HKBU-Department of Economics

Prof. WONG, Wing Keung   ¶À¥Ã±j ±Ð±Â
BS CUHK, MS, Ph.D. Wisconsin-Madison
Professor
Department of Economics

awong@hkbu.edu.hk

Research Interests:
Financial Economics, Econometrics, Mathematical Economics, Equity Analysis, Investment Theory, Risk Management, Behavioral Economics, Operational Research, Stochastic Dominance Theory, Time Series Analysis, Bayesian Theory and Decision Theory.

Teaching Areas:
Basic Economic Principles, Mathematical Economics, Econometrics, Financial Economics

Professional Affiliations and Community Service:
1. Co-editor, Annals of Financial Economics, Journal of Risk and Financial Management.
2. Managing Editor, Finanmetrika.
3. Associate Editor, Journal of Applied Mathematics & Decision Sciences, International Economics and Finance Journal, Eurasian Journal of Business, Review of Applied Economics, Review of Development and Cooperation, International Journal of Business and Economics, etc.
4. Member of the Consultative Committee for the International Statistical Institute's Committee on Statistics in Business and Industry.
5. Member of the Board of Director, Financial Management Association (Singapore).
6. Member, the advisory board, Technical Analyst.
7. Visiting Professor, United Nations, Organisation for Economic Co-operation and Development, University of Wisconsin-Madison, The University of British Columbia, McMaster University, The University of Western Australia, Monash University, Curtin University of Technology, University of Melbourne, Yokohama National University, Tsinghua University, North-East Normal University, National Chung Hsing University, Feng Chia University, etc.
8. External Examiner or Joint Supervisor, Australia National University, University of Western Australia, Monash University, Hong Kong University, The Chinese University of Hong Kong, National University of Singapore, North-East Normal University, Uruguay University, University of Sfax, etc.
9. Visiting Professor, Department of Economics, Monash Univeristy, Australia, Spring 2004.
10. Member, program committee, Multinational Finance Society for their 2009 Conference.
11. Member, program committee, the Second Conference of the Econometric Society of Thailand held on 5-6 Jan, 2009.
12. Visiting Professor, the Aarhus School of Business, Aarhus Univeristy, Denmark, Summer 2009.
  

Selected Publications:

  1. Egozcue, M. & Wong, W.K.,  (2010),  'Gains from Diversification on convex combinations: A Majorization and Stochastic Dominance Approach',   European Journal of Opearational Research,  200:893-900.
  2. Abid, F, Mroua, M. and Wong, W.K.,  (2009),  'The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches',   Finance India,  23(2):503-526.
  3. Bai, Z., Liu H. and Wong, W.K.,  (2009),  'Enhancement of the Applicability of Markowitz's Portfolio Optimization by Utilization by Utilizing Random Matrix Theory',   Mathematical Finance,  19(4):639-667.
  4. Bai, Z., Liu, H. and Wong, W.K.,  (2009),  'On the Markowitz Mean-Variance Analysis of Self-Financing Portfolios',   Risk and Decision analysis,  1(1):35-42.
  5. Chen, H., Fausten, D.K. & Wong, W.K.,  (January 2009),  'Evolution of the Trans-Atlantic exchange rate before and after the birth of the Euro and policy implications',   Applied Economics 2009:1-13.
  6. Chen,H., Lobo, B.J. and Wong, W.K.,  (2009),  'Links between the Indian, U.S. and Chinese Stock Markets: Evidence from a fractionally integrated VECM',   Global Review of Business and Economic Research,  Forthcoming.
  7. Chiang, T.C., Lean, H.H. and Wong, W.K.,  (2009),  'Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches',   Journal of Risk and Financial Management,  Forthcoming.
  8. Dhomopongsa, S., Nguyen, H.T., Sriboonchita, S. & Wong, W.K.,  (2009),  Stochastic Dominance and Applications to Finance, Risk and Economics,  Chapman and Hall/CRC, Taylor and Francis Group, Boca Raton, Florida, USA.
  9. Ezozcue Martin, Garcia L.F., Wong W. K.,  (2009),  'On some Covariance Inequalities for Monotonic and Non- Function',   Journal of Inequalities,  forthcoming.
  10. Khan, H., Qiao, Z., Wong, W.K. and Yeo, S.K.,  (2009),  'World Globalization Spread Contagion: An Empirical Investigation',   Review of Development and Cooperation,  Forthcoming.
  11. Kung, J.J. and Wong, W.K.,  (2009),  'Efficiency of Taiwan Stock Market',   Japanese Economic Review,  Forthcoming.
  12. Kung, J.J. and Wong, W.K.,  (2009),  'Profitability of Technical Analysis in Singapore Stock Market: Before and After the Asian Financial Crisis',   Journal of Economic Integration,  24(1):133-150.
  13. Lam K., Liu. T. and Wong W.K.,  (2009),  'A Quantitative Behavioral Model and Its Implications for Market Volatility, Underraction, and Overreaction, European Journal of Operational Reearch',  forthcoming:.
  14. Qiao, Z. and Wong, W.K.,  (2009),  'Univariate and Bivariate GARCH Analyses for the volume versus GARCH effects, ',  in Professor Cheng-Few Lee (eds.),  Handbook of Quantitative Finance,  Vol I and II.
  15. Qiao, Z., Liew V.K.S. and Wong, W.K.,  (2009),  'Examining the impact of the US IT Stock Market on Other IT Stock Markets',  in Professor Cheng-Few Lee (eds.),  Handbook of Quantitative Finance,  Vol I and II.
  16. Qiao, Z., Smyth, R. and Wong, W.K.,  (2009),  'Volatility Switching and Regime Interdependene Between Information Technology Stocks 1995-2005',   Global Finance Journal,  19:139-156.
  17. Qiao,Z., McAleer, M. and Wong, W.K.,  (2009),  'Linear and Nonlinear Causality of Consumption Growth and Consumer Attitudes',   Economics Letters,  102(3):161-164.
  18. Songsak Sriboonchita and Wong Wing Keung, Sompong Dhompongsa, Hung T. Nguyen,  (2009),  Stochastic Dominance and Applications to Finance, Risk and Economics,  Chapman and Hall/CRC, Taylor and Francis Group,Boca Ration, Florida, UAS.
  19. Wong, W.K. and McAleer, M.,  (2009),  'Mapping the Presidential Election Cycle in US Stock Markets',   Mathematics and Computers in Simulation,  Forthcoming.
  20. Wong, W.K., Lien, D. and Lean, H.H.,  (2009),  'Preferences of Futures or Stocks? A Stochastic Dominance Study in Malaysian Markets',   Advances in Investment Analysis and Portfolio Management,  Forthcoming.
  21. Wong, W.K., Penm, J. and Terrell, R.D.,  (2009),  'Predictability of Technical Analysis on Singapore Stock Market, Before and After the Asian Financial Crisis ',   International Journal of Service Technology and Management,  Forthcoming.
  22. Wong, W.K., Thompson, H.E. and Teh, K.,  (2009),  'Was there Abnormal Trading in the S&P 500 Index Options Prior to the September 11 Attacks?',   Multinational Finance Journal,  Forthcoming.
  23. Zheng, Y. and Wong, W.K.,  (2009),  'Mean, Volatility Spillover and Time-varying Conditional Dependence in Chinese Stock Markets',   Emerging Markets Letter,  Forthcoming.
  24. Chiang T.C., Qiao Z., Wong W.K.,  (2009),  'New Evidience on the Relation between Return Volatility an Trading Volume',   Journal of Forecasting,  forthcoming.
  25. Liu S., Heyde C.C., Wong W. K.,  (2009),  'Moment matrices in conditional heteroskedastic models under elliptical distribution with applicationsin AR-CH model',  forthcoming:.
  26. Chen, H., Smyth R. and Wong, W.K.,  (2008),  'Is Being a Super-Power More Important Than Being Your Close Neighbor? Effects of Movements in the New Zealand and United States Stock Markets on Movements in the Australian Stock Market',   Applied Financial Economics,  18:9:1-15.
  27. Fong, W.M., Lean, H.H. and Wong, W.K.,  (2008),  'Stochastic Dominance and Behavior towards Risk: The Market for Internet Stocks',   Journal of Economic Behavior and Organization,  68(1):194-208.
  28. Foo, S.Y., Wong, W.K. & Chong, T.L.,  (2008),  'Are the Asian Equity Markets more Interdependent after the Financial Crisis? ',   Economics Bulletin ,  6(16):1-7.
  29. Lam, K., Liu, T., and Wong W.K.,  (2008),  'The Magnitude Effect in the Over-and-underreaction in International Markets',   International Journal of Finance,  20(3):4833-4862.
  30. Lean, H.H., Wong, W.K. and Zhang, X.,  (2008),  'Size and Power of Stochastic Dominance Tests',   Journal of Statistical Computation and Simulation,  79:30-48.
  31. Leung, P.L. and Wong, W.K.,  (2008),  'On testing the equality of the multiple Sharpe Ratios, with application on the evaluation of iShares',   Journal of Risk,  10(3):1-16.
  32. Leung, P.L. and Wong, W.K.,  (2008),  'Three-factor Profile Analysis with GARCH Innovations',   Journal of Statistical Computation and Simulation,  77(1):1-8.
  33. Liao, Z. and Wong, W.K.,  (2008),  'Major Considerations of Internet e-Banking Services: The Customer Perspective',   Journal of Operational Research Society,  59(9):1201-1210.
  34. Qiao, Z., Chiang, T.C. and Wong, W.K.,  (2008),  'Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets',   Journal of International Financial Markets, Institutions and Money,  18:425-437.
  35. Wong, W.K. and Chan, R.,  (2008),  'Markowitz and Prospect Stochastic Dominances',   Annals of Finance,  4(1):105-129.
  36. Wong, W.K. and Ma, C.,  (2008),  'Preferences over Location-Scale Family',   Economic Theory,  37(1):119-146.
  37. Wong, W.K. Phoon, K.F. and Lean, H.H.,  (2008),  'Stochastic dominance analysis of Asian hedge funds',   Pacific-Basin Finance Journal ,  16(3):204-223.
  38. Zhuo, Q., Li, Y.M. and Wong, W.K.,  (2008),  'Policy Change and Lead-Lag Relations among China's Segmented Stock Markets',   Journal of Multinational Financial Management,  18:276-289.
  39. Fong, W.M. and Wong, W.K.,  (2007),  'The Stochastic Component of Realized Volatility',   Annals of Financial Economics,  2:57-66.
  40. Gasbarro, D., Wong, W.K. and Zumwalt, J.K.,  (2007),  'Stochastic Dominance Analysis of iShares',   European Journal of Finance,  13:89-101.
  41. Lam, W.S. V., Chong, T.L.T. and Wong, W.K.,  (2007),  'Profitability of Intraday and Interday Momentum Strategies',   Applied Economic Letters,  14:1103-1108.
  42. Lean, H.H., Smyth, R. and Wong, W.K.,  (2007),  'Revisiting Calendar Anomalies in Asian Stock Markets Using a Stochastic Dominance Approach',   Journal of Multinational Financial Management,  17(2):125-141.
  43. Qiao, Z., Liew, K.S.V. and Wong, W.K.,  (2007),  'Does the US IT Stock Market Dominate Other IT Stock Markets: Evidence from Multivariate GARCH Model',   Economics Bulletin,  6(27):1-7.
  44. Shrestha, K., Thompson, H.E. and Wong, W.K.,  (2007),  'Are the Mortgage and Capital Markets Fully Integrated? A Fractional Heteroscedastic Cointegration Analysis',   International Journal of Finance,  19(3):4495-4513.
  45. Wong, W.K.,  (2007),  'Stochastic dominance and mean-variance measures of profit and loss for business planning and investment',   European Journal of Operational Research,  182:829-843.
  46. Wong, W.K.. Penm, J.H.W. and Service, D.,  (2007),  'Are Mortgage and Capital Markets Integrated in the USA? A Study of Time-Varying Cointegration',   International Journal of Service Technology and Management,  8:403-420.
  47. Broll, U., Wahl, Jack E. and Wong, W.K.,  (2006),  'Elasticity of Risk Aversion and International Trade',   Economics Letters,  92(1):126-130.
  48. Fong, W.M. and Wong, W.K.,  (2006),  'The Modified Mixture of Distributions Model: A Revisit',   Annals of Finance,  2(2):167-178.
  49. Halim, M., Lean, H.H. and Wong, W.K.,  (2006),  'Impacts of Crises on Dynamic Linkages between Financial and Capital Markets',   Labuan Bulletin of International Business & Finance,  4:43-59.
  50. Kung, J.J. and Wong, W.K.,  (2006),  'The effects of coupon frequency on bond pricing',   Empirical Economics Letters,  6(5):369-380.
  51. Lam, K., Wong, C.M. and Wong, W.K.,  (2006),  'Variance Ratio Test and General Mean Reversion Model',   Journal of Applied Mathematics and Decision Sciences,  2006:1-21.
  52. Wong, W.K.,  (2006),  'Stochastic Dominance Theory for Location-Scale Family',   Journal of Applied Mathematics and Decision Sciences,  2006:1-10.
  53. Wong, W.K., Agarwal, A. and Wong, N.T.,  (2006),  'The Disppearing Calendar Anomalies in the Singapore Stock Market',   Lahore Journal of Economics,  11(2):123-139.
  54. Wong, W.K., Du, J. and Chong, T.T.L.,  (2006),  'Do the technical indicators reward chartists in study on the stock markets of Chinese mainland, Hong Kong and Taiwan?',   China Journal of Finance,  11:1-25.
  55. Wong, W.K., Khan, H. and Du, J.,  (2006),  'Money, Interest Rate, and Stock Prices: New Evidence from Singapore and USA',   Singapore Economic Review,  51(1):31-52.
  56. Wong, W.K., Penm, J.H.W. and Qiao, Z.,  (2006),  'Revisit of the volume versus GARCH effects by Univariate and Bivariate GARCH models: Evidence from US Stock Markets',   International Economics and Finance Journal,  1(1):47-66.
  57. Wong, W.K., Penm., J.H.W. and Terrell, R.D.,  (2006),  'Financial Integration and the China Stock Market',  in Peter Wilson (eds.),  Economic Policies and Social Welfare in the 21st Century - Challenges and Responses for China and Thailand,  Thomson Publication, U.K..
  58. Wong, W.K., Thompson, H.E., Wei, S. and Chow, Y.F.,  (2006),  'Do Winners perform better than Losers? A Stochastic Dominance Approach',  4:219-254.
  59. Aquino, K.P., Poshakwale S. and Wong, W.K.,  (2005),  'Is it still Worth Diversifying Internationally with ADRs? ',   International Journal of Finance,  17(3):3622-3643.
  60. Fong, W.M., Wong, W.K. and Lean, H.H.,  (2005),  'Stochastic Dominance and the Rationality of the Momentum Effect across Markets',   Journal of Financial Markets,  8:89-109.
  61. Wong, W.K. and Bian G.,  (2005),  'Robust Risk Analysis of Multiple Regression Model with Non-normal Error',   Risk Letters,  1(4).
  62. Wong, W.K. and Bian, G.,  (2005),  'Robust Estimation of Multiple Regression Model with symmjetric innovations and Its Applicability on Asset Pricing Model',   Eurasian Review of Economics and Finance,  1(4).
  63. Wong, W.K. and Chan, L.,  (2005),  'Lucky 13? Does The Singapore equities market move in 13-year cycles?',   The Journal of Technical Analysis Society, UK,  54:3-4.
  64. Wong, W.K. and Guorui, B.,  (2005),  'Estimating Parameters in Autoregressive Models with asymmetric innovations',   Statistics and Probability Letters,  71(1):61-70.
  65. Wong, W.K., Du, J. and Chong, T.T.L.,  (2005),  'Do the technical indicators reward chartists in Greater China stock exchanges?',   Review of Applied Economics,  1(2):183-205.
  66. Wong, W.K., Leung, P.L. and Xu, J.,  (2005),  'The GARCH effects on the Volume of China Stock Markets',   International Journal of Finance,  17(1):3290-3329.
  67. Agarwal, A., Penm, J.H.W., Wong, W.K. and Martin, L.M.,  (2004),  'ASEAN DOLLAR: A Common Currency Establishment for Stronger Economic Growth of ASEAN Region',   Finance India,  18(2):453-481.
  68. Lean, H.H. and Wong, W.K.,  (2004),  'Impact of Other Stock Markets on China',   China Journal of Finance,  2(2):81-108.
  69. Penm, J. and Wong, W.K.,  (2004),  'Is Technical Analysis useful in Undertaking Stimulations of Stock Market Movements?',  in Terrell, R.D. and Brailsford, T.J. (ed.),  Collaborative Research in Econometrics and Quantitative Finance: Financial Market Intergation,  Evergreen Publishing, ACT, Australia.
  70. Tahir, M.F. and Wong, W.K.,  (2004),  'Linkage Between Stock Market prices and Exchange Rate: A Causality Analysis for Pakistan',   Pakistan Development Review,  43(4):639-647.
  71. Wong, W.K. aand Chan, R.,  (2004),  'The Estimation of the Cost of Capital and its Reliability',   Quantitative Finance,  4(3):365-372.
  72. Wong, W.K., Agarwal A. and Wong, N.T.,  (2004),  'Re-looking the Day-of-the-Week Effects in the Asian Markets',   Empirical Economics Letters,  3(3):101-117.
  73. Wong, W.K., Agarwal, A. and Du J.,  (2004),  'Financial Integration for India Stock Market, a Fractional Cointegration Approach',   Finance India,  18(4):1581-1604.
  74. Wong, W.K., Penm, J.H.W., Terrell R.D. and Lim, K.Y.C.,  (2004),  'The Relationship between Stock Markets of Major Developed Countries and Asian Emerging Markets',   Journal of Applied Mathematics and Decision Sciences,  8(4):201-218.
  75. Chang, W.C., Wong, W.K. and Koh, B.K.,  (2003),  'Chinese Values in Singapore: Traditional and Modern',   Asian Journal of Social Psychology,  6:5-29.
  76. Wong, W.K., Manzur, M. and Chew, B.K.,  (2003),  'How Rewarding is Technical Analysis? Evidence from Singapore Stock Market',   Applied Financial Economics,  13(7):543-551.
  77. Wan, H.J. and Wong, W.K.,  (2001),  'Contagion or Inductance: Crisis 1997 Reconsidered',   Japanese Economic Review,  52(4):372-380.
  78. Wong, W.K., Chew, B.K.and Sikorski, D.,  (2001),  'Can P/E ratio and bond yield be used to beat stock markets?',   Multinational Finance Journal,  5(1):59-86.
  79. Wong, W.K., R.B. Miller and K. Shrestha,  (2001),  'Maximum Likelihood Estimation of ARMA Model with Error Processes for Replicated Observation',   Journal of Applied Statistical Science,  10(4):287-297.
  80. Tiku, M.L., Wong, W.K., Vaughan, D.C. and Bian, G.,  (2000),  'Time series models with nonnormal innovations: symmetric location-scale distributions',   Journal of Time Series Analysis,  21(5):571-596.
  81. Wong, W.K. and Bian, G.,  (2000),  'Robust Bayesian Inference in Asset Pricing Estimation',   Journal of Applied Mathematics & Decision Sciences,  4(1):65-82.
  82. Li, C.K. and Wong, W.K.,  (1999),  'Extension of stochastic dominance theory to random variables',   RAIRO Recherche Operationnelle,  33(4):509-524.
  83. Manzur, M., Wong, W.K. and Chau, I.C.,  (1999),  'Measuring international competitiveness: experience from East Asia',   Applied Economics,  31(11):1383-1391.
  84. Tiku, M.L., Wong, W.K. amd Bian, G.,  (1999),  'Time series models with asymmetric innovations',   Communications in Statistics: Theory and Methods,  28(6):1331-1360.
  85. Tiku, M.L., Wong, W.K. and Bian, G.,  (1999),  'Estimating Parameters in Autoregressive Models in Non-normal Situations: symmetric Innovations',   Communications in Statistics: Theory and Methods,  28(2):315-341.
  86. Wong, W.K. and Li, C.K.,  (1999),  'A note on convex stochastic dominance theory',   Economics Letters,  62:293-300.
  87. Chang, W.C. and Wong, W.K.,  (1998),  'Chinese values and achievement motivation: testing a causal model',   Asian Psychologist,  1(1):15-23.
  88. Chang, W.C. and Wong, W.K.,  (1998),  'Rational Traditionalism: Chinese Values in Singapore',  in Hank Lim and Ranjit Singh (ed.),  Values and Development: A Multidisciplinary Approach with Some Comparative Studies,  the Centre for Advanced Studies, National University of Singapore Press.
  89. Tiku, M.L. and Wong, W.K.,  (1998),  'Testing for unit root in AR(I) model using three and four moment approximations',   Communications in Statistics: Simulation and Computation,  27(1):185-198.
  90. Bian, G. amd Wong, W.K.,  (1997),  'An Alternative Approach to Estimate Regression Coefficients',   Journal of Applied Statistical Science,  6(1):21-44.
  91. Chang, W.C., Wong, W.K., Teo, G. and Fam, A.,  (1997),  'The motivation to achieve in Singapore: In search of a core construct',   Personality and Individual Differences,  23(5):885-895.
  92. Phang, S.Y. and Wong, W.K.,  (1997),  'Government policies and private housing prices in Singapore',   Urban Studies,  34(11):1819-1829.
  93. Thompson, H.E. and Wong, W.K.,  (1996),  'Revisiting 'Dividend Yield Plus Growth' and Its Applicability',   Engineering Economist,  Winter, 41(2):123-147.
  94. Chang, W.C, Teo, G. and Wong W.K,  (1995),  The Social and Individual Oriented Style of Achievement Motivation in Singapore Chinese, (in Chinese),  Department of Psychology, National Taiwan Univeristy Press.
  95. Thompson, H.E. and Wong, W.K.,  (1991),  'On the Unavoidability of 'Unscientific' Judgment in Estimating the Cost of Capital',   Managerial and Decision Economics,  12:27-42.
  96. Matsumura, E.M., Tsui, K.W. and Wong, W.K.,  (1990),  'An Extended Multinomial-Dirichlet Model for Error Bounds for Dollar-Unit Sampling',   Contemporary Accounting Research,  6(2-I):485-500.
  97. Wong, W.K. and Miller, R.B.,  (1990),  'Analysis of ARIMA-Noise Models with Repeated Time Series',   Journal of Business and Economic Statistics,  8(2):243-250.