Dr Van Le
Newcastle Business School
- Phone:(02) 4921 8798
Van joined the Newcastle Business School as a Finance Lecturer in early 2012, after completing her PhD in Finance at the University of Adelaide. Prior to this appointment, she had been involved in teaching both UG and PG courses at the University of Adelaide. Her main subjects of teaching interest included Corporate Finance, International Finance and Derivatives and Risk Management.
Her current research interests include asset pricing, market microstructure, financial modelling and forecasting. In particular, she is very keen on research in option pricing and financial market volatility. Given her past training and research experience, she has strong skills in quantitative modelling and programming in Matlab, SAS and Eviews.
Corporate Finance; Derivatives and Risk Management; International Finance
Some ongoing collaborative research projects, to be named, would include “The allocation of informed traders in the option market: An analysis of the 2008 short-sale ban” (Working Paper), a joint work with Prof Ralf Zurbrugg (Uni of Adelaide) “Forecasting the smile dynamics” (Working Paper), a joint work with Prof Ralf Zurbrugg (Uni of Adelaide) “Effectiveness of electricity futures hedging using temperature forecasts” (Working Paper), a joint work with Prof Ralf Zurbrugg (Uni of Adelaide) and Associate Professor Richard Gerlach (Uni of Sydney)
- Doctor of Philosophy, University of Adelaide
- Bachelor of Finance (Honours), University of Adelaide
- Bachelor of Finance, University of Adelaide
- Corporate Finance
- Derivatives and Risk Management
- Financial modelling
- International Finance
- Market microstructure
- Option pricing
- Volatility forecasting
- Vietnamese (Fluent)
Fields of Research
|150299||Banking, Finance and Investment not elsewhere classified||100|
|Title||Organisation / Department|
|Lecturer||University of Newcastle
Newcastle Business School
Adelaide International Achiever Scholarship
The University of Adelaide
Dean's Commendation for Doctoral Thesis Excellence
The University of Adelaide
Adelaide Graduate Scholarship
For publications that are currently unpublished or in-press, details are shown in italics.
Journal article (4 outputs)
Le V, Zurbruegg R, 'The impact of short sale restrictions on informed trading in the stock and options markets', International Review of Economics and Finance, 41 262-273 (2016) [C1]
Â© 2015 Elsevier Inc.This paper examines the impact of short sale restrictions (SSR) on the price discovery process of stocks and their corresponding options. We utilize a new mea... [more]
Â© 2015 Elsevier Inc.This paper examines the impact of short sale restrictions (SSR) on the price discovery process of stocks and their corresponding options. We utilize a new measure to examine the impact these restrictions have on information efficiency between the two instruments. Based on one year of intraday data surrounding the US emergency order of 2008, we find evidence of traders switching from SSR restricted products to a matched group of stocks and options. At the same time there is a decline in the role options provided to price discovery in the SSR affected stocks, along with a significant rise in the importance of options for the matched sample as informed traders move to trading in markets that are unaffected by the restrictions. From a policy perspective our results indicate that a greater consideration needs to be made for the impact SSR has on trade informativeness and the price discovery process, as well as how it affects the inter-related markets through the trader-switching effect.
Le V, 'The effect of short-sale restrictions: another perspective', International Journal of Managerial Finance, 12 700-714 (2016) [C1]
Â© 2016, Â© Emerald Group Publishing Limited.Purpose: The purpose of this paper is to examine the effect of short-sale restrictions (SSR) with particular emphasis on their impact ... [more]
Â© 2016, Â© Emerald Group Publishing Limited.Purpose: The purpose of this paper is to examine the effect of short-sale restrictions (SSR) with particular emphasis on their impact on the liquidity and informed trading in the stock and option markets. Design/methodology/approach: Using a panel regression with controls for volatility, VIX and matched stocks, this study examines the effect of the short-sale ban (SSB) on stock and option liquidity, expressed in terms of spread and volume. In addition, the PIN and option information share (OIS) measures have been used to analyze its impact on informed trading in those related markets. Findings: The results suggest that the SSB leads to a significant reduction in the liquidity of the affected stocks and their options. However, no significant change in the trader composition can be detected. This result is consistent to the short-prohibition effect predicted by Diamond and Verrecchia (1987). Research limitations/implications: Due to the sizeable data required to estimate the PIN and OIS measures, only a select sample of optionable stocks has been examined. Originality/value: This study offers both academics and policy makers some useful insights into the effect of SSR on trading activities in both stock and option markets. From a policy perspective, it clearly demonstrates that regulatory changes targeting a specific market also affect other related markets via the arbitrage link between them.
Le V, Zurbruegg R, 'Forecasting option smile dynamics', International Review of Financial Analysis, 35 32-45 (2014) [C1]
Â© 2014 Elsevier Inc.All rights reserved.Practitioners have long tried to exploit the predictability of the option implied volatility smile. Motivated by the recent developments i... [more]
Â© 2014 Elsevier Inc.All rights reserved.Practitioners have long tried to exploit the predictability of the option implied volatility smile. Motivated by the recent developments in the literature focusing on market-based option pricing arguments, this paper proposes the introduction of trading volume into a vector autoregressive (VAR) model to improve forecasts of the smile dynamics. The augmented VAR-volume model produces quality forecasts of the smile surface and explains its dynamic changes over time relatively well. Our results suggest that the incorporation of trading volume leads to it outperforming other alternative forecast approaches, as well as being robust to a variety of perturbations of the data and offers scope for investors to more accurately predict option implied volatility in the future.
|Show 1 more journal article|
Conference (2 outputs)
|2012||Le V, Zurbrugg R, 'Forecasting the smile dynamics', The 32th International Symposium on Forecasting Conference Proceedings (2012) [E1]|
|2009||Le V, Zurbrugg R, 'The role of trading volume in volatility forecasting', The 29th International Symposium on Forecasting Conference Proceedings (2009) [E3]|
Grants and Funding
|Number of grants||1|
Click on a grant title below to expand the full details for that specific grant.
20131 grants / $5,000
Funding body: University of Newcastle
|Funding body||University of Newcastle|
|Project Team||Doctor Van Le|
|Scheme||New Staff Grant|
|Type Of Funding||Internal|