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Hui Zheng

Hui Zheng

BMgt SCUT MCom PhD Sydney
Senior Lecturer

Rm 443
H69 - Economics and Business Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9351 6448
Fax +61 2 9351 6461
hui.zheng@sydney.edu.au

Bio

Dr. Hui Zheng holds a PhD in Finance from the University of Sydney. His research specialization is security market microstructure. He has published in internationally refereed journals including Journal of Banking & Finance, Journal of Futures Markets and The Financial Review.

Dr. Zheng has been focusing his research on the latest development of financial markets and practice. Over the past 10 years he has conducted research in association with the Securities Industry Research Centre of Asia-Pacific, Credit Suisse (Hong Kong), the Sydney Futures Exchange, Macquarie Bank, the Capital Market Cooperative Research Centre and several private investment and security services companies. Dr. Zheng has also worked with the Shanghai Stock Exchange examining the security market structure in China with respect of the roles and relationships between the exchanges, government supervision bodies, brokers, and retail and institutional investors, as well as the design of real-time market surveillance in China. More recently Dr. Zheng has held visiting research positions at George Mason University and NASDAQ OMX Group. His current research interests reside on issues related to market fragmentation, dark liquidity and high frequency trading.

Dr. Zheng has taught a variety of subjects at both undergraduate and postgraduate levels, including corporate finance, portfolio and investment management and trading and dealing in securities markets. In particular he has introduced an on-line trading simulation system to his classes that allows students to practice trading while learning in historical trading scenarios.

Publications

2014

4
Journal Article/s

Viljoen T, Westerholm J and Zheng H 2014 'Algorithmic Trading, Liquidity, and Price Discovery: An Intraday Analysis of the SPI 200 Futures', The Financial Review (Special Issue on Computerized and High-Frequency Trading), vol.49:2, pp. 245-70 Link

5
Conference Paper/s

Zheng H, Hatheway F and Kwan A A 2014 'An Empirical Analysis of Market Segmentation on U.S. Equities Markets', European Finance Association 41st Annual Meeting, Lugano, Switzerland, 30th August 2014

2013

4
Journal Article/s

Frino A, Satchell S, Wong B and Zheng H 2013 'How much does an Illegal Insider Trade?', International Review of Finance, vol.13:2, pp. 241-63 Link

Kidson R, Haddad B, Zheng H, Kasower S and Raucher R 2013 'Optimising Reliability: Portfolio Modeling of Contract Types for Retail Water Providers', Water Resources Management, vol.27:9, pp. 3209-25 Link

5
Conference Paper/s

Frino A, Viljoen T, Westerholm J, Zheng H and Wang GHK 2013 'Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading around Earnings Announcements (Semifinalist for one of four best paper awards - Market Microstructure category)', Financial Management Association Annual Meeting FMA 2013, Chicago, United States, 19th October 2013

Hatheway F, Kwan A and Zheng H 2013 'An Empirical Analysis of Market Segmentation on U.S. Equities Markets', 9th Annual Central Bank Workshop on the Microstructure of Financial Markets, Frankfurt am Main, Germany, 6th September 2013

Frino A, Viljoen T, Wang GHK, Westerholm J and Zheng H 2013 'Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading Around Earnings Announcements (Semifinalist for the CFA Institute Research Award)', Financial Management Association Asia Conference 2013, Shanghai, China, 19th April 2013

2012

4
Journal Article/s

Frino A, Webb RI and Zheng H 2012 'Does International Order Flow Contribute to Price Discovery in Futures Markets?', Journal of Futures Markets, vol.32:12, pp. 1124-43 Link

2010

4
Journal Article/s

Frino A, Jarnecic E and Zheng H 2010 'Activity in futures: does underlying market size relate to futures trading volume?', Review of Quantitative Finance and Accounting, vol.34:3, pp. 313-25

Frino A, Johnstone D and Zheng H 2010 'Anonymity, Stealth Trading and the Information Content of Broker Identity', Financial Review, vol.45:3, pp. 501-22

5
Conference Paper/s

Frino A, Satchell S, Wong B and Zheng H 2010 'How much does an illegal insider trade', Financial Management Association Annual Meeting FMA 2010, New York, United States, 23rd October 2010

2009

4
Journal Article/s

Frino A, Segara R and Zheng H 2009 'The Impact of Trade Characteristics on Stock Return Volatility: Evidence from the Australian Stock Exchange', Asia-Pacific Journal of Financial Studies, vol.38:2, pp. 163-86

2008

2
Book Section/s

Parwada J and Zheng H 2008 'Introduction to the Securities Market' in Trade Execution, Arbitrage and Dealing in Australia, ed. Frino A & Segara R, Pearson Education, Sydney, Australia, pp. 1-33

2005

5
Conference Paper/s

Frino A, Johnstone D and Zheng H 2005 'The Information Content of Trader Identification', Workshop on Microstructure of Financial Markets, Madrid, Spain, 19th March 2005

2004

4
Journal Article/s

Frino A, Johnstone D and Zheng H 2004 'The propensity for local traders to ride losses: Evidence of irrational or rational behaviour?', Journal of Banking & Finance, vol.28:2, pp. 353-372 Link

Recent Units Taught