| 【名称】庄太量 【英文名】 Chong Tai Leung 【专家简历】 庄太量教授于1991年毕业于香港中文大学统计系获得学士学位，于1995年毕业于University of Rochester，U.S.A，获得经济学博士学位，之后在香港中文大学做助教，并于2000年提升为副教授。庄太量有50多部专著发表在核心期刊上，包括Journal of Econometrics (single-authored), Econometric Theory (single-authored), Econometrics Journal (single-authored), Studies in Nonlinear Dynamics and Econometrics, Pacific-Basin Finance Journal and Economics Letters。庄太量是四种学术期刊的编委会成员。 【主要研究领域】 计量经济学和中国的财政市场 【近期发表著作】 （计量经济方面） [38] "Generic Consistency of the Break-Point Estimator under Specification Errors in a Multiple-Break Model," (with Jushan Bai, Haiqiang Chen and Xin Wang), Econometrics Journal, revised resubmission. [37] "The Synergy of Combining Linear and Nonlinear Trading Rules," (with Melvin Hinich and Tau-Hing Lam), Studies in Nonlinear Dynamics & Econometrics, revised resubmission. [36] "A Class Test for Fractional Integration," (with Melvin Hinich), Studies in Nonlinear Dynamics & Econometrics, 11, 2007, No. 2, Article 5. (Top 10 most popular article of the journal) [35] "The Aggregated Structural-Change Model," (with Isabel Yan and Guoxin Liu), Economics Bulletin, 3, January 2007, no.2, pp. 1-10. [34] "Estimation of Autoregressive Model in the Presence of Measurement Errors," (with Venus Liew, Yuanxiu Zhang and Chi-Leung Wong), Economics Bulletin, 3, May 2006, no. 12, pp. 1-10. [33] "The Polynominal Aggregated AR(1) Model," Econometrics Journal, 9, March 2006, pp. 98-122. (Top 20 most popular article of the journal) [32] "Autoregressive Lag Length Selection Criteria in the Presence of ARCH Errors," (with Venus Liew), Economics Bulletin, 3, April 2005, no. 19, pp. 1- 5. [31] "Generic Consistency of the Break-Point Estimator under Specification Errors," Econometrics Journal, 6, June 2003, pp. 167-192. [30] "Time Series Properties of the Aggregated AR(2) Processes," (with K.T. Wong), Economics Letters, 73, December 2001, pp. 325-332. [29] "Structural Change in AR(1) Models," Econometric Theory, 17, No. 1, February 2001, pp. 87-155. (The most popular and the longest article of the journal) [28] "Estimating the Locations and Number of Change Points by the Sample-Splitting Method," Statistical Papers, 42, No. 1, 2001, pp. 53-79 [27] "Estimating the Differencing Parameter via the Partial Autocorrelation Function," Journal of Econometrics, 97, August 2000, 365-381. [26] "Asymptotic Distribution of the Sup-Wald Statistic under Specification Errors," Structural Change and Economic Dynamics, 10, 1999, pp. 421-430 [25] "Estimating the Fractionally Integrated Process in the Presence of Measurement Errors" (with C.S. Lui), Economics Letters, 63, June 1999, pp. 285-294. [24] "Partial Parameter Consistency in a Misspecified Structural Change Model," Economics Letters, 49, October 1995, pp. 351-357. （中国经济方面） [23] "Openness and Productivity in China" (with Isabel Yan and W. H. Kwok), China Economic Review, revised resubmission. [22] "An Examination of the Underpricing of H-Share IPOs in Hong Kong" (with Isabel Yan and Shuo Yuan), Review of Pacific Basin Financial Markets and Policies, forthcoming. [21] "Testing for Structural Change in the Non-Tradable Share Reform of the Chinese Stock Market " (with Fang Huang and Jun Su), The Chinese Economy, forthcoming. [20] "On the Convergence of the Chinese and Hong Kong Stock Markets: A Cointegration Analysis of the A and H Shares" (with Qian Su and Isabel Yan), Applied Financial Economics, forthcoming. [19] "The Revaluation and Future Adjustment of Renminbi" (with Ben Everard), The Chinese Economy, 40, September/October 2007. [18] "Determining the Contribution to Price Discovery for Chinese Cross-listed Stocks" (with Qian Su), Pacific-Basin Finance Journal, 15, April 2007, pp. 140-153. (Top 25 most downloaded article of the journal) [17] "The Impact of the 1997 Handover on the Efficiency of the Hong Kong Stock Market" (with Lily Lok), Singapore Economic Review, 52, no. 1, 2007, pp. 27-38. [16] "On the Co-movement of A and H Shares" (with Qian Su), The Chinese Economy, 39, September/October 2006, pp. 68-86. [15] "Do the Technical Indicators Reward Chartists in Greater China Stock Exchanges?" (with Wing-Keung Wong and Jun Du), Review of Applied Economics, 1, 2005, no. 2, pp. 183-205. (Reprinted in China Journal of Finance, 11, 1-25.) （财政方面） [14] "Can Trading Rules Beat the G7 Stock Market?" (with W.K. Ng and Venus Liew), Quantitative Finance, revised resubmission. [13] "International Linkages of the Japanese Stock Market" (with Isabel Yan and Ying- Chiu Wong), Japan and the World Economy, forthcoming. [12] "Technical Analysis and the London Stock Exchange: Testing the MACD and RSI Rules using the FT30" (with W.K. Ng), Applied Economics Letters, forthcoming. [11] "Profitability of Intraday and Interday Momentum Strategies" (with Vincent Lam and W. K. Wong), Applied Economics Letters, forthcoming. [10] "A Comparison of MA and RSI Returns with Exchange Rate Intervention" (with Thomas C.S. Shik), Applied Economics Letters, 14, May 2007, pp. 371-383. [9] "The Risk-Adjusted Trading Rule Profits in Currency Spot Cross-rates" (with Thomas C.S. Shik), Applied Financial Economics Letters, 3, issue 2, March 2007, pp. 71-76. (Lead Article). [8] "Profitability of the Directional Indicators" (with Vincent Lam), Applied Financial Economics Letters, 2, November 2006, pp. 401-406. [7] "Is the Yen-European Cross-rate Market Efficient?" (with L.M. Chiang and Venus Liew), International Economics and Finance Journal, 1, no. 1, June 2006, pp. 29-46. [6] "Prostick vs Candlestick: A comparison of trading strategies using modal and closing price data," (with Quincy C.F. Chan), The Technical Analyst, April 2004, pp. 32-34. [5] "An Empirical Comparison of Moving Average Envelopes and Bollinger Bands," (with Joseph M.J. Leung), Applied Economics Letters, 10, April 2003, pp. 339-341. （计量经济应用和理论方面） [4] "Hedonic Pricing Models for Vehicle Registration Marks" (with Xin Du), Pacific Economic Review, forthcoming. [3] "Two-sided Matching, Who Marries Whom? And what Happens upon Divorce?" Economics Bulletin, 4, June, 2006, no. 21, pp. 1-7. [2] "Are Asian Real Exchange Rates Stationary?" (with Venus Liew and A.Z. Baharumshah), Economics Letters, 83, June 2004, pp. 313-316. [1] "The Inadequacy of Linear Autoregressive model for Real Exchange Rates: Empirical Evidence from Asian Economies," (with K.P. Lim and Venus Liew), Applied Economics, 5, August 2003, pp. 1387-1392. 【近几年研究课题】 HK$80,000. "Profitability of Time-Series Model Trading Rules," funded by the Direct Grant for Research 2005, The Chinese University of Hong Kong HK$387,817. "Estimating of and Testing for a Break in the Differencing Parameter," funded by the Research Grants Council of Hong Kong (RGC) 2000/01 【联系方式】 电话： (852) 2609-8193 E-mail: chong2064@cuhk.edu.hk |
