Dr. Wai-Man (Raymond) LIU
Résumé
Dr. Wai-Man (Raymond) LIU
Research School of Finance, Actuarial Studies & Statistics
Australian National University
Canberra, ACT 0200, Australia
Email: [email protected]
Tel: + 61 2 6125 3471 Fax: + 61 2 6125 0087
Qualification
2001 – 2005
1997
1996
1993 – 1995
Ph.D. - University of Melbourne
M Commerce (Honours) - University of Melbourne
Postgraduate Diploma in Finance - University of Melbourne
B Commerce - University of Melbourne
Career Profile
Mar 2014 – Now
Jul 2009 – Mar 2014
Jan 2012 – Jun 2012
Apr 2005 – Jun 2009
Jul 2004 – Apr 2005
Jan 2003 – Dec 2003
Associate Professor, ANU
Senior Lecturer, ANU
Research Fellow at RSFAS, ANU
Senior Lecturer, UNSW
Lecturer, UNSW
Research Fellow, Centre of Increasing Returns and Economic Organization
at the Department of Economics, Monash University
June 1998 – Dec 2002 Assistant Lecturer, Monash University
Research Grants
AFAANZ Research Grant 2011
ANU CIGS 2013, 2010, ANU FASIGS 2010
UNSW Special Research Grant 2005, 2007
UNSW Supplementary Special Research Grant 2005
UNSW Faculty Research Grant 2006
Academic Interest:
Research: Health Science, Market Microstructure, Application of Game Theory in Financial
Decision Making, Political Economy, Economics of Division of Labor and Specialization,
Teaching: Market Microstructure, Applied Investment, Advanced Investment, Corporate Finance,
Derivative, Applied Game Theory in Finance, Inframarginal Economics, and Microeconomic
Theory
Research Supervisions:
PhDs:
• Chen Wang (Chair, ongoing), ANU
• Philip Drummonds (Chair, ongoing), ANU
• Sarah Ran Xiao (ongoing), UTS
• Ahn Tu Le (2015) “Dynamic Order Placement Strategies and Stock Market Quality: Further
Evidence from a New Approach”, UNSW
• Yanlin Shi (2013) “Essays on Time Series Analysis”, ANU
Honours:
• Zach Zhi Jie Chan (2015) “Predatory trading”, ANU
• Joshua Soo (2014) “Understanding the influence of brokers’ network structure on market
quality”, ANU
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Subashini Chelvagnanam (2010) “Put-Call Parity Violation Around Earnings
Announcements in Australia”, ANU
• James Panaust (2009) “Strategic Order Activity during Pre-Opening Periods and its Impact
on Market Quality: Evidence from the Australian Equities Market”, UNSW
• Jason Kok (2008) “Can Optimal Sampling Produce a Superior Hedging Performance”,
UNSW
• Yuefei Rick Wang (2007) “Price Discovery, Intraday Return and Volatility Spillovers in
International Copper Futures Market: Evidences from London, New York, and Shanghai”,
UNSW
• Joseph Kuk (2007) “Market Manipulation and its Impact on Price Discovery in Pre-Opening
Periods: the Case of IPO firms”, UNSW
Masters:
• I have also supervised seven ANU Master Theses, including: Zhe Zhang, Jiwei Shao, Xi
Chen, Liwen Cui, Haeri Hong, Uyen Le, Tanya Mokdad on topics ranging from banking to
asset pricings.
•
Courses (Lectures only) Taught
ANU: FINM2001 Corporate Finance, FINM7008 Applied Investments, FINM8006 Advanced
Investments, FINM8017 Trading & Market, FINM7042 Applied International Financial
Management
UNSW: FINS1613 Business Finance, FINS3635 Options, Futures and Risk Management Techniques,
FINS3636 Interest Rate Risk Management, FINS5511 Corporate Finance, FINS5513 Investments
and Portfolio Selection, FINS5535 Derivative & Risk Management Techniques, FINS5536 Fixed
Income Securities and Interest Rate Derivatives, FINS4774/5574 Financial Decision Making under
Uncertainty
Monash: AFF2701 Equity Markets
Administrative Duties and Services
Jan 2013 – Dec 2014 Deputy Director of Research at RSFAS (ANU), College Research Committee
(ANU)
Jan 2012 – Dec 2012 PhD Convenor (ANU)
Grants and Scholarship Committee (ANU), HDR committee (ANU)
Jan 2011 – Dec 2011 Master of Financial Management/Master of Finance Committee (ANU)
Jan 2009 – Jun 2009 Faculty Undergraduate Program Management Committee member (UNSW),
Postgraduate Information Evenings & Events Coordinators (UNSW)
Jan 2008 – Jun 2008 Education Committee for Undergraduate (UNSW)
Jan 2006 – Jun 2009 Library Liaison Officer (UNSW)
Ad hoc reviewer for numerous international academic journals including Journal of Banking &
Finance, Journal of Financial Markets, Journal of Futures Markets, Pacific Basin Finance Journal, Corporate
Governance: An International Review, JASSA, Australian Journal of Management, the Hong Kong
Research Grant Council and the UK Government Office for Science Foresight.
Consultant to Charles-Lim Capital, an independent Asia-based firm providing investment
management services to institutions, endowments, family offices and high net worth individuals.
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Research Profile
1. Refereed Journal Publications/Research Monographs
Medical Science
1. “A prospective randomized study to evaluate a new learning tool for ultrasound-guided
regional anesthesia” with Sanjib Adhikary, Patrick McQuillan, Admir Hadzic, and
Demetrius Karanzalis. Pain Medicine, forthcoming.
2. “Avoiding costly hospitalisation at end of life: Findings from a specialist palliative care
pilot in Residential Aged Care Facilities” with Michael Chapman, Nikki Johnson, Clare
Lovell and Elizabeth Forbat. BMJ - Supportive & Palliative Care, forthcoming.
3. “Normalising and planning for death in residential care: Findings from a qualitative focus
group study of a specialist palliative care intervention” with Nikki Johnson, Clare Lovell,
Michael Chapman, and Elizabeth Forbat. BMJ - Supportive & Palliative Care, forthcoming.
4. “Body Mass Index More Than 45 kg/m2 as a Cutoff Point Is Associated with Dramatically
Increased Postoperative Complications in Total Knee Arthroplasty and Total Hip
Arthroplasty” with Jiabin Liu, Sanjib Adhikary, Stavros G. Memtsoudis and Charles M
Davis III, Journal of Arthroplasty, Vol 31, 2016, pp. 749-753.
Finance
5. “News Sentiment and the Idiosyncratic Volatility Puzzle” with Yanlin Shi and Kin-Yip Ho,
Journal of Empirical Finance, Vol 37, 2016, pp. 159-172.
6. “Public Information Arrival and Stock Return Volatility: Evidence from News Sentiment
and Markov Regime-Switching Approach” with Yanlin Shi and Kin-Yip Ho, International
Review of Economics and Finance, Vol 42, 2016, pp. 291-312.
7. “Price dynamics in global crude oil markets” with Emma Schulz and John Swieringa,
Journal of Futures Markets, Vol 35, 2015, pp. 148-162.
8. “Election cycles, political competition and bank failures” with Phong Ngo, Journal of
Financial Economics, Vol 112, 2014, pp. 251-268.
9. “Limit order revisions” with Kingsley Fong, Journal of Banking & Finance, Vol 34, 2010,
pp. 1873-85.
10. “Monitoring and limit order submission risks” Journal of Financial Markets, Vol 12, 2009,
pp. 107-141.
11. “Public information arrival and volatility of intraday stock returns” with Petko Kalev, Peter
Pham, and Elvis Jarnecic, Journal of Banking & Finance, Vol 28, 2004, pp. 1441-67.
12. “How free are free trading options?” with Kim Sawyer, Pacific-Basin Finance Journal, Vol
11, 2003, pp. 1-19.
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Economics
13. “General equilibrium analysis of hold-up problem and non-exclusive franchise contract”
with Chih-Ning Chu, Pacific Economic Review, Vol 15, 2010, pp. 674-684.
14. “Effects of political monopoly on the economic development” with Xiaokai Yang, Pacific
Economic Review, Vol 12, 2007, pp. 69-78.
15. Inframarginal Economics with Xiaokai Yang, 2009, Singapore: World Scientific Publishing.
ISBN 978-981-238-928-2
This research monograph develops an overarching framework to resurrect the classical
notion of division of labour and specialization which is the essential source of increasing
nation’s wealth. The new framework has many conceptual and policy implications different
from those of orthodox analysis. The monograph provides systematic and comprehensive
materials for applying the new framework to the study of a wide range of micro and macro
phenomena.
2. Papers under review
Medical Science
16. “Hospital-Based Acute Care within 7-days of Discharge following Outpatient Arthroscopic
Shoulder Surgery” with David N. Flynn, Nabil M. Elkassabany and Jiabin Liu. It is
currently under the 2nd round review at Anesthesia & Analgesia.
17. “A Manikin Based Evaluation of a Teaching Modality for Ultrasound Guided
Infraclavicular Longitudinal In-Plane Axillary Vein Cannulation in Comparison with
Ultrasound Guided Internal Jugular Vein Cannulation: A Pilot Study” with Sanjib
Adhikary, Patrick McQuilan, Michael Fortunato, David Owen, Arthur Berg and
Venkatesan Thiruvenkatarajan. It is currently under the 1st round review at the Journal of
Anesthesiology Clinical Pharmacology.
Finance
18. “Public News Arrival and Cross-Asset Correlation Breakdown: Implications for
Algorithmic Trading” with Kin-Yip Ho and Jing Yu. This paper was presented at the ANU
Brown Bag and Chinese University of Hong Kong. It is currently under the 2nd round
review at the International Review of Finance (A).
19. “CFD’s, Forwards, Futures and the Cost of Carry” with F. Douglas Foster and Adrian Lee.
This paper was presented at the UTS Brownbag. It is currently under the 1st round review
at the Pacific-Basin Finance Journal (A).
20. “Options on options, tradeoffs, technology and algorithms: my, how times have changed
“with F. Douglas Foster. This paper formerly titled “linking limit order books: managing
free options on options”. Earlier version was presented at the ANU, HKUST Finance
Brown Bag, Monash University, University of Melbourne, University of Sydney, University
of Technology Sydney, UNSW Brown Bag, Vanderbilt University and Asian FMA 2007. It is
currently under 1st round review at the Financial Review (A).
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4. Working Papers
Medical Science
21. “The effect of sevoflurane on QT interval prolongation in patients with diabetes mellitus”
with Venkatesan Thiruvenkatarajan.
22. “Analysis of factors influencing pre-operative expectations and the actual experience of
post-operative pain” with Brittany Hulings, Harjit Singh, Christie Mulvey, Nancy Ruth
Jarbadan and Sanjib Adhikary.
23. “The welfare of informal caregivers” with Emma Schultz.
Finance
24. “Responding to Firm Performance: The Evolution of State Ownership in East Asia” with
Richard W. Carney, Phong Ngo and Travers Child.
25. “The Impact of Broker Market Structure on Stock Liquidity” with Geoff Warren and Joshua
Soo.
26. “Dynamic limit order placement strategies: A new application of survival analysis with a
multiple-spell duration” with Kingsley Fong, Anh Tu Le and Thai-Ha Le.
27. “Strategic order submission and cancellation in pre-opening periods and its impact on price
discovery: the case of IPO firms”, with Joseph Kuk and Peter Pham. This paper was
presented at ANU, University of Sydney, Hong Kong Polytechnic University, 21st AFBC
2008 in Sydney, 3rd Annual University of Sydney Microstructure Meeting, ANU Summer
Camp 2009, FMA 2009 in Reno and AFA 2010 in Atlanta. The paper can be downloaded
from the American Finance Association Annual 2010 Meetings Abstracting Journal.
28. “Predatory Trading: Evidence Around the Routine Index Reconstitution” with Zach Zhi Jie
Chan and Emma Schultz
29. “Harnessing media attention: Corporate press releases and media coverage around
earnings announcements” with Phong Ngo and Qiaoqiao Zhu. This paper was presented at
the ANU Brown Bag, University of Adelaide, Chinese University of Hong Kong, Hong
Kong Polytechnic University, University of Melbourne, University of New South Wales,
University of Sydney, University of Technology Sydney, and Xiamen University seminar
series, 2014 FIRN Annual Conference and 2014 Eurofidai conference.
30. “Why do Foreigners Become Blockholders?” with Fariborz Moshirian, Peter Pham and
Jason Zein. This paper was presented and awarded the Runner-up Best Paper in Corporate
Finance at the 2012 Finance and Corporate Governance Conference.
31. “The impact of strategic order activity during trading halt” with James Panaust. This paper
was presented at the ANU Brown Bag, 2011 ANU Microstructure Meeting, 2011 FMA, 2010
CUHK Finance Summer Workshop, Hong Kong Polytechnic University, University of
Melbourne and UWA seminar series. This paper was selected as a semifinalist for best
paper award in market microstructure given at the 2011 FMA.
32. “Responding to Financial Crisis: The Rise of State Ownership and Implications for Firm
Performance” with Richard W. Carney and Phong Ngo. This paper was presented at the
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Regional Integration and Financial Stability Workshop (funded by CIFR) organized by Pro
VC Prof. Jenny Corbett (ANU).
33. “Volatility discovery” with F. Douglas Foster and Robert E. Whaley. This paper was
presented at the ANU Brown Bag.
34. “Migration of trading and the introduction of Single Stock Futures on the underlying U.S.
stocks” with Andre Gygax and Thomas Henker. This paper was presented at the 30th
Anniversary Conference of the Journal of Banking and Finance in Beijing, 2006, Campus for
Finance Research Conference at WHU Vallendar, Germany, 2007, the 21st AFBC 2008 in
Sydney and FMA 2009 in Reno.
Economics
35. “Voting with Your Feet: Political Competition and Internal Migration in the United States”
with Phong Ngo
36. “General equilibrium analysis of political monopoly & political competition”. This paper
was presented at the University of Hong Kong, Monash University, the International
Symposium of Economics of e-Commerce and Networking Decisions 2001, the Economic
Workshop on “Increasing Returns and Inframarginal Economics” 2002, and the Buchanan
Workshop at Virginia Polytech and State University.
5. Other Publications
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