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Henry Leung

Photo of Henry Leung

BE (Hons I) BCom Sydney; MBus UTS; PhD Sydney
Lecturer

Rm 445
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9114 0554
Fax +61 2 9351 6461
henry.leung@sydney.edu.au
Curriculum vitae Curriculum vitae

Bio

Henry Leung worked as a senior analyst at BT Financial Group, Deutsche Bank and Commonwealth Securities before joining the University. In the process, he has gained extensive knowledge and practical experience in the engineering of large scale trading and dealing systems covering foreign exchange, equities, fixed income and derivatives products. He graduated from the University with first class honours in Electrical Engineering and Commerce (major in finance and economics) and successively completed a Masters of Business in Finance at the University of Technology, Sydney. Henry was a recipient of the Faculty of Economics and Business Research Scholarship.

He has published in top tier finance journals such as Review of Finance, the Journal of Corporate Finance, the Journal of Banking and Finance, Economic Modelling, the Pacific-Basin Finance Journal, the Australian Journal of Management and the International Review of Economics and Finance. His publication "Unequal access to analyst research" (Australian Journal of Management August 2013) won the runner up E. Yetton Prize, which was inaugurated in December 1994 to celebrate the winning article published in the Journal in the previous year that, in the eyes of the Associate Editors, was of exceptional quality and was likely to have a substantial impact in the field of management research.

He serves as a committee member of the TSAFRG (Time Series and Forecasting Research Group) and the MMRG (Market Microstructure Research Group). He is a reviewer of the Australian Journal of Management, Bulletin of Economic Research, Emerging Markets Finance and Trade, International Journal of Emerging Markets, Journal of Asset Management, The Service Industries Journal, and the International Review of Financial Analysis Journal.

Research Interests

Henry’s program of research consist of three domains of expertise: (1) Market Microstructure; (2) Online Media and Capital Markets; and, (3) FinTech and Financial Innovation.

His work in Market Microstructure focuses on the trading behaviour and informativeness of the trading activity carried out by institutional and retail investors. In a study published in the Review of Finance, he employed a Signed small trade turnover (SSTT) to measure temporary uninformed buy or sell pressure that is initiated by small trades in the same direction. Using Helsinki exchange tick-by-tick trade data with known investor category, he confirmed that SSTT is a robust proxy for uninformed trading. Systematic trading behavior appeared to better explain the excess return generated by the low SSTT portfolio relative to the high SSTT portfolio when compared to traditional risk factor models.

His other research interest lies in the study of the impact of social media on the capital markets. In a study published in the Journal of Banking and Finance, he examined the impact of more than 2.5 million HotCopper messages on the Australian stock market. HotCopper is the largest online stock message board in Australia. The study concluded that the number of board messages and message sentiment significantly and positively relate to the contemporaneous returns of underperforming small capitalization stocks with high market growth potential. Posting activity was found to be positively associated with the trading volume for small stocks and negatively associated with the transaction costs of both small and large stocks.

2018

4
Journal Article/s

Leung H, Tse J and Westerholm J 2018 Forthcoming 'CEO Traders and Corporate Acquisitions', Journal of Corporate Finance [Link]

Gao Y, Leung H and Satchell S 2018 'A critique of momentum strategies', Journal of Asset Management, vol.19:5, pp. 341-350 [Link]

2017

4
Journal Article/s

Leung H, Schiereck D and Schroeder F 2017 'Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises', Economic Modelling, vol.61, pp. 169-80 [Link]

Gao Y and Leung H 2017 'Impact of Short Selling Restrictions on Informed Momentum Trading: Australian Evidence', Pacific-Basin Finance Journal, vol.45, pp. 103-115 [Link]

5
Conference Paper/s

Gao Y, Leung H and Satchell S 2017 'Partial Moment Momentum', 2017 Auckland Finance Meeting, Queenstown, New Zealand, 20th December 2017

Gao Y, Leung H and Satchell S 2017 'Partial Moment Momentum', 25th Conference on the Theories and Practices of Securities and Financial Markets, Kaohsiung, Taiwan, 16th December 2017

Gao Y, Leung H and Satchell S 2017 'Partial Moment Momentum', 30th Australasian Finance and Banking Conference, Sydney, Australia, 15th December 2017

Ton T, Leung H and Schiereck D 2017 'Sentiment and Agreement on the Internet Message Board', IFABS Asia 2017 Ningbo China Conference, China, 2nd September 2017

Ke T, Leung H and Hu Y 2017 'New Analysis Method for Forecasting Foreign Exchange Rates Volatility during the Global Financial Crisis', 1st International Conference on Econometrics and Statistics EcoSta 2017, Hong Kong, (China), 17th June 2017

2016

5
Conference Paper/s

Leung H, Schiereck D and Schroeder F 2016 'Volatility Spillovers and Determinants of Contagion: Exchange Rate and Equity Markets during Crises', 2016 Vietnam Symposium in Banking and Finance, Hanoi, Vietnam, 18th November 2016

Leung H and Westerholm J 2016 'CEO traders and corporate acquisitions', Annual Meeting of the FIRN Corporate Finance Research Group, Sydney, Australia, 5th August 2016

Leung H 2016 'International volatility spillover across exchange rate markets and equity markets during financial crises', Applied Financial Modelling Conference, Melbourne, Australia, 5th February 2016

6
Conference Proceeding/s

Ke T, Leung H and Hu Y 2016 'New Analysis Method for Forecasting Foreign Exchange Rates Volatility during the Global Financial Crisis', 24th SFM Conference 2016: Conference on the Theories and Practices of Securities and Financial Markets, Kaohsiung, Taiwan, 10th December 2016

2015

4
Journal Article/s

Leung H and Ton T 2015 'The Impact of Internet Stock Message Boards on Cross-Sectional Returns of Small-Capitalization Stocks', Journal of Banking and Finance, vol.55, pp. 37–55 [Link]

5
Conference Paper/s

Leung H, Tse J and Westerholm J 2015 'CEO traders and corporate acquisitions', IFABS Oxford Corporate Finance Conference, Oxford, United Kingdom, 13th September 2015

Gao Y and Leung H 2015 'Short Selling Ban on Momentum Trading Strategies in Australian Equities During the Global Financial Crisis', 5th Behavioral Finance and Capital Markets Conference, Adelaide, Australia, 9th September 2015

6
Conference Proceeding/s

Leung H, Krug JD, Westerholm J, Schiereck D and Fong K 2015 'Determinants of Household Broker Choice and the Impact on Performance', Proceedings of the 28th Australasian Finance and Banking Conference, Sydney, Australia, 18th December 2015

2014

4
Journal Article/s

Leung H, Rose A and Westerholm J 2014 'Systematic Trading Behavior and the Cross-Section of Stock Returns on the OMXH', Review of Finance, vol.18:6, pp. 2325-74 [Link]

5
Conference Paper/s

Leung H, Schiereck S and Schroeder F 2014 'International Volatility Spillover Across Exchange Rate Markets and Equity Markets During Financial Crises', World Finance & Banking Symposium, Singapore, 13th December 2014

Westerholm J, Leung H and Tse J 2014 'Corporate Acquisitions of CEO Traders', 2014 Financial Management Association FMA Annual Meeting, Nashville, United States, 18th October 2014

2013

2
Book Section/s

Leung H 2013 'Security Analysts' Earnings Forecasts' in Techniques and Elements of Finance, McGraw-Hill Australia

4
Journal Article/s

Lepone A, Leung H and Li G 2013 'Unequal Access to Analyst Research', Australian Journal of Management, vol.38:2, pp. 253-77 [Link]

He W, Lepone A and Leung H 2013 'Information Asymmetry and the Cost of Equity Capital', International Review of Economics and Finance, vol.27:June, pp. 611-20 [Link]

5
Conference Paper/s

Leung H, Rose A and Westerholm J 2013 'Modulated Investment Strategies During the Credit Crisis of 2007/2008 and the Cross-Section of Stock Returns: Fear or Greed?', 17th Annual European Conference of the Financial Management Association International FMA 2013, Luxembourg, 14th June 2013

2012

6
Conference Proceeding/s

Leung H, Westerholm J and Rose A 2012 'Informational Effect and Market Quality Impact of Crossed Trades and Fleeting Orders on the Australian Securities Exchange', Proceedings of the World Finance & Banking Symposium - "Asian Finance & Banking", Shanghai, China, 18th December 2012

2011

4
Journal Article/s

Leung H 2011 'Analysts Earnings Forecasts Distribution', International Journal of Banking and Finance, vol.8:3, pp. 37-53

Westerholm J and Leung H 2011 'Execution Costs of Market Designs Worldwide during the Global Credit Crisis', The Journal of Trading, vol.6:4, pp. 60-81 [Link]

Delort J, Arunasalam B, Leung H and Milosavljevic M 2011 'The Impact of Manipulation in Internet Stock Boards', International Journal of Banking and Finance, vol.8:4, pp. 1-18

5
Conference Paper/s

Westerholm J and Leung H 2011 'Execution Costs of Market Designs Worldwide During the Global Credit Crisis (Awarded Best Research Paper)', 19th Conference on the Theories and Practices of Securities and Financial Markets 2011, Kaohsiung, Taiwan, 10th December 2011

Leung H, Rose A and Westerholm J 2011 'Systematic Trading Behaviour and Cross-Sectional Stock Returns on the OMXH (Winner of the best paper presented by an established researcher prize)', Behavioral Finance and Capital Markets Conference, Adelaide, Australia, 16th September 2011

Westerholm J, Leung H and Rose A 2011 'Does systematic trading behaviour in different investor categories impact upon future stock returns? A study of investors in the Finnish market', Financial Management Association FMA European Conference 2011, Porto, Portugal, 10th June 2011

2010

5
Conference Paper/s

Leung H, Lepone A and Segara R 2010 'Information Asymmetry around Earnings Announcements in the Order Driven Market: Australian Evidence', 2nd Financial Management Association FMA International Annual Asian Conference 2010, Singapore Management University, Singapore, 16th July 2010

Westerholm J, Rose A and Leung H 2010 'Market Quality Externalities from Crossing and Internalization in a Limit Order Book market (ASX)', 8th INFINITI Conference on International Finance - "International Credit and Financial Market Integration: After the Storm?", Dublin, Ireland, 15th June 2010

2009

5
Conference Paper/s

Leung H 2009 'Analysts Earnings Forecasts Distribution Normality: An Empirical Investigation', 21st Asian-Pacific Conference on International Accounting Issues, Las Vegas, United States, 24th November 2009

Leung H 2009 'Analysts Earnings Forecasts Distribution Normality: An Empirical Investigation', 29th Annual International Symposium on Forecasting 2009, Hong Kong, (China), 24th June 2009

Leung H 2009 'Employment of Security Analysts Earnings Forecasts Mean or Median Consensus: A Big Mistake?', Contemporary Accounting Research and Journal of Contemporary Accounting and Economics Joint Symposium, Hong Kong, (China), 3rd January 2009

2006

6
Conference Proceeding/s

Leung H 2006 'Accuracy of security analysts' earnings forecasts: Distributions normality and a comparative analysis of distribution moments in the development of the surrogate consensus', Forecasting Challenges in a Changing World Environment - Proceedings of the 26th International Symposium on Forecasting (ISF), Santander, Spain, 14th June 2006

11
Seminar Paper/s

Leung H 2006 'Analysts Earnings forecast Distributions Normality: An Empirical Investigation., Discipline of Accounting Seminar, University of Sydney, Australia, 13 December 2006

Selected grants

2018 - 2019

Recent Units Taught

  • FINC2012 Corporate Finance II

    2018: S1,
    2017: S2,
    2016: S2,

  • FINC5001 Capital Markets and Corporate Finance

    2017: Int Jan,

  • FINC6001 Intermediate Corporate Finance

    2018: Int Jan,
    2017: S2,
    2016: S1,

  • FINC6013 International Business Finance

    2018: S1,

  • FINC6025 Entrepreneurial Finance

    2018: S1,

Newsroom articles

  • Sterling flash crash inquiry puts speed traders in the clear 15 Jun 2018

    UK Times

    Dr Henry Leung co-authored a paper on the reasons for the 2016 “flash crash” of the British Pound Sterling against the US Dollar. UK Times published an article on how the report’s findings shed new light on the reasons for the 2016 crash of the Sterling.

See all Newsroom items for Henry Leung