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Outputs (5)

Commodity Futures and Strategic Asset Allocation. (2013)
Book Chapter
Chau, F., Lau, M., & Su, Y. (2013). Commodity Futures and Strategic Asset Allocation. In Alternative Investments: Instruments, Performance, Benchmarks, and Strategies (399-418.). John Wiley and Sons

Political Uncertainty and Stock Market Volatility in the Middle East and North African (MENA) Countries (2013)
Journal Article
Chau, F., Deesomsak, R., & Wang, J. (2014). Political Uncertainty and Stock Market Volatility in the Middle East and North African (MENA) Countries. Journal of International Financial Markets, Institutions and Money, 28, 1-19. https://doi.org/10.1016/j.intfin.2013.10.008

This paper examines the impact of political uncertainty (caused by the civil uprisings in the Arab World i.e., “Arab Spring”) on the volatility of major stock markets in the MENA region. Our main findings are as follows. First, by distinguishing betw... Read More about Political Uncertainty and Stock Market Volatility in the Middle East and North African (MENA) Countries.

Exchange Rate Determination and Dynamics in China: A Market Microstructure Analysis (2013)
Journal Article
Zhang, Z., Chau, F., & Zhang, W. (2013). Exchange Rate Determination and Dynamics in China: A Market Microstructure Analysis. International Review of Financial Analysis, 29, 303-316. https://doi.org/10.1016/j.irfa.2012.08.005

This paper provides a market-microstructure analysis of exchange rate dynamics in the Chinese foreign exchange market using a vector autoregressive (VAR) modeling framework. An index of order flow is constructed in the Chinese context to reflect exce... Read More about Exchange Rate Determination and Dynamics in China: A Market Microstructure Analysis.

Accumulation of Large Foreign Reserves in China: A Behavioural Perspective (2013)
Journal Article
Zhang, Z., Chau, F., & Li, X. (2013). Accumulation of Large Foreign Reserves in China: A Behavioural Perspective. Economic Change and Restructuring, 46(1), 85-108. https://doi.org/10.1007/s10644-012-9136-1

The massive accumulation of foreign reserves by China has challenged the conventional thinking about prudent reserve management. This paper develops a behavioural model of optimal decision making under uncertainty to explain the observed Chinese rese... Read More about Accumulation of Large Foreign Reserves in China: A Behavioural Perspective.

International Financial Reporting Standards and Noise Trading: Evidence from Central and Eastern European Countries (2013)
Journal Article
Chau, F., Dosmukhambetova, G., & Kallinterakis, V. (2013). International Financial Reporting Standards and Noise Trading: Evidence from Central and Eastern European Countries. Journal of Applied Accounting Research, 14(1), 37-53. https://doi.org/10.1108/09675421311282531

Purpose – The purpose of this paper is to examine whether the mandatory adoption of International Financial Reporting Standards (IFRS) has produced an impact on the level of noise trading and volatility dynamics in three major central and eastern Eur... Read More about International Financial Reporting Standards and Noise Trading: Evidence from Central and Eastern European Countries.