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Professor Eric C. Chang

		Quoin Professor in Finance, Chair of Finance BS, National Cheng Kung U; MBA Wright State; PhD Purdue Tel: (852) 2857 8347 Fax: (852) 2858 5614 Email: Curriculum Vitae

Research Interests
Investments, Derivative Securities, International Finance, Mutual Funds, Asset Return Seasonality, Econometrics Application to Finance

Course Taught
Derivative Securities Investments Current Topic in Financial Management (Derivatives and Bank Management)

Biography
Professor Chang is the founding director of the Centre of Financial Innovation and Risk Management. He has published many papers in top journals, including Journal of Finance, Journal of Business, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, Review of Financial Studies, etc. Professor Chang conducts executive programmes for top MNCs and has served as consultants to key financial bodies in Hong Kong, China and the United States. In addition to leading the finance team, he is the Chairman of the Faculty Board and the Director of the School of Business. Professor Chang is serving on editorial board of the following journals : International Review of Finance PACAP-Basin Finance Journal Review of Futures Markets Review of Pacific Basic Financial Markets and Policies

Publications
Tse, Wai-Man, Eric C. Chang, Leong Kwan Li and Henry M.K. Mok, “Pricing and Hedging of Discrete Dynamic Guaranteed Fund”, Journal of Risk and Insurance, forthcoming, 2008. Chang, Eric C., Joseph W. Cheng and J. Michael Pinegar, “The Factor Structure of Time-Varying Conditional Volume”, Journal of Empirical Finance, forthcoming, 2008. Chang, Eric. C., Joseph W. Cheng, and Yinghui Yu, “Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market”, Journal of Finance, forthcoming, 2007. Chang, Eric C. and Sen Dong, “Idiosyncratic Volatility, Fundamentals, and Institutional Herding: Evidence from the Japanese Stock Market,” Pacific-Basin Finance Journal, Vol. 14, Issue 2 (April 2006), pp. 135-154. Chang, Der-Chen, Eric C. Chang, Haitao Fan and Duy-Minh Nhieu, “Mathematical Analysis of the Two-Color Partial Rainbow Options”, Applicable Analysis, Vol. 84, No. 7 (July 2005), pp.737-757. Chang, Eric C. and Sonia M. L. Wong, "Political Control and Performance in China's Listed Firms", Journal of Comparative Economics, Vol. 32, No. 4, (December 2004), pp. 617 - 636. Chang, Der-Chen, Eric C. Chang, and Haitao Fan, "Mathematical Analysis of Pricing of Lookback Performance Options", Applicable Analysis, Vol. 82, Number 10, (October 2003), pp. 937 - 959. Chang, Eric C. and Keith K. P. Wong, "Cross-Hedging with Currency Options and Futures", Journal of Financial and Quantitative Analysis, Volume 38, Number 3 (September 2003), pp. 555 - 574. Chang, Eric C., K. Lam, and M.C. Lee, "An Empirical Test of the Variance Gamma Option Pricing Model", Pacific-Basin Finance Journal, Volume 10, Number 3 (June 2002), pp. 267 - 285. Chang, Eric C. and Joseph W. Cheng, "Inflation and Relative Price Variability: A Revisit", Applied Economics Letters, Volume 9, Number 5 (April 2002), pp. 325 - 330. Chang, Eric C., Joseph W. Cheng, and Ajay Khorana, "An examination of Herd Behavior in Equity Markets: An International Perspective," Journal of Banking and Finance, Volume 24, Number 10 (October 2000), pp. 1651-1679. Chang, Eric, Ray Y. Chou and Edward F. Nelling, "Market Volatility and the Demand for Hedging in Stock Index Futures," Journal of Futures Markets, Volume 20, Issue 2 (February 2000), pp. 105-125. Chang, Eric C. and Joseph W. Cheng, "Further Evidence on the Variability of Inflation and Relative Price Variability", Economics Letters, Volume 39, Number 3 (2000), pp. 71-77. Chang, Eric C., Joseph W. Cheng and J. Michael. Pinegar, "Does Futures Trading Increase Stock Market Volatility? -- The Case of the Nikkei Stock Index Futures Markets", Journal of Banking and Finance, Volume 23, Number 5 (May 1999), pp. 727-753. Madan, Dilip B., Peter Carr and Eric C. Chang, "The Variance Gamma Process and Options Pricing", European Finance Review, Volume 2, Number 1 (September 1998), pp. 79-105. Chang, Eric C., J. Michael Pinegar and Barry Schachter, "Interday Variations in Volume, Variance and Participation of Large Speculators", Journal of Banking and Finance, Volume 21, Number 6 (1997), pp. 797-810. Chang, E.C. and Locke, P.R., "The Performance and Market Impact of Dual Trading: CME Rule 552," Journal of Financial Intermediation, vol. 5, no. 1, pp. 23-48, January 1996. Chang, E.C., Eun, C. and Kolodny, R., "International Diversification through Closed End Country Funds," Journal of Banking and Finance, vol . 19, no. 7, pp. 1237-1263, October 1995. Chang, E.C., Locke, P.R., and Jain, P.C., "S&P 500 Index Futures Volatility and Price Changes around the NYSE Close," Journal of Business, vol. 68, no. 1, pp. 61-84, January 1995.


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