Joseph K. W. Fung

Hong Kong Baptist University

Lecturer of Finance

Department of Economics

Kowloon, Hong Kong

Hong Kong

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 39,026

in Total Papers Downloads

1,510

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (14)

1.

The Total Costs of Subscription and the Underpricing of Ipos

Number of pages: 14 Posted: 06 May 2004
Joseph K. W. Fung, Louis T. W. Cheng and Kam C. Chan
Hong Kong Baptist University, The Hang Seng University of Hong Kong - Department of Economics and Finance and Western Kentucky University - Department of Accounting and Finance
Downloads 235 (162,526)

Abstract:

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Initial public offerings, Asian IPOs, Non-discretionary allocation

2.

Order Imbalance and the Pricing of Index Futures

HKIMR Working Paper No. 13/2006
Number of pages: 24 Posted: 23 Aug 2007
Joseph K. W. Fung
Hong Kong Baptist University
Downloads 232 (164,503)
Citation 3

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3.

The Information Content of Option Implied Volatility Surrounding the 1997 Hong Kong Stock Market Crash

HKIMR Working Paper No. 21/2005
Number of pages: 23 Posted: 06 Feb 2008
Joseph K. W. Fung
Hong Kong Baptist University
Downloads 216 (176,143)
Citation 3

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4.

Order Imbalance and the Dynamics of Index and Futures Prices

HKIMR Working Paper No. 7/2007
Number of pages: 29 Posted: 21 Aug 2007
Joseph K. W. Fung and Philip L. H. Yu
Hong Kong Baptist University and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 206 (184,066)
Citation 1

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5.

Do Derivative Markets Contain Useful Information for Signaling 'Hot Money' Flows?

HKIMR Working Paper No.12/2010
Number of pages: 48 Posted: 22 Jun 2010
Joseph K. W. Fung, Robert I. Webb and Wing H. Chan
Hong Kong Baptist University, University of Virginia - McIntire School of Commerce and Wilfrid Laurier University - School of Business & Economics
Downloads 150 (242,513)

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6.

Initial Day Return and Underpricing Cost in Advance Payment Initial Public Offerings

HKIMR Working Paper No. 35/2009
Number of pages: 43 Posted: 22 Jun 2010
Joseph K. W. Fung and Sanry Y.S. Che
Hong Kong Baptist University and affiliation not provided to SSRN
Downloads 144 (250,639)
Citation 1

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7.

Expiration-Day Effects - An Asian Twist

HKIMR Working Paper No. 1/2007
Number of pages: 24 Posted: 21 Aug 2007
Joseph K. W. Fung and Haynes Yung
Hong Kong Baptist University and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 127 (276,065)
Citation 1

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Asian-style settlement;index derivatives;expiration-day effects

8.

The Performance of Passively-Managed Hedged ETFs

Number of pages: 30 Posted: 16 Jan 2020 Last Revised: 17 Mar 2021
Jason M. K. Cheng, Joseph K. W. Fung and FY Eric Lam
Hong Kong Polytechnic University, Hong Kong Baptist University and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 108 (310,011)

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Expense Ratio; Fund Performance; Hedged Exchange-traded Funds; Tracking Error

9.

Liquidity Crunch in Late 2008: High-Frequency Differentials Between Forward-Implied Funding Costs and Money Market Rates

HKIMR Working Paper No.26/2010
Number of pages: 23 Posted: 29 Oct 2010
Matthew S. Yiu, Joseph K. W. Fung, Lu Jin and Wai-Yip Alex Ho
Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), Hong Kong Baptist University, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 70 (403,966)

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Financial Crisis, Intraday Liquidity, CIP Deviation, Monetary Policy

10.

Interest Rate Differentials Under an Exchange Rate Convertibility Zone: A Carry Trade Perspective

HKIMR Working Paper 16/2019
Number of pages: 29 Posted: 02 Jan 2020
Joseph K. W. Fung and FY Eric Lam
Hong Kong Baptist University and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 22 (622,934)

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Asymmetric Interest Rates, Exchange Rate Loss, Robust Inference, Linked Exchange Rate System, Convertibility Undertaking, Market Efficiency

11.

Pricing Efficiency in a Thin Market with Competitive Market Makers: Box Spread Strategies in the Hang Seng Index Options Market

Posted: 12 May 2004
Joseph K. W. Fung, Henry M.K. Mok and Kenneth Wong
Hong Kong Baptist University, The Chinese University of Hong Kong (CUHK) - Department of Decision Sciences & Managerial Economics and Hong Kong Baptist University - Finance & Decision Sciences

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Box spread, price rationality, thin market, market makers, bid-ask quotes, limits to arbitrage

12.

The Lead-Lag Relation between Spot and Futures Markets Under Different Short-Selling Regimes

Posted: 04 Oct 2002
Joseph K. W. Fung, Li Jiang and Louis T. W. Cheng
Hong Kong Baptist University, Hong Kong Polytechnic University and The Hang Seng University of Hong Kong - Department of Economics and Finance

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lead-lag relation, index futures, spot market, short-selling, informational efficiency

13.

Index Options-Futures Arbitrage: A Comparative Study with Bid/Ask and Transaction Data

Posted: 15 Oct 2001
Joseph K. W. Fung and Henry M.K. Mok
Hong Kong Baptist University and The Chinese University of Hong Kong (CUHK) - Department of Decision Sciences & Managerial Economics

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14.

Early Unwinding Strategy in Index Options-Futures Arbitrage

Posted: 22 Oct 1998
Louis T. W. Cheng, Joseph K. W. Fung and Castor W. S. Pang
The Hang Seng University of Hong Kong - Department of Economics and Finance, Hong Kong Baptist University and Hong Kong Baptist University (HKBU)

Abstract:

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