Chong Tai Leung

Prof. CHONG Tai Leung, Terence
Associate Professor
Tel: (852) 3943-8193
Email: chong2064@cuhk.edu.hk
Office Location: Room 930, Esther Lee Building
Home Page: http://www.cuhk.edu.hk/eco/staff/tlchong/tlchong3.htm  

MA, Ph.D. (Rochester)

Research Interest

Econometric Theory
Time Series Analysis
Technical Analysis of Financial Data


Prof. Chong is Associate Professor of Economics and Executive Director of Lau Chor Tak Institute of Global Economics and Finance, and the Dean of Students of New Asia College, The Chinese University of Hong Kong. Since 2013, he also concurrently serves as Siyuan Chair Professor of Nanjing University in China. Prof. Chong received his Bachelor degree in Economics from The Chinese University of Hong Kong in 1991, and Ph.D. in Economics from the University of Rochester in 1995. His main research area is financial econometrics. He has published over 400 articles in international journals and newspapers covering a wide spectrum of topics in Econometrics, Finance, Mathematics, Psychology, Education and the Chinese Economy. Prof. Chong ranks top 37th worldwide in theoretical econometrics and top 2% authors worldwide in terms of the Number of Distinct Works. His papers are published in reputable international journals, including Journal of Econometrics, Econometric Theory, Econometric Review, Econometrics Journal, Journal of Time Series Analysis, Journal of Economic Dynamics and Control, Journal of Banking and Finance, Financial Management,Journal of Futures Markets, Quantitative Finance, Financial Review, Pacific-Basin Finance Journal, Journal of Behavioral Finance, Southern Economic Journal, Economics Letters, Journal of Economic Psychology, Review of Income and Wealth and China Economic Review. Prof. Chong is dedicated to community service. He was a Part-time member of the Central Policy Unit of the HKSAR Government and a member of the Board of Governors of International College Hong Kong (Hong Lok Yuen). He is currently a member of Standard Working Hours Committee, Transport Advisory Committee, Land and Development Advisory Committee, Vetting Committee of the SME Development Fund and the Dedicated Fund on Branding, Upgrading and Domestic Sales of the HKSAR Government, the associate editor of Singapore Economic Review and Economics Bulletin, and the director of the Financial Markets Program, Hong Kong Institute of Asia-Pacific Studies.


莊太量教授現為香港中文大學經濟學系副教授,劉佐德全球經濟及金融研究所常務所長,及新亞書院輔導長,2013-2016年兼任南京大學思源講座教授。莊教授1991年獲香港中文大學經濟學學士,1995年獲美國羅徹斯特大學 (University of Rochester) 經濟學博士,其專業研究範疇為計量經濟學及財務技術分析,2000-2005年於全球理論計量經濟學排名37,著有《人生煉金術的7大抉擇》一書及400餘篇論文發表於國際學術期刊以及中港報章。莊教授熱心服務社會,經常接受電子傳媒及報章訪問,及與中港政府官員和商界領袖交流經濟意見,並出任多項公職,曾任香港特別行政區政府中央政策組非全職顧問及康樂園國際學校校董,現為香港特別行政區政府標凖工時委員會交通諮詢委員會土地及建設諮詢委員會中小企業發展支援基金及發展品牌升級轉型及拓展內銷市場的專項基金評審委員會委員,香港學術及職業資歷評審局專家小組委員,亞太研究所金融市場研究計劃主任,及多份國際期刊的編輯委員。


Selected Journal Publications

On Econometrics

[1] "Partial Parameter Consistency in a Misspecified Structural Change Model," Economics Letters, 49, October 1995, pp. 351-357.

[2] "Estimating the Fractionally Integrated Process in the Presence of Measurement Errors" (with C.S. Lui), Economics Letters, 63, June 1999, pp. 285-294.

[3] "Estimating the Differencing Parameter via the Partial Autocorrelation Function," Journal of Econometrics, 97, August 2000, pp. 365-381.

[4] "Structural Change in AR(1) Models," Econometric Theory, 17, No. 1, February 2001, pp. 87-155.

[5] "Estimating the Locations and Number of Change Points by the Sample-Splitting Method," Statistical Papers, 42, No. 1, 2001, pp. 53-79

[6] "Time Series Properties of the Aggregated AR(2) Processes," (with K.T. Wong), Economics Letters, 73, December 2001, pp. 325-332.

[7] "Generic Consistency of the Break-Point Estimator under Specification Errors," Econometrics Journal, 6, June 2003, pp. 167-192.

[8] "The Polynomial Aggregated AR(1) Model," Econometrics Journal, 9, March 2006, pp. 98-122.

[9] "A Class Test for Fractional Integration," (with Melvin Hinich), Studies in Nonlinear Dynamics & Econometrics, 11, 2007, No. 2, Article 5.

[10] "Generic Consistency of the Break-Point Estimator under Specification Errors in a Multiple-Break Model," (with Jushan Bai, Haiqiang Chen and Xin Wang), Econometrics Journal, 11, July 2008, pp. 287-307.

[11] "Time Series Test of Nonlinear Convergence and Transitional Dynamics," (with Melvin Hinich, K.P. Lim and Venus Liew), Economics Letters, 100, September 2008, pp. 337-339.

[12] "An Omnibus Test for Time Series Model I(d)," (with Melvin Hinich), Communications in Statistics, Simulation and Computation, 38(1) January 2009, pp. 140-153.

[13] "The Theory and Applications of TAR Model with two Threshold Variables " (with Jushan Bai and Haiqiang Chen), Econometric Review, 31(2), 2012, pp. 142-170.

[14] "Testing for a Unit Root in the Presence of Stochastic Volatility and Leverage Effect" (with Yong Li and Jie Zhang) Economic Modelling, 29(5), September 2012, pp. 2035-2038.

[15] "Asymptotic Inferences for an AR(1) Model with a Change Point: Stationary and Nearly Non-stationary Cases," (with Tianxiao Pang and Danna Zhang), Journal of Time Series Analysis, 35, 2014, pp. 133-150.

[16] "Dirichlet Process Multiple Change-point Model" (with Stanley Ko and Pulak Ghosh), Bayesian Analysis, 10(2), 2015, pp.275-296.

[17] "Structural Change in Mildly Integrated AR(1) Models" (with Tianxiao Pang, Yanling Liang and Danna Zhang), Econometric Theory, forthcoming.

[18] "Estimation and Inference of Threshold Regression Models with Measurement Errors,"(with Haiqiang Chen, Isabel Yan and Tsz Nga Wong), Studies in Nonlinear Dynamics & Econometrics, forthcoming.

[19] "Model Averaging for Threshold Models" (with Yan Gao, Xinyu Zhang, Shouyang Wang and Guohua Zou), Annals of the Institute of Statistical Mathematics, revise and resubmission.


On Finance

[20] "What Explains Herd Behavior in the Chinese Stock Market?" (with X. Liu and C. Zhu), Journal of Behavioral Finance, forthcoming.

[21] "The Stock-Bond Comovements and Cross-Market Trading" (with Huanhuan Zheng, Mengling Li and Yang Zhang), Journal of Economic Dynamics and Control, 73, December 2016, pp. 417-438.

[22] "Executive Stock Option Pricing in China under Stochastic Volatility," (with Yue Ding and Yong Li), Journal of Futures Markets, 35(10), 2015, pp. 953-960.

[23] "A Principal Component Approach to Measuring Investor Sentiment in China" (with Yingni She and Haiqiang Chen), Quantitative Finance, 14(4), pp. 573-579.

[24] "Does Banking Competition Alleviate or Worsen Credit Constraints Faced by Small and Medium Enterprises? Evidence from China" (with Steven Ongena and Liping Lu), Journal of Banking and Finance, 37(9), September 2013, pp. 3412-3424.

[25] "Are Chinese Stock Market Cycles Duration Independent?" (with Zimu Li and Haiqiang Chen), Financial Review, 46, 2011, pp. 149-162.

[26] "A Competing Risks Analysis of Corporate Survival" (with Qing He, Li Li and Jun Zhang), Financial Management, Winter 2010, pp. 1697-1718.

[27] "Are Nonlinear Trading Rules Profitable in the U.S. Stock Market?" (with Tau-Hing Lam), Quantitative Finance, 10(9), November 2010 , pp. 1067-1076.

[28] "A Principal-Factor Approach to Measuring Investor Sentiment" (with Xin Duan and Haiqiang Chen), Quantitative Finance, 10(4), April, 2010, pp. 339-347. (Lead article)

[29] "Do Momentum-based Strategies Work in Emerging Currency Markets?" (with Hugo Ip), Pacific-Basin Finance Journal, 17, September 2009, pp. 479-493.

[30] "Determining the Contribution to Price Discovery for Chinese Cross-listed Stocks" (with Qian Su), Pacific-Basin Finance Journal, 15, April 2007, pp. 140-153.


On Applied Econometrics

[31] "The Inadequacy of Linear Autoregressive model for Real Exchange Rates: Empirical Evidence from Asian Economies," (with K.P. Lim and Venus Liew), Applied Economics, 5, August 2003, pp. 1387-1392.

[32] "Are Asian Real Exchange Rates Stationary?" (with Venus Liew and A.Z. Baharumshah), Economics Letters, 83, June 2004, pp. 313-316.

[33] "The Nonlinear Dynamics of Foreign Reserves and Currency Crises,"(with Melvin Hinich and Qing He), Studies in Nonlinear Dynamics & Econometrics, 12, 2008, No. 4, Article 2.

[34] "The Empirical Quest for Pi," Computers and Mathematics with Applications, 56, November, 2008, pp. 2772-2778.

[35] "What Accounts for Chinese Business Cycle?" (with Qing He and Kang Shi), China Economic Review, 20, December 2009, pp. 650-661.

[36] "Who will Win the Nobel Prize?", (with C. Choi and Ben Everard), Economics Bulletin, 29, May, 2009, no.2, pp. 1107-1116.

[37] "An Investigation of Duration Dependence in the American Stock Market Cycle," (with Melvin Hinich, Zimu Li and Haiqiang Chen), Journal of Applied Statistics, 37(8), 2010, pp. 1407-1416.

[38] "The Value of Superstitions" (with Travis Ng and Xin Du), Journal of Economic Psychology, 31, June 2010, pp. 291-309.

[39] "Is the Chinese Stock Market Really Inefficient?"(with Tau-Hing Lam and Isabel Yan), China Economic Review, 23(1), March 2012, 122-137.

[40] "Long-Range Dependence in the International Diamond Market," (with Michael Lu and Wing H. Chan) Economics Letters, 116(3), September 2012, pp. 401-403.

[41] "What Determines the Price of a Racing Horse?" " (with Travis Ng, Man Tat Siu and Ben Everard), Applied Economics, 45(3), January 2013 , pp. 369-382.

[42] "Shipping the Good Horses Out" (with Travis Ng and Jean Eid), Southern Economic Journal, 80(2),October 2013, pp. 540-561.

[43] "Factor-Augmented VAR Analysis of the Monetary Policy in China" (with Pak Ho Leung and Qing He), China Economic Review, 25, June 2013, 88-104.

[44] "The Nexus between Labour Wages and Property Rents in the Greater China Area" (with C. W. Shui and V. Wong), China Economic Review, 30, September 2014, pp. 180–191.

[45] "Nonlinear Dependence between Stock and Real Estate Markets in China" (with Jack Ding and S.Y. Park), Economics Letters, 124(3), September 2014, pp. 526-529.

[46] "The Olympic Games and the Improvement of Economic Well Being" (with Pik Hung Hui), Applied Research in Quality of Life, 8(1), March 2013, pp 1-14.

[47]"Can Poverty be Alleviated in China" (with Cong Qin), Review of Income and Wealth, forthcoming.

[48] "Does Monetary Policy Matter For Trade?" (with Kin Ming Wong), International Economics, forthcoming.

[49] "Do Speculative Bubbles Migrate in the Chinese Stock Market?" (with Q. He, Z. Qian and Z. Fei), Empirical Economics, revise and resubmission.

[50] “Regional Differences in Entrepreneurial Choices: The Case of China” (with Bei Luo), Small Business Economics, revise and resubmission.

[51] "A New Recognition Algorithm for "Head-and-Shoulders" Price Patterns" (with Ka Ho Poon), Studies in Nonlinear Dynamics & Econometrics, revise and resubmission.

[52] "Housing Prices and Business Cycle in China: A DSGE Analysis" (with Qing He, Fangge Liu and Zongxin Qian), International Review of Economics and Finance, forthcoming

[53] "Institutional Ownership and Private Equity Placements: Evidence from Chinese Listed Firms" (with Qing He, Dongxu Li and Liping Lu), International Review of Finance, revise resubmission.

[54] "Factor Pricing in Commodity Futures and the Role of Liquidity" (with Sunny Tsui and Wing Chan), Quantitative Finance, forthcoming.

[55] "Predictive Models for Disaggregate Stock Market Volatility" (with Shiyu Lin), Financial Markets and Portfolio Management, forthcoming.

Awards and Honours

  • 國家自然科學基金(專案號:71673312),項目名稱:過度負債、金融壓力與實體經濟下滑:理論、證據與對策研究,費用:48.00萬元,項目起止年月:201701月至 2020 12 (莊太量、彭方平)
  • HK$ 134,550. "Chow-Lin Disaggregation in the Presence of Structural Breaks," funded by the Research Grants Council of Hong Kong (RGC) 2011/12
  • HK$387,817. "Estimating of and Testing for a Break in the Differencing Parameter," funded by the Research Grants Council of Hong Kong (RGC) 2000/01
  • HK$220,000. "Testing the Null Hypothesis of ARFIMA Processes against the Alternative of Non-ARFIMA Processes," funded by the Research Grants Council of Hong Kong (RGC) 1998/99
  • HK$210,790. "Generic Consistency of the Break-Point Estimator under Specification Errors," funded by the Research Grants Council of Hong Kong (RGC) 1997/98
  • Ranked top 37th worldwide by theoretical econometrics publication in Table 15a of Baltagi B.H. (2007) "Worldwide Econometrics Rankings: (1989-2005)", Econometric Theory 23(5), pp 952-1012.
  • Ranked top 55th worldwide by all econometrics publication in Table 16a of Baltagi B.H. (2007) "Worldwide Econometrics Rankings: (1989-2005)", Econometric Theory 23(5), pp 952-1012.

Courses Taught

1st Term
2nd Term