Tuan Shew Chng PhD Finance

Professor of Finance

Michael T. Chng is a Professor of Finance at the International Business School Suzhou (IBSS) at Xian-Jiaotong Liverpool University (XJTLU). He received his PhD from the Department of Finance, University of Melbourne. Michael has a forthcoming paper in the Journal of Econometrics [ABS/ABDC 4A*]. He has published several single-authored papers in the Journal of Banking and Finance [3A*], Journal of Business Finance and Accounting [3A*] and Journal of Futures Markets [3A]. Michael is the corresponding author in all his papers, and has received best paper awards and honorary mentions from reputable international conferences, including AsianFA, Australasian Banking and Finance Meeting, Financial Management Association (FMA U.S), Asia-Pacific Association of Derivatives Meeting, International Conference on Futures and Derivative Markets (China), and Securities and Financial Markets Conference. Michael's current research includes limits to arbitrage, cross-market price discovery and machine-learning applications in empirical asset pricing and volatility modeling. He is currently serving his second term as Associate Dean Research at IBSS.


  • PhD , Department of Finance, University of Melbourne, 2000-2003.
  • M.Com (Hons) , Department of Finance, University of Melbourne, 1998-1999
  • B.Com (Hons) , Department of Finance, University of Melbourne, 1994-1997


  • Professor of Finance, IBSS @ XJTLU - 2014 to present; Associate Dean Research -2016 to present.
  • Associate Professor in Finance, Deakin University - 2009 to 2014
  • Senior Lecturer in Finance, University of Melbourne - 2006 to 2009
  • Lecturer in Finance, Monash University - 2002 to 2006


  • Machine-learning applications in asset pricing and volatility modeling
  • Cross-market price discovery
  • Limits to arbitrage


  • Chng, M., Liu, Q., 2020. Volatility modeling via machine-learning.
  • Chng, M., Liu, Q., Zhang, Z., 2020. The implied premium in risky arbitrage.
  • Chng, M., Fang, V., Xiang, V., 2020. Price discovery in capital structure arbitrage. Under review.
  • Chng, M., Liu, Q., 2020. Arbitrage and price discovery across CSI300 spot, ETF and futures markets. Under review.
  • Chng, M., Huang, T, Sak, H., 2020. Exploring the factor zoo with a machine-learning portfolio. Under review.
  • Chng, M., Liu, Q., Chen, S., 2020. The implied arbitrage mechanism in financial markets. Journal of Econometrics, Forthcoming. ABS/ABDC 4A*
  • Chng, M., Fang, V., Xiang, V., Zhang, H., 2017. Corporate hedging and the high idiosyncratic volatility low return puzzle. International Review of Finance 17, 395-425. ABS/ABDC 3A
  • Chng, M., Fang, V., Xiang, V., 2015. The economic significance of CDS price discovery. Review of Quantitative Finance and Accounting 48, 1-30. ABS/ABDC 3B
  • Chng, M., Liu, Q., Xu, D., 2014. Hedging industrial metals with stochastic volatility models. Journal of Futures Markets 34, 704-730. ABS/ABDC 3A
  • Chng, M., Fang, V., Xiang, V., 2013. Transmigration across price discovery categories: Evidence from the U.S. CDS and equity markets', Journal of Futures Markets 33, 573-599. ABS/ABDC 3A
  • Chng, M., Wang, P., 2013. Ratings downgrade and the price impact of CDS spreads. Review of Futures Markets 21, 283-323. ABDC-B
  • Chng, M., Doan, M., Lin, C., 2013. Beta asymmetry and higher moments: Evidence from Australia. Accounting and Finance 54, 779-807. ABS/ABDC 2A
  • Chng, M., Foster, G., 2012. The implied convenience yield of precious metal: Safe haven versus industrial usage. Review of Futures Markets 20, 349-394. ABDC-B
  • Chng, M., 2010. Comparing different economic linkages among commodity futures. Journal of Business Finance and Accounting 37, 1348-1389. ABVS/ABDC 3A*
  • Chng, M., 2009a. There is something about pairs-trading. Corporate Finance Review, Apr/May, 27-35.
  • Chng, M., 2009b. Common industry exposure in seemingly unrelated commodities. Review of Futures Markets 18, 7-38. ABDC-B
  • Chng, M., 2009c. Economic linkages across commodities futures: Hedging and trading implications. Journal of Banking and Finance 33, 958-970. ABS/ABDC 3A*
  • Chng, M., 2005a. The summary infonnativeness of orders and trades. Review of Futures Markets 14, 245-281. ABDC-B
  • Chng, M., 2005b. Floor trading and screen trading:Distinctions for Practitioners. Corporate Finance Review, May/June, 5-18.
  • Chng, M., 2004a. The trading dynamics of close-substitute futures markets: Evidence of margin policy spillover effects. Journal of Multinational Financial Management 14, 463-483. ABS/ABDC 2B
  • Chng, M., 2004b. Price discovery and market design: Theory and empirical evidence. Journal of Futures Markets 24, 1107-1146. ABS/ABDC 3A
  • Chng, M., Gannon, G., 2003. Contemporaneous intraday volume, option and futures volatility transmissions across parallel markets. International Review of Financial Analysis 12, 49-68. ABS/ABDC 3A


  • CHNG, MICHAEL & GANNON, GERALD 2012 The trading performance of dynamic hedging models: Time-varying covariance and volatility transmission effects; Encyclopedia of Finance, Springer,


  • CHNG, MICHAEL 2014, Principal Investigator, Higher‐order moments and expected return: Background risk and uncertainty, 85000.0000,
  • CHNG, MICHAEL 2013, Principal Investigator, Australian Centre for Financial Studies (ACFS), 54000.0000,
  • CHNG, MICHAEL 2013, Principal Investigator, Industry grant from Mercer Investments, 195000.0000,
  • CHNG, MICHAEL 2011, Principal Investigator, Australian Centre for Financial Studies (ACFS), 54000.0000,
  • CHNG, MICHAEL 2007, Principal Investigator, Australian Centre for Financial Studies (ACFS), 54000.0000,
  • CHNG, MICHAEL 2005, Principal Investigator, Australian Centre for Financial Studies (ACFS), 54000.0000,


  • 2014 Review of Futures Markets.
  • 2014 Review of Quantitative Finance and Accounting.
  • 2014 Australian Journal of Management.
  • 2014 Journal of International Financial Markets, Institutions & Money.
  • 2014 Accounting and Finance.
  • 2014 Journal of Futures Markets.
  • 2014 Asia Pacific Journal of Financial Studies.
  • 2014 Journal of Financial Markets.
  • 2014 Pacific Basin Finance Journal.
  • 2014 Journal of Banking and Finance.
  • 2014 Financial Review.
  • 2013 Australian Journal of Management.
  • 2013 Asia Pacific Journal of Financial Studies.
  • 2013 Accounting and Finance.
  • 2013 Journal of Financial Markets.
  • 2013 the 21st PBFEAM Conference.
  • 2013 Journal of Futures Markets.
  • 2013 Financial Review.
  • 2013 Journal of International Financial Markets, Institutions & Money.
  • 2013 Journal of Banking and Finance.
  • 2013 Review of Futures Markets.
  • 2013 Review of Quantitative Finance and Accounting.
  • 2013 Pacific Basin Finance Journal.
  • 2012 University of Western Australia.
  • 2011 University of Queensland.
  • 2010 Australian National University.


  • ACF210 Financial Management
  • ACF402 Portfolio Theory
  • ACF403 Financial Markets
  • ACF414 Asset Pricing
  • ACF418 Advanced Derivatives
  • ACF421 Finance Dissertation
  • ACF441 Advanced Investments
  • MAN303 Final Year Project


  • 2013 Best paper award;, 2013 International Conference on Derivative and Futures Markets
  • 2012 Excellence in Teaching;, Faculty of Business and Law, Deakin University
  • 2012 Honorary paper mention, 2012 FMA (U.S.) Conference
  • 2012 Visiting Scholar Award;, School of Economics, Fudan University
  • 2012 Best Paper Award;, Asia-Pacific Association of Derivative (APAD) conference
  • 2011 Contribution to Faulty Research Profile;, Faculty of Business and Law, Deakin University
  • 2011 Excellence in Teaching;, Faculty of Business and Law, Deakin University
  • 2008 Dean's Excellence in Teaching Award;, Faculty of Business and Economics, University of Melbourne
  • 2003 Best paper award;, 2003 Australasian Banking and Finance Conference
  • 2001 Best paper award;, 2001 PACAP/FMA Conference
Tuan Shew Chng