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Hong Kong Institute for Monetary Research

14th Central Bank Conference on The Microstructure of Financial Markets

Harbour Room, 56/F, Two International Finance Centre, Central

05 November 2018 (Monday) - 06 November 2018 (Tuesday)

Programme



5 November 2018
8:45 – 9:00 Registration and welcome coffee
9:00 – 9:15 Welcome Remarks
Cho-hoi Hui, Head of Market Research, Hong Kong Monetary Authority
9:15 – 10:15 Keynote Speech: Does Financial Market Structure Impact the Cost of Raising Capital?”
Carole Comerton-Forde, University of New South Wales Business School
10:15 – 10:35 Coffee Break
10:35 – 12:15 Session 1 – OTC Markets
"OTC Premia"
Gino Cenedese, Fulcrum Ltd
Angelo Ranaldo, University of St Gallen *
Michalis Vasios, Bank of England

Discussant: Silvia Pezzini, HKMA

"Why Trade Over-the-Counter? When Investors Want Price Discrimination"
Tomy Lee, University of Toronto *
Chaojun Wang, The Wharton School

Discussant: Christine Parlour, University of California at Berkeley

Policy discussant: Sam Langfield, European Central Bank
12:15 – 13:30 Lunch (by invitation)
13:30 – 15:10 Session 2 – Treasury Bonds
"The Fire-sale Channels of Universal Banks in the European Sovereign Debt Crisis"
Giulio Bagattini, Frankfurt School of Finance and Management
Falko Fecth, Frankfurt School of Finance and Management
Patrick Weber, Deutsche Bundesbank *

Discussant: Dragon Tang, The University of Hong Kong

"The Role of Economists in Over-The-Counter Treasury Bond Markets"
Robert James, University of Sydney *
Elvis Jarnecic, University of Sydney
Henry Leung, University of Sydney

Discussant: Pasquale della Corte, Imperial College London

Policy discussant: Jens Christensen, Federal Reserve Bank of San Francisco
15:10 – 15:30 Coffee Break
15:30 – 17:50 Session 3 – FX Markets
"Retaining Alpha: the effect of trade size and rebalance strategy on FX returns"
Michael Melvin, University of California San Diego *
Wenqiang Pan, University of California San Diego
Petra Wilkstrom, BNP Paribas

Discussant: Dagfinn Rime, BI Norwegian Business School

"The Changing Nature of Price Discovery: Evidence from the FX market 2008-2015"
Alain Chaboud, Federal Reserve Board
Erik Hjalmarsson, University of Gothenburg
Filip Zikes, Federal Reserve Board *

Discussant: Bohui Zhang, Chinese University of Hong Kong - Shenzen

"Heterogeneous Information Content of Global FX Trading"
Angelo Ranaldo, University of St Gallen
Fabricius Somogyi, University of St Gallen *

Discussant: Paolo Vitale, University of Chieti-Pescara

Policy discussant: Catherine Koch, BIS
17:50 Conference adjourns
18:15 Conference Dinner (by invitation)
6 November 2018
8:45 – 9:00 Registration and welcome coffee
9:00 – 11:20 Session 1 – Cryptocurrencies
"Bitcoin Microstructure and the Kimchi premium"
Kyoung-Jin Choi, University of Calgary
Alfred Lehar, University of Calgary *
Ryan Stauffer, University of Calgary

Discussant: Erik Theissen, University of Mannheim

"De-mystifying Cryptocurrencies - Is Pricing Rational?"
Christoph Kaserer, Technical University of Munich *
Simon van Endern, Technical University of Munich

Discussant: Sophie Moinas, Toulouse School of Economics

"A high-frequency analysis of Bitcoin Liquidity"
Alexander Brauneis, University of Klagenfurt
Roland Mestel, University of Graz
Ryan Riordan, Queen’s University
Erik Theissen, University of Mannheim *

Discussant: Laurence Lescourret, ESSEC Business School

Policy discussant: Jonathan Chiu, Bank of Canada
11:20 – 11:40 Coffee Break
11:40 – 13:10 Panel Session: The Value of Information in an Environment with Big Data
Moderator:
Howard Lee, Deputy Chief Executive, Hong Kong Monetary Authority

Panelists:
Laura Brandimarte, University of Arizona
Larry Cao, CFA Institute Hong Kong
Bernard Yeung, National University of Singapore
13:10 – 14:25 Lunch (by invitation)
14:25 – 15:25 Keynote Speech: A Rigid Exchange Rate Regime in Flexible Financial Markets – Hong Kong Case
Cho-hoi Hui, Head of Market Research, Hong Kong Monetary Authority
15:25 – 15:45 Coffee Break
15:45 – 18:05 Session 2 – Liquidity
"Liquidity Supply and Demand in the Corporate Bond Market"
Jonathan Goldberg, Federal Reserve Board
Yoshio Nozawa, Hong Kong University of Science and Technology *

Discussant: James Brugler, Melbourne Business School

"Liquidity Risk and Funding Cost"
Alexander Bechtel, University of St Gallen *
Angelo Ranaldo, University of St Gallen
Jan Wrampelmeyer, VU Amsterdam

Discussant: Dan Li, Chinese University of Hong Kong - Shenzen

"Measuring funding illiquidity in the overnight loan market"
Derek Brito, Bank of Canada
Narayan Bulusu, Bank of Canada *

Discussant: Yesol Huh, Federal Reserve Board

Policy discussant: Yalin Gunduz, Deutsche Bundesbank
18:05 Concluding Remarks
* Presenter


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