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CBS Faculty

Dr Woon Wong, Cardiff Business School

Dr Woon K Wong
Economics Section
Office: B27
Cardiff Business School,
Colum Drive,
Cardiff, CF10 3EU

Telephone: +44 (0) 29 2087 5079
Fax: +44 (0) 29 2087 4419
Email Address: wongwk3@cardiff.ac.uk

Affiliation

Investment Management Research Unit

Research Interests

Financial markets, risk management, asset pricing and investment management

Publications
  1. Wong, W.K., Tan, D., Tian, Y., “Informed Trading and liquidity in the Shanghai Stock Exchange,” International Review of Financial Analysis (2008), doi: 10.1016/j.irfa.2008.11.002.
  2. Wong, W.K., Liu, B., Zeng, Y., “Can Price Limits Help when the Price is Falling? Evidence from Transactions Data on the Shanghai Stock Exchange,” China Economic Review (2008), doi:10.1016/j.chieco.2008.09.002.
  3. Wong, W.K., “Backtesting the Tail Risk of VaR in Holding US dollar,” Applied Financial Economics (2008), doi:10.1080/09603100802167312.
  4. Wong, W.K., Chang, M.C., Tu, A.H., 2009, “Are Magnet Effects Caused by Uninformed Traders? Evidence from Taiwan Stock Exchange,” Pacific-Basin Finance Journal 17, 28 – 40.
  5. Wong, W.K., Tu, A.H., 2009, “Market Imperfections and the Information Content of Implied Volatility and Realized Volatility,” Pacific-Basin Finance Journal 17, 58 – 79.
  6. Wong, W.K., 2008, “Backtesting Trading Risk of Commercial Banks Using Expected Shortfall,” Journal of Banking and Finance32, 1404 – 1415.
  7. Tu, A.H., Wong, W.K., Chang, M.C., 2008, “Value-at-Risk for Long and Short Positions of Asian Stock Markets,” International Research Journal of Finance and Economics 22, 135 – 143.
  8. Chang, M.C. and W.K. Wong, 2008, "The role of market makers on the Taiwan options markets," International Research Journal of Finance and Economics22, 122 – 134.
  9. Nieh, C.C., Chang, M.C., Wong, W.K., Jiang, S.J., 2008, “Liquidity provision of futures markets,” International Research Journal of Finance and Economics 22, 106 – 121.
  10. Tan, D., Tian, Y., Wong, W.K., 2007, “Liquidity and asset pricing in Chinese enterprise debt market,” China Finance Review 1, 111 – 131.
  11. Wong, W.K., 2005, “Explaining contemporaneous returns using actual and forecast earnings.” St. John’s & St. Mary’s Journal 22, 1 – 20.
  12. Abyankar A., Copeland, L., Wong, W.K., 1999, “Liffe Cycles: Intraday Evidence from the FT-SE 100 Stock Index Futures,” The European Journal of Finance, 5, 123 – 139.
  13. Subba Rao, T., Wong, W.K, 1998, “Tests of Gaussianity and linearity of multivariate stationary time series,” Journal of Statistical Planning and Inference68, 373 – 386.
  14. Abyankar A., Copeland, L., Wong, W.K., 1997, “Uncovering Nonlinear Structure in Real-Time Stock Market Indices.” Journal of Business, Economics and Statistics, 15, 1 – 14.
  15. Wong, W.K., 1997, “Frequency Domain Tests of Multivariate Gaussianity and Nonlinearity.” Journal of Time Series Analysis, 18, 181 – 194.
  16. Abyankar A., Copeland, L., Wong, W.K., 1995, “Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the U.K.,” Economic Journal, 105, 864 – 880.
  17. Abyankar A., Copeland, L., Wong, W.K., 1995, “Moment Condition Failure in High Frequency Financial Data: Evidence from the S&P 500,” Applied Economics Letters, 2, 288 – 290.
Chinese Publications
  1. (Chinese) Tan, D., Tian, Y., Wong, W.K., “Liquidity premium, within-market and cross-market flight-to-liquidity behavior,” forthcoming in Journal of Financial Research (2008).
  2. (Chinese) Fan, G., Wong, W.K., Zeng, Y., “Backtesting market risks of China equities using expected shortfall,” forthcoming in Chinese Journal of Management (2008).
  3. (Chinese) Tan, D., Tian, Y., Wong, W.K., 2008, “Characteristics and risk premium in Chinese corporate bond market.” The Journal of Quantitative & Technical Economics 2, 74 – 87.
  4. (Chinese) Tan, D., Tian, Y., Wong, W.K., “News- and No-News-Driven Innovations and Volatility Asymmetry,” forthcoming in Journal of Industrial Engineering and Engineering Management (2007).
Current Working Papers
  1. (Makes SSRN Top Ten List) Wong, W.K., Fan, G., Zeng, Y., 2008, “Capturing tail risks beyond VaR.”
  2. (Makes SSRN Top Ten List) Wong, W.K., Copeland, L., 2008, “Risk measurement and management in a crisis-prone world.”
  3. Wong, W.K., Copeland, L., Lu, Y.C., 2008, “The other side of trading story: Evidence from NYSE.”
  4. Wong, W.K., 2008, “An optimal orthogonal variance decomposition.”
  5. (Makes SSRN Top Ten List) Wong, W.K., 2007, “Backtesting Value-at-Risk based on Tail Losses.”
  6. (Makes SSRN Top Ten List) Wong, W.K., Girardin, E., 2007, “Informativeness of Order Flow: The Role of Institutions versus Individuals.”
  7. Copeland, L., Wong, W.K., Zeng, Y., 2007, “Information-based trade in the Shanghai stock market.”
  8. Lu, Y.C., Wong, W.K., 2007, “Probability of Information-based Trading as a Pricing Factor in Taiwan Stock Market.”