Research Seminar

Seminar Coordinators: Prof. Wenxi JIANG and Prof. Yizhou XIAO


Chan, Kalok

Chinese Name: 陳家樂
Education: B.S.Sc. (CUHK); PhD (Ohio)

Dean of CUHK Business School
Wei Lun Professor of Finance  

Department: Dept of Finance
Mailing Address: 15/F, Cheng Yu Tung Building, No.12, Chak Cheung Street, Shatin, N.T., Hong Kong
Telephone: (852) 3943 7775
Fax No.: (852) 2603 5917
Email Address:
Year Joined CUHK: 2014
Professor Kalok Chan is the Dean of The Chinese University of Hong Kong (CUHK) Business School and Wei Lun Professor of Finance.  Prof. Chan joined CUHK Business School in 2014 November, from his previous role as Chair Professor of Finance and Acting Dean of the Hong...

Professor Kalok Chan is the Dean of The Chinese University of Hong Kong (CUHK) Business School and Wei Lun Professor of Finance. 

Prof. Chan joined CUHK Business School in 2014 November, from his previous role as Chair Professor of Finance and Acting Dean of the Hong Kong University of Science and Technology (HKUST) Business School. Prior to that, he was Head of HKUST’s Finance Department from 2003 to 2013, the founding director of the HKUST-NYU Stern Joint Master in Global Finance program, and had established the Value Partners Centre for Investing. He was associate professor of finance at Arizona State University prior to joining the HKUST.

Prof. Chan obtained his B.S.Sc in Economics from CUHK, and PhD in Finance from Ohio State University. As a leading scholar and a prominent researcher, Prof. Chan has had numerous publications in top ranked finance journals, and has been ranked as the top finance researcher in the Asia-Pacific region by the Pacific-Basin Finance Journal, most recently in 2011. His research interests focus on dynamics of asset prices, derivatives, market micro-structure, and international financial markets.

Prof. Chan is active in contributing to the profession. He has been Chairman of the Organizing Committee of the HKIB Outstanding Financial Management Planner Awards since 2009. Prof. Chan was also the President of Asian Finance Association from 2008 to 2010, and currently serves as a member of Hang Seng Index Advisory Committee, Hong Kong Housing Authority, EFAC Financial Infrastructure and Market Development Sub-Committee of Hong Kong Monetary Authority, TraHK Supervisory Committee and Advisory Committee of the Securities and Futures Commission.

Research Interest: Asset Prices Behavior, Market Microstructure, Market Volatility, International Finance, Emerging Financial Markets.
Academic Publications & Working Papers:
“Price Informativeness and Stock Return Synchronicity:Evidence from the Pricing of Seasoned Equity Offerings”, with Y.C. Chan, 2014, Journal of Financial Economics,  vol. 114, 36-53.
“Cross-Sectional Stock Return Predictability in China”, with Nusret Cakici and  Kudret Topyan, 2014,European Journal of Finance
“When the Tail Wags the Dog: Industry Leaders and Cross-Industry Information Diffusion” with Ling Cen, Sudipto Dasgupta, and Ning Gao, 2013, Management Science, Vol 59, no. 11: 2566-2585.
 “Stock Price Synchronicity and Liquidity”, with Allaudeen Hameed and Wenjin Kang. 2013, Journal of Financial Markets,Vol 16, 416-438. 
“Why Foreign Investors Trade More Frequently?” with Vicentiu Covrig, 2012, Journal of International Money and Finance, Vol 31, 793-817.
Asymmetric Price Distribution and Bid-Ask Quotes in the Stock Options Market", 2012, with Peter Chung,Asia-Pacific Journal of Financial Studies, Vol 41, .87-102.
“The Relationship between Commodity Prices and Currency Exchange Rates:  Evidence from Futures Markets”, with Yiuman Tse and Michael William, 2011, Commodity Prices and Markets, NBER-EASE, edited by Takatoshi Ito and Andrew K. Rose, Vol 20, 47-71
“Home Bias and Firm Value, Evidence from Holdings of Mutual Funds Worldwide”, with Vincentiu Covrig and Lilian Ng, 2009, Journal of International Economics230–241
“Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount”, with Albert J. Menkveld and Zhishu Yang, Journal of Finance, 2008, Vol 63, 159-196. 
“International portfolio allocations during the Asian financial crisis: Evidence from U.S. closed-end funds”, with Bae, Kee-Hong and Wai-Ming Fong, 2008, in Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing, edited by Greg N. Gregoriou and Francois-Serge Lhabitant.
“Portfolio Concentration and Closed-End Fund Discounts: Evidence from the China market”, with Hung-Wan Kot, 2007, Emerging Market Finance, Vol 9, 129 - 143
“Tick Size Change and Liquidity Provision on the Tokyo Stock Exchange”, with Hee-Joon Ahn, Jun Cai, and Yasushi Hamao, 2007, Journal of the Japanese and International Economies, Vol 21, 173-194.
“The informativeness of domestic and foreign investors’ stock trades: Evidence from the perfectly segmented Chinese market , 2007, with Albert J. Menkveld and Zhishu Yang, 2007, Journal of Financial Markets, Vol 10, 391-415
“Stock Price Synchronicity and Analyst Coverage in Emerging Markets,” with Allaudeen Hameed, 2006,Journal of Financial Economics, Vol 80, 115-147
“Price Reversal and Momentum Strategies”, 2006, with Hung Wan Kot, Journal of Investment Management,Vol 4, 70-89. 
“Market Segmentation and Share Price Premium: Evidence from Chinese Stock Markets” 2005,  with Johnny Kwok, Journal of Emerging Market Finance, 4, 43-61.
“What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide”, with Vincentiu Covrig and Lilian Ng, 2005, Journal of Finance  Vol 60, 1495-1534
“Free Float and Market Liquidity: Evidence from Hong Kong Government’s Intervention,” with Yue-Cheong Chan and Wai-Ming Fong, 2004, Journal of Financial Research, Vol 27, 179-197.
"Under-pricing and Long-term Performance of IPOs in China, with K.C. John Wei and Junbo Wang, 2004,Journal of Corporate Finance, Vol 10, 409-430.
"Investability and Return Volatility in Emerging Equity Markets", with Kee-Hong Bae and Angela Ng, 2004,Journal of Financial Economics,  Vol 71, 239-263.
“What If Trading Location is Different from Business Location? Evidence from Jardine Group Trading”, with Allaudeen Hameed and Sie-Ting Lau, 2003, Journal of Finance,  Vol 58, 1221-1246.
"The Informational Role of Stock and Option Volume," with Peter Chung and Wai-Ming Fong, 2002, Review of Financial Studies 15,1049-1075.
“Limit Orders, Depth, and Volatiltiy, Evidence from Stock Exchange of Hong Kong” with Hee-Joon Ahn and Kee-Hong Bae, Journal of Finance, 2001, Vol 56, 767-788. 
"Depository Receipts, Country Funds, and the Peso Crash: The Intraday Evidence", with Warren Bailey and Peter Chung, Journal of Finance, 2000, Vol 55, 2693-2717.
"Overnight Information and Intraday Trading Behavior: Evidence from NYSE Cross-Listed Stocks and their Local Market Information", with Mark Chockalingam and Wan Lai,  Journal  of  Multinational  Financial Management, 2000, Vol 10, 495-509.
“Trade Size, Order Imbalance, and the Volatility-Volume Relation,” with Wai-Ming Fong, Journal of Financial Economics, 2000, Vol 57, 247-273.
"Profitability of Momentum Strategies in the International Equity Markets", with Allaudeen Hameed and Wilson Tong, Journal of Financial and Quantitative Analysis, 2000, Vol 35, 153-172.
"Bid-Ask Spread and Arbitrage Profitability: A Study of the Hong Kong Index Futures and Options Market", with Kee-Hong Bae and Yan-Leung Cheung, Journal of Futures Market , 1998, Vol 18, 743-763.
"Market Efficiency and the Returns to Technical Analysis", with Hank Bessembinder, Financial Management, 1998, Vol 27, No 2, 5-17.
"Asian Stock Market Bubbles", with Grant McQueen and Steve Thorley, Pacific-Basin Finance Journal , 1998, Vol 6, 125-152.
"An Empirical Examination of Information, Differences of Opinion, and Trading Activity," with Hank Bessembinder and Paul Seguin, Journal of Financial Economics, 1996, Vol 40, 105-134.
"Intraday Bid-Ask Spread Pattern in the Stock and Option Market," with Peter Chung and Herb Johnson, Journal of Finance and Quantitative Analysis, 1995,  Vol 30, 329-346.
"Vector Autoregression or Simultaneous Equations Model?  The Intraday Relationship Between Index Arbitrage and Market Volatility," with Peter Chung, Journal of Banking and Finance, 1995, Vol 19, 173-179.
"The Profitability of Technical Trading Rules in the Asian Stock Markets," with Hank Bessembinder, .Pacific-Basin Finance Journal, 1995, Vol 3, 257-284. 
"Why Option Prices Lag Stock Prices: A Trading-Based Explanation," with Peter Chung and Herb Johnson,Journal of Finance, 1993, Vol 48,  1957-1967.
"Imperfect Information and Cross-Autocorrelation Among Stock Prices," Journal of Finance, 1993, Vol 48, 1211-1230.
"Index Arbitrage, Spot and Futures Price Volatility, and Spot Market Volume: A test with Intraday Transactions Data", with Peter Chung, Journal of Banking and Finance, 1993, Vol 17, 663-688.
"Price Volatility in the Hong Kong Stock Market: A Test of the Information and Trading Noise Hypothesis," with Yue-cheong Chan, Pacific-Basin Finance Journal, 1993, Vol 1, 189-201.
"Time Varying Risk Premia and Forecastable Returns in Futures Markets," with Hank Bessembinder, Journal of Financial Economics, 1992, Vol 32,169-193.
"A Further Analysis of the Lead-lag Relationship Between the Cash Market and Stock Index Futures Markets", Review of Financial Studies, 1992, Vol 5, 123-152.
"Intraday Volatility in the Stock Market and Stock Index Futures Market", with K.C. Chan and Andrew Karolyi,Review of Financial Studies, 1991, Vol 4, 657-684.  Also appear in Volatility: New Estimation Techniques for Pricing Derivatives, Risk Books, June 1998, 163-178.


Book review: Asian Money Markets, edited by David Cole, Hal Scott and Philip Wellons, Journal of Comparative Economics, 1997, Vol 24, 362-364.
“A Retrospective Evaluation of the Pacific-Basin Finance Journal, 1993–2002,” with Andrew Karolyi and Ghon Rhee, Pacific-Basin Finance Journal, 2002, Vol 10, 497-516,


“Does Option Trading Affect the Return Predictability of Short Selling Activity?” with Hung Wan Kot and Sophie X. Ni
“Do Behavioral Biases Affect Order Aggressiveness?”, with Jiangze Bian, Donghui Shi and Hao Zhou
“Effects of Short-sale Constraints on Stock Prices and Trading Activity: Evidence from Hong Kong and Mainland China,” with Hung Wan Kot and Zhishu Yang.
Global Currency Hedging: Evidence from Conditional Coskewness and Cokurtosis, with Jian Yang and Yinggang Zhou
“Why Investors Do not Buy Cheaper Securities? An Analysis of Trading by Individual Investors in Chinese Stock Market,” with Baolian Wang and Zhishu Yang.
”Mutual Fund Herding and Dispersion of Analysts’ Earnings Forecasts” , with Chuan-Yang Hwang and Mujtaba Mian (Unpublished Manuscript).


Research Grants:


Hong Kong Research Grant Council, Competitive Earmarked Research Grant, 1996 (HK$460,000); 1998
(HK$405,000); 2000 (HK$ 453,817); 2002 (HK $562000), 2004 (HK $294,525), 2006 (HK $442,000), 2008
(HK$480,000), 2010 (HK$379,250), 2012 (HK$ 619,000)

Postdoctoral Matching Fund (HKUST), 2000-02.

Pacific-Basin Capital Markets (PACAP) Conference, Competitive Research Grant, 1994.

Arizona State University, College of Business, Summer Research Grant, 1994-95.

Arizona State University, Faculty Grant-in-Aid, 1994

Awards and Honors:
2001 and 2011 Top finance researcher in Asia-Pacific Region (Pacific-Basin Finance Journal)

Hong Kong Society of Financial Analysts (HKSFA) Research Award

2008 Best Paper Award, China International Conference in Finance (CICF)

Winner of the Barclays Global Investors Australia Research Award, Australasian Finance and Banking

2006  Nominated for Smith Breeden’s Prize, Journal of Finance
Listed in Who's Who in Economics (Third Edition) 

Top finance researcher in Asia-Pacific Region for the 1990-2008 period (according to Pacific-Basin Finance Journal) 

2003  Outstanding Paper Award, Eastern Finance Association Meetings

PACAP Best Paper Award, APFA/PACAP/FMA International Finance Conference


Senior Wei Lun Fellow (HKUST)


Wei Lun Fund Fellowship (HKUST)


Pacific-Basin Capital Markets (PACAP) Research Fellow


Ohio State University, Presidential Fellowship

1989  Ohio State University, Outstanding Research Award
1988 Ohio State University, McCoy Scholarship



Academic / Professional Service:

Professional Service

2018 – present

Member, Securities and Futures Commission Advisory Committee

2017 – present

EFAC Financial Infrastructure and Market Development Sub-Committee of Hong Kong Monetary Authority

2008 – present

Chairman, Organizing Committee, Hong Kong Institute of Bankers Outstanding Financial Management Planner Awards 

2014 - present

Member, TraHK Supervisory Committee

2009 – present

Member, Hospital Authority Investment Committee

2008 – present

Member, Hang Seng Index Service Limited

2014 – present

Member, Tender Committee of Hospital Authority

2015 - present

Member, Finance Committee of Hospital Authority 

2013 – 2015

Member, Banking and Finance Industry Training Board, Vocational Training Council

2001-2014 Member, Asia-Pacific Regional Committee, FTSE
2008 – 2010 President, Asian Finance Association
2006 – 2009

Convenor, Working Group on Industry/Academic Partnership, Advisory Committee on Human Resource Development (Financial Services), Hong Kong

2009 – 2011

Convenor, Working Group on Professional Development, Advisory Committee on Human Resource Development (Financial Services), Hong Kong

2005 - 2011

Member, Risk Management Committee, Hong Kong Exchanges and Clearing Limited


Member, Committee on Unit Trusts, Hong Kong Securities and Futures Commission 


Member, Committee on Investment-Linked Assurance and Pooled Retirement Funds, Hong Kong Securities and Futures Commission

2005 - present

Member, Academic and Accreditation Advisory Committee, Hong Kong Securities and Futures Commission

2004 – 2006

Member, Advisory Committee on Human Resource Development (Financial Services), Hong Kong

2004 - 2009

Panel Member, Hong Kong Research Grants Council

2003 - 2007 Member, Examination Board, Institute of Financial Planners of Hong Kong
2003 External Reviewer, Licensing Examination for Securities and Futures Intermediaries
2000-2006 Advisor, Hong Kong Association of Investors, 
2002 Member, Working Group for the Development of Licensing Examinations, Hong Kong Securities Institute


Editorial Service
1997 – 2008

Co-Editor, Pacific-Basin Finance Journal 

2013 - present

Associate Editor, Journal of Applied Finance 

2012 – present

Associate Editor, Journal of Financial Perspectives 

2008 – present

Associate Editor, Pacific-Basin Finance Journal

2007 – present

Associate Editor, Emerging Market Review

2006 – 2013

Associate Editor, Journal of Financial Research

2008 – 2011

Associate Editor, Review of Finance

2007 – 2010

Associate Editor, Asia-Pacific Journal of Financial Studies 

2003 - 2006 Associate Editor, Finance Letters
1996 – 1998

Associate Editor, Asia-Pacific Journal of Finance