This study modifies the cross-sectional absolute deviation of returns (CSAD) of Chang, Cheng and Khorana's (2000) by adding trading volume variable and find significant evidence of herding in the Hong Kong stock market using daily data. Specifically, higher trading volume induces more herding....

This paper models the optimal riskiness of structured securitization deals. The deals are put together by “banks” that hold an equity piece of the deal and can exercise strategic options over the risk put into the deals. The banks face a tradeoff between the benefits of risk-taking now and...

The recent financial turmoil has triggered a credit crunch whereby illiquid, but not necessarily insolvent, banks were not able to borrow money and were forced to be liquidated, bought or bailed out. A response to this problem has been contingent convertible bonds (or CoCo bonds), which are...

A solution to city expansion under limited land availability is relocation of existing habitants, demolishing existing buildings, and redevelopment of new buildings. In the case of Chinese cities, however, such strategies have become a channel for municipalities to increase their revenue from...

This paper studies investors herd behavior on firms cross-listed in markets with different legislative regimes and levels of sophistication and yet within the same country. In addition to evidence of herding in each of China's Shanghai, Shenzhen and Hong Kong markets, our finding suggests cross...

This paper extends the conventional Value at Risk (VaR) to incorporate liquidity in intraday time horizon. Our rationale is that the Liquidity Adjusted Intraday VaR (L-VaR) is particularly relevant to day traders who are more interested in intraday market movement that could not be simply...

This paper studies the evolution of property values and the connections between shadow banking and property markets in China. We use Pooled Mean Group estimation to analyze Chinese house prices in 65 cities from 2007-2016, defining the “fundamentals” of housing prices with the Gordon...

This article is a commentary on the “Future Research Opportunities for Asian Real Estate” written by Graeme Newell, which suggested new areas of research for the Asian real estate markets. In this article, while agreeing with most of his suggestions, I also suggest an expansion to the list...

While aging population is a worldwide issue, it is more profound in Asia. Reverse mortgages are useful instrument to alleviate the continuous and steady consumption needs of retirees. The “puzzle” is why there has been rather modest uptake even in the US, UK, and Korea where it has been...

Financial Technology (Fintech) is evolving quickly within the financial system, giving rise to new forms of lending and opening up a version of shadow banking. This is particularly true in China. While Fintech finance and shadow banks can improve a banking system, they can also become new...