Staff profile
Dr Frankie Chau
Associate Professor in Finance
Affiliation | Telephone |
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Associate Professor in Finance in the Business School | +44 (0) 191 33 45298 |
Biography
Frankie has been at the Durham University Business School since 2007. He is a member of the School's Education Committee, as well as its Research Committee responsible for the fostering, encouragement and development of the school’s education and research strategies. Recently Frankie has also been awarded a prestigious prize by the Pro-Vice Chancellor of the Faculty of Social Sciences and Health in recognition of his outstanding contribution to the College life.
Frankie’s main research interests are in the behavioural economics & finance, derivative securities and financial econometrics, specialising in the feedback trading, volatility modelling, and hedging effectiveness of futures markets. His research papers have appeared (or are forthcoming) in the Journal of Business Finance and Accounting, International Review of Financial Analysis, Economic Modelling, and Journal of International Financial Markets, Institutions & Money, and other internationally reputable journals.
Frankie teaches mainly in the areas of Corporate Finance, Financial Econometrics and Advanced Financial Theory at both undergraduate and postgraduate level.
Memberships
- Fellow of the Higher Education Academy (HEA)
- Member of the British Accounting and Finance Association (BAFA)
- Member of the European Financial Management Association (EFMA)
- Member of the Asian Finance Association (AsianFA)
Mini Biography
Frankie has been at the Durham University Business School since 2007. He is a member of the School's Education Committee, as well as its Research Committee responsible for the fostering, encouragement and development of the school’s education and research strategies.
Research interests
- Derivative Securities and Risk Management
- Behavioural Economics and Finance
- International Finance
Publications
Chapter in book
- Chau, F., & Deesomsak, R. (2018). Volatility Transmission across Commodity Futures Markets. In H. K. Baker, G. Filbeck, & J. H. Harris (Eds.), Commodities : markets, performance, and strategies (331-350). Oxford University Press. https://doi.org/10.1093/oso/9780190656010.003.0018
- Chau, F., Lau, M., & Su, Y. (2013). Commodity Futures and Strategic Asset Allocation. In Alternative Investments: Instruments, Performance, Benchmarks, and Strategies (399-418.). John Wiley and Sons
- Zhang, Z., Chau, F., & Shi, N. (2012). A curious Partnership in Global Imbalances: China’s Continual Accumulation of US Treasuries. In X. Fu (Ed.), China's Role in Global Economic Recovery (18-40). Routledge
Journal Article
- Chau, F., Han, C., & Shi, S. (2018). Dynamics and Determinants of Credit Risk Discovery: Evidence from CDS and Stock Markets. International Review of Financial Analysis, 55, 156-169. https://doi.org/10.1016/j.irfa.2017.11.004
- Chau, F., Deesomsak, R., & Koutmos, D. (2016). Does investor sentiment really matter?. International Review of Financial Analysis, 48, 221-232. https://doi.org/10.1016/j.irfa.2016.10.003
- Chau, F., Kuo, J., & Shi, Y. (2015). Arbitrage opportunities and feedback trading in emissions and energy markets. Journal of International Financial Markets, Institutions and Money, 36, 130-147. https://doi.org/10.1016/j.intfin.2015.02.002
- Chau, F., & Deesomsak, R. (2015). Business cycle variation in positive feedback trading : evidence from the G-7 economies. Journal of International Financial Markets, Institutions and Money, 35, 147-159. https://doi.org/10.1016/j.intfin.2014.12.003
- Chau, F., & Deesomsak, R. (2014). Does Linkage Fuel the Fire? The Transmission of Financial Stress across the Markets. International Review of Financial Analysis, 36, 57-70. https://doi.org/10.1016/j.irfa.2014.02.005
- Charteris, A., Chau, F., Gavriilidis, K., & Kallinterakis, V. (2014). Premiums, Discounts and Feedback Trading: Evidence from Emerging Markets’ ETFs. International Review of Financial Analysis, 35, 80-89. https://doi.org/10.1016/j.irfa.2014.07.010
- Chau, F., Deesomsak, R., & Wang, J. (2014). Political Uncertainty and Stock Market Volatility in the Middle East and North African (MENA) Countries. Journal of International Financial Markets, Institutions and Money, 28, 1-19. https://doi.org/10.1016/j.intfin.2013.10.008
- Zhang, Z., Chau, F., & Zhang, W. (2013). Exchange Rate Determination and Dynamics in China: A Market Microstructure Analysis. International Review of Financial Analysis, 29, 303-316. https://doi.org/10.1016/j.irfa.2012.08.005
- Zhang, Z., Chau, F., & Li, X. (2013). Accumulation of Large Foreign Reserves in China: A Behavioural Perspective. Economic Change and Restructuring, 46(1), 85-108. https://doi.org/10.1007/s10644-012-9136-1
- Chau, F., Dosmukhambetova, G., & Kallinterakis, V. (2013). International Financial Reporting Standards and Noise Trading: Evidence from Central and Eastern European Countries. Journal of Applied Accounting Research, 14(1), 37-53. https://doi.org/10.1108/09675421311282531
- Lau, M., Suvankulov, F., Su, Y., & Chau, F. (2012). Some Cautions on the Use of Nonlinear Panel Unit Root Tests: Evidence from a Modified Series-specific Non-linear Panel Unit-root Test. Economic Modelling, 29(3), https://doi.org/10.1016/j.econmod.2011.08.006
- its outcome. Internet Research, 22(3), 298-317. https://doi.org/10.1108/10662241211235662
- Chau, F., Deesomsak, R., & Lau, M. (2011). Investor Sentiment and Feedback Trading: Evidence from the Exchange-Traded Fund Markets. International Review of Financial Analysis, 20(5), 292-305. https://doi.org/10.1016/j.irfa.2011.06.006
- Chau, F., Holmes, P., & Paudyal, K. (2008). The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics. Journal of Business Finance and Accounting, 35(1-2), 227-249. https://doi.org/10.1111/j.1468-5957.2007.02067.x
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