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  • Faculty Members Directory

    Professor Wing Keung WONG

    PhD (University of Wisconsin-Madison)
    MSc (University of Wisconsin-Madison)
    BSc (CUHK)

    Adjunct Professor
    Department of Economics and Finance

    Tel : (852) 3963 5000
    Email : alanwkwong@hsu.edu.hk

       

    Research and Teaching Interests

    Research Interests: Financial Economics, Econometrics, Mathematical Finance, Mathematical Economics, Equity Analysis, Investment Theory, Risk Management, Behavioral Finance, Behavioral Economics, Operational Research, Stochastic Dominance Theory, Time Series Analysis, Bayesian Theory and Decision Theory. Teaching Interests: Risk Management, Corporate Finance, Financial Economics, Advanced Econometrics, Applied Econometrics, Time Series Econometrics, Mathematical Economics, Quantitative and Computing Methods, Money and Banking

    Intellectual Contributions (Publications, Conferences, Books, Book Chapters, etc.)

    Selected Publications:
    • Songsak Sriboonchitta, Wing-Keung Wong, Sompong Dhompongsa, Hung T. Nguyen, (2009), Stochastic Dominance and Applications to Finance, Risk and Economics, Chapman and Hall/CRC, Taylor and Francis Group, Boca Raton, Florida, USA.
    • Raymond Hon Fu CHAN, Spike Tsz Ho LEE, Wing-Keung WONG, 2014, Technical Analysis and Financial Asset Forecasting: From Simple Tools to Advanced Techniques, World Scientific Publishing Company
    • Zhidong BAI, Xu Guo, Pui-Lam LEUNG, Hua LI, Wing-Keung WONG, Portfolio Choice and Stochastic Dominance, World Scientific Publishing (forthcoming).
    • Wong, W.K.  and R.B. Miller, (1990), REPEATED TIME-SERIES ANALYSIS OF ARIMA NOISE MODELS,  Journal of Business and Economic Statistics 8(2), 243-250.
    • Matsumura, E.M., K.W. Tsui and W.K. Wong, (1990), An Extended Multinomial-Dirichlet Model for Error Bounds for Dollar-Unit Sampling, Contemporary Accounting Research,   6(2-I), 485-500.
    • Thompson, H E and W K Wong, (1991), On the Unavoidability of ‘Unscientific’ Judgment in Estimating the Cost of Capital, Managerial and Decision Economics 12, 27-42.
    • Thompson, H.E. and W.K. Wong, (1996), Revisiting ‘Dividend Yield Plus Growth’ and Its Applicability, Engineering Economist, Winter, 41(2), 123-147.
    • Phang, S Y, W K Wong and N C Chia, (1996), Singapore's experience with car quotas: Issues and policy processes, Transport Policy 3, 145-153.
    • Phang, S Y and W K Wong, (1997), Government policies and private housing prices in Singapore, Urban Studies 34(11), 1819-1829.
    • Chang, W.C., W.K. Wong, G. Teo and A. Fam, (1997), The motivation to achieve in Singapore: In search of a core construct, Personality and Individual Differences 23(5), 885-895.
    • Tiku, M L and W K Wong, (1998), Testing for a unit root in an AR(1) model using three and four moment approximations: Symmetric distributions, Communications in Statistics: Simulation and Computation  27(1), 185-198.
    • Li, C.K. and W.K. Wong, (1999), Extension of stochastic dominance theory to random variables, RAIRO - Operations Research 33(4), 509-524.
    • Tiku, M.L., W.K. Wong and G. Bian, (1999), Time series models with asymmetric innovations, Communications in Statistics: Theory and Methods 28(6), 1331-1360.
    • Wong W.K. and C.K. Li, (1999), A note on convex stochastic dominance, Economics Letters, 62, 293-300.
    • Tiku, M L, W K Wong and G Bian, (1999), Estimating Parameters in Autoregressive Models in Non-normal Situations: symmetric Innovations, Communications in Statistics: Theory and Methods 28(2), 315-341.
    • Manzur, M., W.K. Wong and I.C. Chau (1999), Measuring international competitiveness: experience from East Asia, Applied Economics 31(11), 1383-1391.
    • Wong W K and G Bian, (2000), Robust Bayesian Inference in Asset Pricing Estimation, Journal of Applied Mathematics and Decision Sciences/Advances in Decision Sciences 4(1), 65-82.
    • Tiku, M.L., W.K. Wong, D.C. Vaughan and G. Bian (2000), Time series models in non-normal situations: Symmetric innovations, Journal of Time Series Analysis 21(5), 571-596.
    • Wong W K, B K Chew and D Sikorski (2001), Can P/E ratio and bond yield be used to beat stock markets? Multinational Finance Journal 5(1), 59-86.
    • Wan, Henry Jr and W K Wong, (2001), Contagion or inductance? Crisis 1997 reconsidered, Japanese Economic Review 52(4), 372-380.
    • Wong W.K., Manzur, M. and Chew B.K., (2003), How Rewarding is Technical Analysis? Evidence from Singapore Stock Market, Applied Financial Economics 13(7), 543-551.
    • Wong, W.K. and R. Chan, (2004), On the estimation of cost of capital and its reliability, Quantitative Finance 4(3), 365 – 372.
    • Wai Mun Fong, Wing-Keung Wong, Hooi-Hooi Lean (2005), International momentum strategies: a stochastic dominance, Journal of Financial Markets 8, 89-109.
    • Wong, Wing-Keung and Guorui Bian, (2005), Estimating Parameters in Autoregressive Models with asymmetric innovations, Statistics and Probability Letters 71(1), 61-70.
    • Fong, Wai Mun and Wing-Keung Wong, (2006), The Modified Mixture of Distributions Model: A Revisit, Annals of Finance, 2(2), 167 – 178.
    • Broll, Udo, Jack E. Wahl and Wing-Keung Wong, (2006), Elasticity of Risk Aversion and International Trade, Economics Letters, 92(1), 126-130.
    • Wing-Keung Wong, Habibullah Khan, Jun Du, (2006), Money, Interest Rate, and Stock Prices: New Evidence from Singapore and USA, Singapore Economic Review, 51(1), 31-52.
    • Wong, Wing-Keung, (2006), Stochastic Dominance Theory for Location-Scale Family, Advances in Decision Sciences 2006, 1-10.
    • Wong, Wing Keung, (2007), Stochastic dominance and mean-variance measures of profit and loss for business planning and investment, European Journal of Operational Research, 182(2), 829-843.
    • Lean, Hooi Hooi, Russell Smyth, Wing-Keung Wong, (2007), Revisiting Calendar Anomalies in Asian Stock Markets Using a Stochastic Dominance Approach, Journal of Multinational Financial Management, 17(2), 125–141.
    • Gasbarro, Dominic, Wing-Keung Wong and J. Kenton Zumwalt, (2007), Stochastic Dominance Analysis of iShares, European Journal of Finance 13, 89-101.
    • Wing-Keung Wong, Raymond Chan, (2008), Prospect and Markowitz Stochastic Dominances, Annals of Finance 4(1), 105-129.
    • Pui-Lam Leung, Wing-Keung Wong, 2008, On testing the equality of the multiple Sharpe Ratios, with application on the evaluation of iShares, Journal of Risk, 10(3), 1-16.
    • Zhuo Qiao, Yuming Li and Wing-Keung Wong, (2008),  Policy Change and Lead-Lag Relations among China’s Segmented Stock Markets, Journal of Multinational Financial Management 18, 276–289.
    • Wong, Wing-Keung, Kok Fai Phoon, Hooi Hooi Lean, (2008), Stochastic dominance analysis of Asian hedge funds, Pacific-Basin Finance Journal 16(3), 204-223.
    • Z. Liao, W.K. Wong, (2008), The determinants of customer interactions with internet-enabled e-banking services, Journal of the Operational Research Society, 59(9), 1201-1210.
    • Wong, Wing-Keung and Chenghu Ma, (2008), Preferences over Location-Scale Family, Economic Theory 37(1), 119-146.
    • Zhuo Qiao, Thomas C. Chiang, Wing-Keung Wong, (2008), Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets, Journal of International Financial Markets, Institutions & Money 18, 425–437.
    • Hooi-Hooi Lean, Wing-Keung Wong, Xibin Zhang, (2008), The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions, Mathematics and Computers in Simulation 79, 30-48.
    • Fong, Wai Mun, Hooi Hooi Lean and Wing Keung Wong, (2008), Stochastic Dominance and Behavior towards Risk: The Market for Internet Stocks, Journal of Economic Behavior and Organization, 68(1), 194-208.
    • Bai, Zhidong, Huixia Liu and Wing-Keung Wong, (2009), On the Markowitz Mean-Variance Analysis of Self-Financing Portfolios, Risk and Decision Analysis 1(1), 35-42.
    • Zhuo Qiao, Michael McAleer and Wing-Keung Wong, (2009), Linear and nonlinear causality between changes in consumption and consumer attitudes, Economics Letters 102(3), 161–164.
    • Bai, Zhidong, Huixia Liu and Wing-Keung Wong, (2009), Enhancement of the Applicability of Markowitz's Portfolio Optimization by Utilizing Random Matrix Theory, Mathematical Finance, 19(4), 639-667.
    • Martín Egozcue, Luis Fuentes García, Wing-Keung Wong, 2009, On some Covariance Inequalities for Monotonic and Non-monotonic Functions, Journal of Inequalities in Pure and Applied Mathematics, 10(3), Article 75, 1-7.
    • James J. Kung, Wing-Keung Wong, (2009), Efficiency of the Taiwan stock market, Japanese Economic Review, 60(3), 389-394.
    • Wong, Wing-Keung, Michael McAleer, (2009), Mapping the Presidential Election Cycle in US Stock Markets, Mathematics and Computers in Simulation, 79(11), 3267-3277.
    • Thomas C. Chiang, Zhuo Qiao, Wing-Keung Wong, (2009), New Evidence on the Relation between Return Volatility and Trading Volume, Journal of Forecasting,  29(5), 502 – 515.
    • Martín Egozcue, Wing-Keung Wong, (2010), Gains from Diversification on Convex Combinations: A Majorization and Stochastic Dominance Approach, European Journal of Operational Research 200(3), 893–900.
    • Lam, Kin, Taisheng Liu and Wing-Keung Wong, (2010), A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction, European Journal of Operational Research 203(1),166-175.
    • Martín Egozcue, Luis Fuentes García, Wing-Keung Wong, and Ričardas Zitikis, 2010, Grüss-Type Bounds for the Covariance of Transformed Random Variables, Journal of Inequalities and Applications, Volume 2010, Article ID 619423, 1-10.
    • Martin Egozcue and Wing-Keung Wong, (2010), Segregation and Integration: A Study of the Behaviors of Investors with Extended Value Functions, Advances in Decision Sciences, Volume 2010, Article ID 302895, 1-8.
    • Ma, Chenghu and Wing-Keung Wong, (2010), Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR, European Journal of Operational Research 207(2), 927–935.
    • Zhidong Bai, Wing-Keung Wong, Bingzhi Zhang, (2010), Multivariate linear and nonlinear causality tests, Mathematics and Computers in Simulation 81, 5–17.
    • Lean, H.H., McAleer, M., Wong, W.K., 2010, Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach, Energy Economics 32, 979–986.
    • Udo Broll, Martín Egozcue, Wing-Keung Wong,  Ričardas Zitikis, 2010, Prospect Theory, Indifference Curves, and Hedging Risks, Applied Mathematics Research Express, Vol. 2010, No. 2, pp. 142–153.
    • Bian, Guorui, Michael McAleer, Wing-Keung Wong, 2011, A Trinomial Test for Paired Data When There are Many Ties, Mathematics and Computers in Simulation 81(6), 1153–1160.
    • Zhidong Bai, Heng Li, Wing-Keung Wong, Bingzhi Zhang, 2011, Multivariate Causality Tests with Simulation and Application, Statistics and Probability Letters, 81(8), 1063–1071.
    • Bai, Zhidong, Keyan Wang, Wing-Keung Wong, 2011, The mean-variance ratio test-A complement to the coefficient of variation test and the Sharpe ratio test, Statistics and Probability Letters, 81(8), 1078–1085.
    • Wong, Wing-Keung, Howard E. Thompson, and Kweehong Teh, 2011, Was there Abnormal Trading in the S&P 500 Index Options Prior to the September 11 Attacks? Multinational Finance Journal, vol. 5, no. 1/2, pp. 1–46.
    • Chen Heng, Dietrich K. Fausten, Wing-Keung Wong, 2011, Evolution of the Trans-Atlantic exchange rate before and after the birth of the Euro and policy implications, Applied Economics, 43(16), 1965-1977.
    • Bai, Zhidong, Hua Li, Huixia Liu and Wing-Keung Wong, 2011, Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications, Econometrics Journal 14(2), 278-303.
    • Martín Egozcue, Luis Fuentes García, Wing-Keung Wong, and RičardasZitikis, 2011, Do Investors Like to Diversify? A Study of Markowitz Preferences, European Journal of Operational Research 215(1), 188-193.
    • Shuangzhe Liu, Chris C. Heyde, Wing-Keung Wong, (2011), Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models, Statistical Papers, 52:621–632.
    • Martín Egozcue, Luis Fuentes García, Wing-Keung Wong, and Ričardas Zitikis, 2011, Grüss-type bounds for covariances and the notion of quadrant dependence in expectation, Central European Journal of Mathematics 9(6), 1288-1297.
    • Martín Egozcue, Luis Fuentes García, Wing-Keung Wong, and Ričardas Zitikis, 2011, The covariance sign of transformed random variables with applications to economics and finance, IMA Journal of Management Mathematics 22(3), 291-300.
    • Bai, Zhidong, Huixia Liu and Wing-Keung Wong, 2011, Asymptotic Properties of Eigenmatrices of A Large Sample Covariance Matrix, Annals of Applied Probability 21(5), 1994–2015.
    • Chia-Ying Chan, Christian de Peretti, Zhuo Qiao, Wing-Keung Wong, 2012, Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach, Journal of Empirical Finance 19(1), 162-174.
    • Lam, Kin, Taisheng Liu and Wing-Keung Wong, 2012, A New Pseudo Bayesian Model with Implications to Financial Anomalies and Investors’ Behaviors, Journal of Behavioral Finance 13(2), 93–107.
    • Leung, Pui-Lam, Hon-Yip Ng, Wing-Keung Wong, 2012, An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment, European Journal of Operational Research 222, 85–95.
    • Chi-Keung Woo, Wing-Keung Wong, Ira Horowitz, Hing-Lin Chan, 2012, Managing a scarce resource in a growing Asian economy: Water usage in Hong Kong, Journal of Asian Economics 23, 374–382.
    • W. K. Wong, J. A. Wright,  S.C.P. Yam, S. P. Yung, 2012, A Mixed Sharpe Ratio, Risk and Decision Analysis, 3(1-2), 37-65.
    • Bai, Zhidong, Yongchang Hui, Wing-Keung Wong, Ričardas Zitikis, 2012, Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test, Journal of Financial Econometrics 10(4), 703—732.
    • H.H. Lean, K.F. Phoon, W.K. Wong, 2012, Stochastic Dominance Analysis of CTA Funds, Review of Quantitative Finance and Accounting, DOI 10.1007/s11156-012-0284-1.
    • Martín Egozcue, Luis Fuentes García, Wing-Keung Wong, and Ričardas Zitikis, 2012, Integration–segregation decisions under general value functions: ‘Create your own bundle—choose 1, 2, or all 3! IMA Journal of Management Mathematics, 1 of 16, doi:10.1093/imaman/dps024
    • Zhuo Qiao, Ephraim Clark, Wing-Keung Wong, 2012, Investors’ Preference towards Risk: Evidence from the Taiwan Stock and Stock Index Futures Markets, Accounting & Finance, DOI: 10.1111/j.1467-629X.2012.00508.x.
    • Martín Egozcue, Luis Fuentes García, Wing-Keung Wong, and Ričardas Zitikis, 2013, Convex combinations of quadrant dependent copulas, Applied Mathematics Letters 26, 249–251.
    • Bai, Zhidong, Kok Fai Phoon, Keyan Wang, Wing-Keung Wong, 2013, The Performance of Commodity Trading Advisors: A Mean-Variance-Ratio Test Approach, North American Journal of Economics and Finance, 25, 188-201.
    • Cheng, Y.S., Wong, W.K. & Woo, C.K. 2013, How Much Have Electricity Shortages Hampered China’s GDP Growth? Energy Policy. 55, 369–373.
    • Zhuo Qiao, Wing-Keung Wong, Joseph K. W. Fung, 2013, Stochastic Dominance Relationships between Stock and Stock Index Futures Markets: International Evidence, Economic Modelling 33, 552–559.
    • Guo, X., Zhu, X.H., Wong, W.K., Zhu, L.X. (2013), A Note on Almost Stochastic Dominance. Economics Letters 121(2), 252-256.
    • Frank J. Fabozzi, Chun-Yip Fung, Kin Lam, Wing-Keung Wong, 2013, Market Overreaction and Underreaction: Tests of the Directional and Magnitude Effects, Applied Financial Economics 23(18), 1469-1482.
    • Liao, Z., Shi, X., Wong, W.K. 2014. Key determinants of sustainable smartcard payment. Journal of Retailing and Consumer Services, 21(3), 306–313.
    • Guo, X., Post, T., Wong, W.K., Zhu, L.X. (2014), Moment Conditions for Almost Stochastic Dominance, Economics Letters, 124(2), 163–167.
    • Zhuo Qiao, Wing-Keung Wong, 2015, Which is a better investment choice in the Hong Kong residential property market: a big or small property? Applied Economics 47(16), 1670-1685.
    • Z.D. Bai, H. Li, M. McAleer, W.K. Wong, 2015, Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China, Quantitative Finance 15(5), 889-900.
    • Thi Hong Van Hoang, Wing-Keung Wong, Zhenzhen Zhu, 2015, Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange, Economic Modelling 50, 200–211.
    • Hooi Hooi Lean, Michael McAleer, Wing-Keung Wong, 2015, Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis, International Review of Economics and Finance, Volume 40, November 2015, Pages 204–216.
    • Thi Hong Van Hoang, Hooi Hooi Lean, Wing-Keung Wong, 2015, Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange, International Review of Financial Analysis, 42, 98-108.
    • Xu Guo, Wing-Keung Wong, Qunfang Xu, Xuehu Zhu, 2015, Production and Hedging Decisions under Regret Aversion, Economic Modelling 51, 153–158.
    • Udo Broll, Xu Guo, Peter Welzel, Wing Keung Wong, 2015, The banking firm and risk taking in a two-moment decision model, Economic Modelling 50, 275–280.
    • David Owyong, Wing-Keung Wong, Ira Horowitz, 2015, Cointegration and Causality among the Onshore and Offshore Markets for China's Currency, Journal of Asian Economics 41, 20-38.
    • Martin Egozcue, Xu Guo, Wing-Keung Wong, 2015, Optimal Output for the Regret-Averse Competitive Firm Under Price Uncertainty, Eurasian Economic Review 5(2), 279-295.
    • Ephraim Clark, Zhuo Qiao, Wing-Keung Wong, 2016, Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets, Economic Inquiry 54(2), 907-924.
    • Xu Guo, Wing-Keung Wong, 2016, Multivariate Stochastic Dominance for Risk Averters and Risk Seekers, RAIRO - Operations Research 50(3), 575-586.
    • Chun-Kei Tsang, Wing-Keung Wong, Ira Horowitz, 2016, Arbitrage Opportunities, Efficiency, and the Role of Risk Preferences in the Hong Kong Property Market, Studies in Economics and Finance, 33(4), 735-754.
    • Xu Guo, Wing-Keung Wong, Lixing Zhu, 2106, Almost Stochastic Dominance for Risk Averters and Risk Seeker, Finance Research Letters, (forthcoming).
    • Yongchang Hui, Wing-Keung Wong, Zhidong Bai*, Zhen-Zhen Zhu, 2017, A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Application, Journal of the Korean Statistical Society, forthcoming.
    • RongHua Xu, Wing-Keung Wong, Guanrong Chen*, Shuo Huang, 2017, Studying the Topological Characteristics of Hong Kong Stock Market: a T-statistic for Lessening Network Complexity, Scientific Report 7, 41379, doi:10.1038/srep41379
    • Pin Ng, Wing-Keung Wong, Zhijie Xiao*, Stochastic Dominance Via Quantile Regression, European Journal of Operational Research, forthcoming
    • Niu, Cuizhen and Wong, Wing-Keung* and Xu, Qunfang Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance, submitted to Risk Management. conditionally accepted.

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