Liang Ding @ Macalester College >> Economics Department






Currently, my research mainly focuses on financial markets, especially the Foreign Exchange Market. The following are my recently finished and ongoing projects.

 Portfolio Reallocation and Exchange Rate Dynamics, with Jun Ma, Journal of Banking and Finance, 2013, pages 3100-3124. 

Exchange Rates and Oil Prices: A Multivariate Stochastic Volatility Analysis, with Minh Vo, Quarterly Review of Economics and Finance, 2012, pages 15-37. 

Semi-Transparency, Dealership Market and Foreign Exchange Market Quality, with Vittorio Addona and Hao Zou (‘10), Review of Financial Economics, 2012, pages 1–13.

Thursday Effect of the Forward Premium Puzzle, International Review of Economics and Finance, 2012, pages 302–318.

Asymmetric Correlations in Equity Returns: A Fundamental-based Explanation, with Hiro Miyaki (09') and Hao Zou (10'), Applied Financial EconomicsMarch 2011, pages 389 - 399..

•The Electronic Trading Systems and Bid-ask Spreads in the Foreign Exchange Market, with Jonas Hiltrop (08'), Journal of International Financial Markets, Institutions & MoneyOctober 2010, 323-345.

• The Forward Premium Puzzle across Maturities, with Linh To (07') , Economics Bulletin, 2010, Vol. 30 no.2 pp. 1113-1119.

• “Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation”, International Journal of Finance and Economics, 2009, Volume 14, Issue 1, 98-105.

• “Market Structure and Dealer’s Quoting Behavior in the Foreign Exchange Market”,
Journal of International Financial Markets, Institutions & Money, 2008, Volume 18, issue 4, pp. 313-325.

Working Papers

Can Fundamental Risks Explain the Foreign Exchange Risk Premium? (with Jun Ma)

Ongoing projects

Forward Premium Puzzle: Beyond Negative-Beta

Equity Returns and Exchange Rate Dynamics

 Nonlinear response to monetary announcement in the foreign exchange market