The First XMU-UCD Workshop on Finance
(Xiamen, China, 2013)
Organizers:
• Wang Yanan Institute for Studies in Economics, Xiamen University
• Department of Finance, School of Economics, Xiamen University
• Michael Smurfit Graduate School of Business, University College Dublin
• Financial Mathematics and Computation Cluster, University College Dublin, Dublin City University and National University of Ireland, Maynooth
June 13-14, 2013
June 13, 2013 Room A501, Econ. Building
8:30－8:40 Opening Remarks
8:40 – 10:10 Session 1
Chair: Guojin Chen
[1] Can Metropolitan Housing Risk Be Diversified? A Cautionary Tale from the Recent Boom and Bust, John Cotter, Stuart Gabriel and Richard Roll, Financial Mathematics and Computation Cluster (FMC), University College Dublin
[2] Testing for parameter constancy of GARCH models, Bin Chen, University of Rochester, and Yongmiao Hong, Cornell University
[3] Quantitative Analysis in Accounting and Finance, Jevons Lee, Tulane University
10:10 - 10:40 Workshop Photo and Coffee Break
10:40－11:40 Session 2
Chair: John Cotter
[1] The Euro area sovereign credit risks and the German yield curve: A diffused trouble, Carlo A. Favero, Bocconi University, Shicheng Huang and Linlin Niu, Xiamen University
[2] Conditional Equity Premia and Realized Jump Risk, Hui Guo, Zhentao Liu, Kent Wang, Hao Zhou,Xiamen University
11:50－14:30 Lunch
14:30－16:00 Session 3
Chair: Tony Brabazon
[1] A long run risks model with rare disaster, Guojin Chen, Yu Ren, Jinyang Yu, Xiamen University
[2] Consumption-Based CAPM with Expense Shocks, Yu Ren, Qin Wang, Yufei Yuan, Xiamen University
[3] Cointegration of Durable Consumption in Asset Returns, Guojin Chen, Zhiwu Hong, Yu Ren, Xiamen University
16:00－16:30 Coffee Break
16:30 – 18:00 Session 4
Chair: Qian Han
[1] In vino veritas?: Fine wine as an asset class,Tony Brabazon, FMC, University College Dublin
[2] Expected option returns, Qian Han, Xiamen University
[3]Arbitrage Activity and Asset Pricing Anomalies, Niall McGeever, FMC, University College Dublin
[4] Diversification benefits of commodity futures: a copula approach, Jufang Liang, Xiamen University
[5] Commodity Futures Hedging, Risk Aversion and the Hedging Horizon, Conlon, Thomas, John Cotter, Ramazan Gencay, FMC, University College Dublin
[6] International Diversification and the Investor Horizon, Conlon, Thomas, John Cotter, Ramazan Gencay, FMC, University College Dublin
18:15 Dinner
June 14, 2013 Room A501, Econ. Building
8:40 – 10:10 Session 5
Chair: Mouhua Liao
[1] Sources of Investment Funds, Aggregate Production Function and Economy Growth– Estimate Based on China Province-level Panel Data, Mouhua Liao, Xiamen University, Dan Liu, Shanghai University of Finance and Economics, Yifei Zheng, Xiamen University
[2] An Empirical Investigation of Price Impact: An Agent-based Modelling Approach
Wei Cui, FMC, University College Dublin
[3] The Network of Inter-Dealer Trading in the Over-the-Counter Market, Zhuo Zhong, Department of Economics, Cornell University
10:10－10:40 Coffee Break
10:40－11:40 Session 6
Chair: Yufei Yuan
[1] What Determines the House Supply in China, Yu Ren, Renshui Wu, Yufei Yuan, Xiamen University
[2] Synchronous Price Discovery of Cross-listings, Haiqiang Chen, Xiamen University
11:50 Lunch
