Associate Professor Wai-Man (Raymond) Liu
BComm, Pgrad Dip Finance, MComm(Hons), PhD
Associate Professor in Finance
ANU College of Business and Economics
Areas of expertise
- Finance 150201
- Banking, Finance And Investment 1502
- Financial Economics 140207
- Microeconomic Theory 140104
Research interests
Liu's research interests are broad and diverse, from the minutiae of market microstructure - on how price is formed when traders interact strategically in the financial market - to the study of the insights of Adam Smith's division of labour and specialization on increasing returns. His present research focus is mainly on the area of empirical and theoretical market microstructure, asset pricing, theory of firm, political economy and health science.
Biography
Wai-Man (Raymond) Liu graduated with his Ph.D. in April 2005. Liu has published a research monograph on Inframarginal Economics and numerous high quality papers in international refereed journals, including Journal of Financial Economics, Journal of Financial Markets, Journal of Futures Markets, Journal of Banking & Finance, Pacific-Basin Finance Journal and Pacific Economic Review. The research monograph was co-written with the late Prof. Xiaokai Yang (Yang and Liu (2009)). It provides systematic and comprehensive materials for applying a new overarching framework to the analysis of a wide range of micro and macro phenomena. Liu’s key research area is in market microstructure. His works involve studying the role of public information on the formation of liquidity and volatility in the financial market.
Researcher's projects
Health Science:
- “The welfare of informal caregivers” with Emma Schultz.
Finance:
- “CFD’s, Forwards, Futures and the Cost of Carry” with F. Douglas Foster and Adrian Lee. This paper was presented at the UTS Brownbag.
- “Strategic order submission and cancellation in pre-opening periods and its impact on price discovery: the case of IPO firms”, with Joseph Kuk and Peter Pham.
- “Options on options, tradeoffs, technology and algorithms: my, how times have changed “with F. Douglas Foster.
- “Predatory Trading: Evidence Around the Routine Index Reconstitution” with Zach Zhi Jie Chan and Emma Schultz
- “Responding to Firm Performance: The Evolution of State Ownership in East Asia” with Richard W. Carney, Phong Ngo and Travers Child
- “Responding to Financial Crisis: The Rise of State Ownership and Implications for Firm Performance” with Richard W. Carney and Phong Ngo.
- “Migration of trading and the introduction of Single Stock Futures on the underlying U.S. stocks” with Andre Gygax and Thomas Henker.
- “Harnessing media attention: Corporate press releases and media coverage around earnings announcements” with Phong Ngo and Qiaoqiao Zhu.
- “Why do Foreigners Become Blockholders?” with Fariborz Moshirian, Peter Pham and Jason Zein.
- “The impact of strategic order activity during trading halt” with James Panaust.
- “Volatility discovery” with F. Douglas Foster and Robert E. Whaley.
Economics:
- “Voting with Your Feet: Political Competition and Internal Migration in the United States” with Phong Ngo
- “General equilibrium analysis of political monopoly & political competition”.
Publications
- Chapman, M, Johnston, N, Lovell, C et al 2018, 'Avoiding costly hospitalisation at end of life: findings from a specialist palliative care pilot in residential care for older adults', BMJ Supportive Palliative Care, vol. 8, no. 1, pp. 102-109pp.
- Adhikary, S, Karanzalis, D, Liu, W et al 2017, 'A Prospective Randomized Study to Evaluate a New Learning Tool for Ultrasound-Guided Regional Anesthesia', Pain Medicine, vol. 18, no. 5, pp. 856-865.
- Flynn, D, Liu, W, Elkassabany, N et al 2017, 'Hospital-Based Acute Care within 7-days of Discharge following Outpatient Arthroscopic Shoulder Surgery', Anesthesia and Analgesia.
- Adhikary, S, McQuillan, P, Fortunato, M et al 2017, 'A manikin-based evaluation of a teaching modality for ultrasound-guided infraclavicular longitudinal in-plane axillary vein cannulation in comparison with ultrasound-guided internal jugular vein cannulation: A pilot study', Journal of Anesthesiology Clinical Pharmacology, vol. Online, pp. 5pp..
- Forbat, E, Chapman, M, Lovell, C et al 2017, 'Improving specialist palliative care in residential care for older people: a checklist to guide practice', BMJ Supportive & Palliative Care - BMJ Journals, pp. 8pp..
- Johnston, N, Lovell, C, Liu, W et al 2016, 'Normalising and planning for death in residential care: findings from a qualitative focus group study of a specialist palliative care intervention', BMJ Supportive Palliative Care, vol. Online, pp. 1-7.
- Shi, Y, Ho, K & Liu, W 2016, 'Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach', International Review of Economics and Finance, vol. 42, pp. 291-312.
- Shi, Y, Liu, W & Ho, K 2016, 'Public news arrival and the idiosyncratic volatility puzzle', Journal of Empirical Finance, vol. 37, no. -, pp. 159-172.
- Adhikary, S, Liu, W, Memtsoudis, S et al 2016, 'Body Mass Index More Than 45 kg/m(2) as a Cutoff Point Is Associated With Dramatically Increased Postoperative Complications in Total Knee Arthroplasty and Total Hip Arthroplasty', Journal of Arthroplasty, vol. 31, no. 4, pp. 749-753.
- Liu, W, Schultz, E & Swieringa, J 2015, 'Price dynamics in global crude oil markets', Journal of Futures Markets, vol. 35, no. 2, pp. 148-162.
- Liu, W.-M. & Ngo, P 2014, 'Elections, political competition and bank failure', Journal of Financial Economics, vol. 112, no. 2014, pp. 251-268.
- Fong, K & Liu, W.-M. 2010, 'Limit order revisions', Journal of Banking and Finance, vol. 34, no. 8, pp. 1874 - 1885.
- Chu, C & Liu, W.-M. 2010, 'General Equilibrium Analysis of Hold-Up Problem and Non-Exclusive Granchise Contract', Pacific Economic Review, vol. 15, no. 5, pp. 674 - 684.
- Kuk, J., Liu, W.-M. & Pham, P.K. 2010, 'Strategic order submission and cancellation in pre-opening periods and its impact on price discovery: the case of IPO firms', AFA 2010 Atlanta Meetings Paper.
- Liu, W 2009, 'Monitoring and limit order submission risks', Journal of Financial Markets, vol. 12, no. 1, pp. 107-141.
- Yang, X. & Liu, W.-M. 2009, Inframarginal Economics, Singapore: World Scientific Publishing. ISBN 978-981-238-928-2
- Liu, W & Yang, X 2008, Inframarginal Economics, World Scientific Publishing Company, Singapore.
- Liu, W & Yang, X 2007, 'Effects of Political Monopoly on Economic Development', Pacific Economic Review, vol. 12, no. 1, pp. 69-78.
- Foster, F & Liu, W 2007, 'Linking Limit Orders: Managing Free Options on Options', Asian FA/FMA Meeting 2007, Financial Management Association International, Hong Kong.
- Kalev, P. Pham, P., Liu, W.-M. and Jarnecic E. 2004, 'Public information arrival and volatility of intraday stock returns' Journal of Banking & Finance, Vol 28, pp. 1441-67.
- Liu, W.-M. & Sawyer, K. 2003, 'How free are free trading options?' Pacific-Basin Finance Journal, Vol 11, pp. 1-19.
