist University.

2.  Associate Professor, since September 1999, Department of Finance and Decision Sciences, Hong Kong Baptist University.

3.  Lecturer, Department of Finance and Decision Science, Hong Kong Baptist University, September 1993 – September 1999.

4.  Assistant Professor, Department of Finance, Central Connecticut State University, August 1989 - September 1993.

Honor:

Recently ranked among the top 25 authors in Asia-Pacific universities measured by the weighted total JF-pages (1990-2004) in 21 leading finance journals in “Ranking of Finance Programs in the Asia-Pacific Region: An Update” Pacific-Basin Finance Journal 13 (2005) 584-600 (K.C. Chan, C.R. Chen, and P.P. Lung).

Recipient of the Korea Futures Association (KOFA) best paper award at the Third Conference of the Asia-Pacific Association of Derivatives held in Busan, Korea on June 22-23, 2006. The title of the paper is “Order Imbalance and the Pricing of Index and Futures Prices”. The conference is sponsored by the Korea Exchange (KRX) and the Korea Futures Association (KOFA).

Courses Taught:

Introduction to Options and Futures, Fixed-Income Securities, Principles of Investment, Seminar in Investment, Advanced Investment Management, Financial Management, Principles of Economics, Intermediate Microeconomic Theories, Intermediate Macroeconomic Theories, Foreign Investment in China, Financial Markets and Institutions in China, Money and Credit, Finance and Marketing Issues in China (MBA) on the topic “Foreign Direct Investment in China”. Corporate Finance (MBA and Msc in Applied Accounting and Finance). Seminar in Finance (for Ph.D. and M.Phil.students). Portfolio Analysis and Management (taught in Puttonhua for China MBA classes). Derivatives securities and risk management (Msc in accounting and finance). Financial Planning and Investment Analysis.

Creative and Substantially Modified Teaching/Learning Portfolios:

Introduction to Fixed Income Securities (FIN3110)

Introduction to Futures and Options Markets (FIN2610)

Portfolio Analysis and Management (in Chinese) (FIN4060)

Seminar in Finance (fully taught course on advanced financial theories for Ph.D. and M.Phil Students)

Teaching Development Grant:

“Production of a Comprehensive Business Case Study of Karrie International for Enhancing Teaching and Learning for the MSc in Corporate Governance and Directorship and the MBA Programmes”, with Prof Simono S.M. Ho, HKBU, (2005-06)

"Development of Teaching and Learning Materials for FIN3110 Fixed-Income Securities." Teaching Development Grant, HKBU, (1997-98).

Postgraduate Supervision:

MPhil: Castor W.S. Pang (Graduated in 1998): "A Comparison between an Ex-Post and Ex-ante Test of Early Unwinding Strategy in Put-call-futures Arbitrage."

Remarks: Mr. Pang’s thesis-related work is published in the Journal of Financial Research (“Early-Unwinding Strategy in Index Options-Futures Arbitrage,” Journal of Financial Research, 1998, v21(4), 447-467.)

MPhil: Camay Chan (Graduated in 2001): “Pricing and Arbitrage in Index-Futures Spread.”

MPhil: C.K. Chan (Graduated in 2004): “The Potential Profitability of Dynamic Trading Strategies in Index-Futures Arbitrage: A Study with Bid/Ask Quote Data.”

Ph.D.: Kevin Cheng (Graduated in 2004): “Essays on Hong Kong’s Index Derivatives Securities Market.”

Remarks: Dr. Cheng’s thesis-related work is forthcoming in the Journal of Futures Markets. The title of the paper is “How Electronic Trading Affects Bid-Ask Spread and Arbitrage Efficiency.” (With Joseph K.W. Fung and Yiuman Tse). Forthcoming in 2005 (March/April).

M.Phil: Sally Cheung (Commenced in Fall 2005)

Ph.D.: Francis Lau (commenced in Spring 2006)

Ph.D.: Xin Cheung (commenced in Spring 2007)

Service to the university and department:

1.  Volunteer interviewer in Shanghai for mainland applicants, July 1-4, 2006.

2.  Successfully applied for a TDG grant (TDG/04-05/II/01) in the capacity of a co-investigator in support of the production of a comprehensive case study of Karrie International for enhancing teaching and learning for our graduate programs.

3.  Co-Chair, Organizing Committee for the Inaugural Asia-Pacific Corporate Governance Conference hosted by the Hong Kong Baptist University that will be held on 25-26 August 2005.

4.  Successfully applied for a conference grant on behalf of FDS to support the department’s sponsorship of the 16th Asia-Pacific Futures Research Symposium, October 2005.

5.  Successfully applied for a conference grant on behalf of FDS to support the department’s sponsorship of the 15th Asia-Pacific Futures Research Symposium, October 2004.

6.  Member, Program Committee, Master of Science in Corporate Governance and Directorship, May 2004.

7.  Member, Program Committee, Master of Science in Applied Accounting and Finance Degree, May 2004.

8.  Member, Scholarship Team, Task 2000 campaign, School of Business, since 2000.

9.  Mediator, Scholarship Team, Task 2000 campaign, School of Business, 2000.

10.  Member of the examination board for the school of business.

Visiting research fellowships:

1.  Research Fellow, Hong Kong Institute for Monetary Research, Hong Kong Monetary Authority, (extended) September 1, 2006 – December 31, 2006.

2.  Visiting Research Fellow, Curtin University, Perth (Australia), summer (Aug 1-14) 2006.

3.  Visiting Research Fellow, Exeter University (U.K.), June 7-13, 2006.

4.  Research Fellow, Hong Kong Institute for Monetary Research, Hong Kong Monetary Authority, August 1, 2005 – August 31, 2006.

5.  Research Fellow, Hong Kong Institute for Monetary Research, Hong Kong Monetary Authority, March – December 2004.

6.  Visiting Research Fellow, Curtin University, Perth (Australia), Summer 2004.

7.  Visiting Scholar (Full Time), the Finance Team, Research Department, the Federal Reserve Bank of Atlanta, Atlanta (Georgia), U.S.A. December 2001.

8.  Visiting Research Fellow, National University of Singapore, Singapore, Date 2001.

9.  Visiting Research Fellow, Curtin University, Perth (Australia), October 2001.

10.  Visiting Research Fellow, University of Edinburgh, Edinburgh (U.K.), September 2001.

11.  Visiting Research Fellow, Curtin University, Perth (Australia), September - October 2000.

12.  Visiting Research Fellow, University of Edinburgh, Edinburgh (U.K.), June 2000.

13.  Faculty Fellowship, Faculty Development in International Business Seminar, Memphis State University, April 1992.

14.  Student Research Fellow, Doctorat H.E.C., France, Winter 1988-Spring 1989.

15.  Student Research Intern, Federal Reserve Bank of Atlanta, summer 1987 & 1988.

Contracted research/consulting experiences:

1.  Hong Kong Institute for Monetary Research, August 1, 2005 – December 31, 2006. “The Microstructure of Interbank Liquidity and the Dynamics of Hong Kong Money Market Rates”.

2.  Hong Kong Institute for Monetary Research, March – December 2004. “The Information Content of Option Implied Volatility Surrounding the 1997 Hong Kong Stock Market Crash”.

3.  Consultant, of special projects commissioned by the Hong Kong Exchange and Clearing Ltd. June 2002 – October 2003.

a.  Harmonization and Revision of Collateral Policies.

b.  Cross-Margining Feasibility Study.

c.  Guarantee/Reserve Fund Size Stress Testing Methodology.

d.  Liquidation Margin Methodology.

4.  Consultant, Derivatives Trading and Risk Management, Grand Alliance Asset Management Ltd, Hong Kong. 1999.

5.  Consultant of a special project commissioned by the Securities and Futures Commission of Hong Kong, 1998. “A Study on the Indicators for Abnormal Volatility in Hong Kong’s Stock and Futures Markets.”

Consultancy Reports:

1.  Final Report on the Harmonization and Revision of Hong Kong Exchanges and Clearing Limited Collateral Policies (with W.K. Li and Philip Yu). (2003)

2.  Final Report on the Cross-Margining Feasibility Study for Hong Kong Exchanges and Clearing Limited (with W.K. Li and Philip Yu). (2003)

3.  Final Report on Proposed Guarantee/Reserve Fund Size Stress Testing Methodology for Hong Kong Exchanges and Clearing Limited (with W.K. Li and Philip Yu). (2003)

4.  Final Report on Liquidation Margin Methodology for Hong Kong Exchanges and Clearing Limited (with W.K. Li and Philip Yu). (2003)

5.  A Preliminary Study of Indications for Abnormal Volatility in HongKong's Stock and Index Futures Markets for Securities and Futures Commission (with Jiang Li). (1998)

Publications on HKEx website (http://www.hkex.com.hk):

1.  “Exchange-Traded Instruments Form the Basis for OTC Products.” (With Kevin Cheng) Educational Article, March 2002, Issue13, Hong Kong Exchange and Clearing Ltd.

2.  “Understanding the Advantages and Risks of Futures Trading.” (With Kevin Cheng) Educational Article, August 2001, Issue11, Hong Kong Exchange and Clearing Ltd.

3.  “Index Arbitrage Enhances Cash and Futures Markets’ Liquidity and Stability.” (With Kevin Cheng) Educational Article, 1999, Issue3, Hong Kong Exchange and Clearing Ltd.

Hong Kong Institute for Monetary Research (HKIMR) Working Paper

1.  Fung, J.K.W. and Yung, H.H.M., “Expiration Day Effects – An Asian Twist” Hong Kong Institute for Monetary Research Working paper No. 1/2007. January 2007.

2.  Fung, J.K.W., “Order Imbalance and the Pricing of Index Futures.” Hong Kong Institute for Monetary Research Working paper No. 13/2006. October 2006.

3.  Fung, J.K.W., “The Information Content of Option Implied Volatility Surrounding the 1997 Hong Kong Stock Market Crash.” Hong Kong Institute for Monetary Research Working paper No.21/2005. December 2005.

4.  Fung, J.K.W. and Yu, P., “Order Imbalance and the Dynamics of Index and Futures Prices.” Hong Kong Institute for Monetary Research Working paper (in press).

Articles:

  1. Fung, J.K.W., (in press). Order Imbalance and the Pricing of Index Futures. Journal of Futures Markets. Accepted September 4, 2006.
  2. Fung, J.K.W., (in press). The Information Content of Option Implied Volatility Surrounding the 1997 Hong Kong Stock Market Crash. Journal of Futures Markets. Accepted July 27, 2006.
  3. Tse, Y, Fung, J.K.W. and Xiang, J., (2006). Price Discovery in the Foreign Exchange Futures Market. Journal of Futures Markets, 26(11): 1131-1143.
  4. Cheng, K.H.K., Fung, J.K.W. and Tse, Y., (2005). How Electronic Trading Affects Bid-Ask Spread and Arbitrage Efficiency. Journal of Futures Markets, 25(4): 375-398.

5.  Fung, J.K.W., Lien, D., Tse, Y., and Tse, Y.K., (2005). Effects of Electronic Trading on the Hang Seng Index Futures Market. Journal of International Review of Economics and Finance, 14: 415-425.

6.  Fung, J.K.W., Mok, H.M.K., and Wong, K.C.K., (2004). Pricing Efficiency in a Thin Market with Competitive Market Makers: Box Spread Strategies in the Hang Seng Index Options Market. Financial Review, 39: 435-454.

7.  Fung, J.K.W., Cheng, L.T.W. and Chan, K.C., (2004). The impact of the costs of subscription on measured IPO returns: the case of Asia, Journal of Corporate Finance, 10(3).

8.  Draper, P., and Fung, J.K.W., (2003). Discretionary Government Intervention and the Mispricing of Index Futures. Journal of Futures Markets (special issue), 23(12): 1159-1189.

9.  Fung, J.K.W. and Mok, H.M.K., (2003). Early Unwinding of Options-Futures Arbitrage with Bid-Ask Quotations and Transaction Prices. Global Finance Journal, 14: 121-133.

  1. Draper, P., and Fung, J.K.W., (2002). A Study of Arbitrage Efficiency Between the FTSE-100 Index Futures and Options Contracts. Journal of Futures Markets, 22(1): 31-58.

11.  Fung, J.K.W. and Mok, H.M.K., (2001). Index Options-Futures Arbitrage: A Comparative Study with Bid-Ask and Transaction Data. Financial Review, 36: 71-94.

12.  Jiang, L., Fung, J.K.W. and Cheng, L.T.W., (2001). Lead-lag Relationship between Spot and Futures Markets under Different Short-Selling Regimes. Financial Review, 38: 63-88.

13.  Cheng, L.T.W., Fung, J.K.W. and Chan, K.C., (2000). Pricing Dynamics of Index Options and Index Futures in Hong Kong Before and During the Asian Financial Crisis. Journal of Futures Markets, 20(2): 145-166.

14.  Fung, J.K.W. and Draper, P., (1999). Mispricing of Index Futures Contracts and Short Sales Constraints. Journal of Futures Markets, 19(6): 695-715.

15.  Fung, J.K.W. and Jiang, L., (1999). Restrictions on Short-Selling and Spot-Futures Dynamics. Journal of Business Finance and Accounting, 26(1)&(2): 227-239.

16.  Cheng, L.T.W., Fung, J.K.W. and Pang, C.W.S., (1998). Early-Unwinding Strategy in Index Options-Futures Arbitrage. Journal of Financial Research, 21(4): 447-467.

17.  Cheng, L.T.W., Fung, J.K.W. and Lam, K., (1998). An Examination of the Determinants of Stock Price Effects of US-Chinese Joint Venture Announcements. International Business Review, 7: 151-161.

18.  Fung, J.K.W., Cheng, L.T.W. and Chan, K.C., (1997). The Intraday Pricing Efficiency of Hong Kong Hang Seng Index Options and Futures Markets. Journal of Futures Markets, 17(7): 797-815.

19.  Fung, J.K.W. and Fung, A.K.W., (1997). Mispricing of Index Futures Contracts: A Study of Index Futures versus Index Options. Journal of Derivatives, 37-45.

20.  Fung, J.K.W. and Chan, K.C., (1994). On the Arbitrage-Free Pricing Relationship Between Index Futures and Index Options: A Note. Journal of Futures Markets, 14(8): 957-962.

21.  Cheng, L.T.W., Fung, J.K.W. and Chan, K.C., (1998). The Impacts of Index Options Trading on the Constituent Stocks in Hong Kong. Journal of Emerging Markets, 3(3): 69-92.

22.  Fung, J.K.W. and Chan, K.C., (1995). Over-funded Pension Plans, Early Termination, and Asset Allocation Strategies: An Option Theoretic Approach. Journal of Financial and Strategic Decision Making, 8(2): 77-84.


Papers currently under review:

1. “Efficiency of Single Stock Futures Market”. With Yiuman Tse.

2. “Expiration-day Effects – An Asian Twist.” With Haynes Yung.

3. “Order Imbalance and the Dynamics of Index and Futures Prices.” With Philip Yu.

4. “The Effect of the Asian Financial Crisis on Inter-Market Arbitrage Efficiency between Individual Stock Futures and Underlying Stocks.” With Henry Mok.

Book Chapters:

1.  “A Study of the Relationships Between China's A and B Shares,” in “The Developing China Securities Market: Selected Papers of the Second Conference on the China Stock Market Development.” (With Billy S. Mak) Joint Publishing, November 1996.

2.  “Stock Market Seasonality in China: A GARCH Analysis,” in “The Developing China Securities Market: Selected Papers of the Second Conference on the China Stock Market Development.” (With Louis T. W. Cheng and Johnny K. C. Chan) Joint Publishing, November 1996.

3.  “Index Arbitrage Enhances Cash and Futures Markets’ Liquidity and Stability.” (With Kevin Cheng) in Index Futures and Options, Cheng, Raymond and Cheng, Kevin, Hong Kong Futures Exchange pp.191 - 195. 1999.

4.  “Ownership Restrictions and Stock Price Behavior in China.” (with K.C. Chan and Louis T.W. Cheng) in Financial Markets and Foreign Direct Investment in Greater China, edited by Hung-Gay Fung and Kevin H. Zhang (Winter 2001/2002). M.E. Sharpe Inc.

Newspaper articles:

“Are IPO Subscribers Sure Winners?” Hong Kong Economic Journal, June 2, 1997. (with Shum, Connie)

“Interest Rate Arbitrage and the Linked Exchange Rate System 1,” Hong Kong Economic Journal, November 26, 1997, the article was cited on the editorial column. (with Joseph Lau)