Dr Van Le
Lecturer
Newcastle Business School (Accounting and Finance)
- Email:van.le@newcastle.edu.au
- Phone:(02) 4921 8798
Career Summary
Biography
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.
Research Expertise
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.
Teaching Expertise
Corporate Finance; Derivatives and Risk Management; International Finance
Collaborations
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)
Qualifications
- Doctor of Philosophy, University of Adelaide
- Bachelor of Finance, University of Adelaide
- Bachelor of Finance (Honours), University of Adelaide
Keywords
- Corporate Finance
- Derivatives and Risk Management
- Financial modelling
- International Finance
- Market microstructure
- Option pricing
- Volatility forecasting
Languages
- English (Fluent)
- Vietnamese (Fluent)
Fields of Research
Code | Description | Percentage |
---|---|---|
350202 | Finance | 100 |
Professional Experience
UON Appointment
Title | Organisation / Department |
---|---|
Lecturer | University of Newcastle Newcastle Business School Australia |
Awards
Recipient
Year | Award |
---|---|
2005 |
Adelaide International Achiever Scholarship The University of Adelaide |
Recognition
Year | Award |
---|---|
2012 |
Dean's Commendation for Doctoral Thesis Excellence The University of Adelaide |
2009 |
Adelaide Graduate Scholarship Unknown |
Publications
For publications that are currently unpublished or in-press, details are shown in italics.
Journal article (5 outputs)
Year | Citation | Altmetrics | Link | |||||
---|---|---|---|---|---|---|---|---|
2024 |
Akhtaruzzaman M, Banerjee AK, Le V, Moussa F, 'Hedging precious metals with impact investing', International Review of Economics and Finance, 89 651-664 (2024) [C1] Our study investigates the role of impact investing as a risk management tool for precious metals (i.e., palladium, platinum, gold, and silver) in calm and turbulent times. The fi... [more] Our study investigates the role of impact investing as a risk management tool for precious metals (i.e., palladium, platinum, gold, and silver) in calm and turbulent times. The findings show that impact investing and precious metals portfolios have higher hedging effectiveness. Furthermore, the results show that the hedging effectiveness for the portfolio of gold and impact investing increased during the COVID¿19 crisis. Finally, we find that when factoring the transaction cost in portfolios of impact investing and precious metals, investors at various levels of risk aversion gain higher utility. These findings contribute to the literature and interest of investors, policymakers, fund managers, and regulators.
|
Nova | ||||||
2016 |
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] 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 i... [more] 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.
|
Nova | ||||||
2016 |
Le V, 'The effect of short-sale restrictions: another perspective', International Journal of Managerial Finance, 12 700-714 (2016) [C1] 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 ... [more] 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.
|
Nova | ||||||
2014 |
Le V, Zurbruegg R, 'Forecasting option smile dynamics', International Review of Financial Analysis, 35 32-45 (2014) [C1] © 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] © 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.
|
Nova | ||||||
Show 2 more journal articles |
Conference (2 outputs)
Year | Citation | Altmetrics | Link |
---|---|---|---|
2012 | Le V, Zurbrugg R, 'Forecasting the smile dynamics', The 32th International Symposium on Forecasting Conference Proceedings, Boston, US (2012) [E1] | ||
2009 | Le V, Zurbrugg R, 'The role of trading volume in volatility forecasting', The 29th International Symposium on Forecasting Conference Proceedings, Hong Kong (2009) [E3] |
Grants and Funding
Summary
Number of grants | 6 |
---|---|
Total funding | $251,500 |
Click on a grant title below to expand the full details for that specific grant.
20221 grants / $5,000
CHSF New Start Grant$5,000
Funding body: College of Human and Social Futures | University of Newcastle
Funding body | College of Human and Social Futures | University of Newcastle |
---|---|
Scheme | CHSF - New Start Scheme |
Role | Lead |
Funding Start | 2022 |
Funding Finish | 2022 |
GNo | |
Type Of Funding | Internal |
Category | INTE |
UON | N |
20211 grants / $3,000
CHSF Working Parents Research Relief Scheme$3,000
Funding body: College of Human and Social Futures | University of Newcastle
Funding body | College of Human and Social Futures | University of Newcastle |
---|---|
Scheme | CHSF - Working Parents Research Relief Scheme |
Role | Lead |
Funding Start | 2021 |
Funding Finish | 2021 |
GNo | |
Type Of Funding | Internal |
Category | INTE |
UON | N |
20181 grants / $3,500
Liquidity Contagion between Stock and Option Markets $3,500
Funding body: Accounting & Finance Association of Australia and New Zealand
Funding body | Accounting & Finance Association of Australia and New Zealand |
---|---|
Scheme | AFAANZ Research Grants |
Role | Lead |
Funding Start | 2018 |
Funding Finish | 2019 |
GNo | |
Type Of Funding | Internal |
Category | INTE |
UON | N |
20171 grants / $215,000
ECR HDR Scholarship Grant$215,000
Funding body: University of Newcastle
Funding body | University of Newcastle |
---|---|
Scheme | ECR HDR Scholarship Grant |
Role | Lead |
Funding Start | 2017 |
Funding Finish | 2021 |
GNo | |
Type Of Funding | Internal |
Category | INTE |
UON | N |
20161 grants / $20,000
Research Equipment Grant$20,000
Funding body: The University of Newcastle
Funding body | The University of Newcastle |
---|---|
Project Team | Van Le and Van Vu |
Scheme | Research Equipment Grant |
Role | Investigator |
Funding Start | 2016 |
Funding Finish | 2016 |
GNo | |
Type Of Funding | Internal |
Category | INTE |
UON | N |
20131 grants / $5,000
Examining the spilover of liquidity between the stock and option markets$5,000
Funding body: University of Newcastle
Funding body | University of Newcastle |
---|---|
Project Team | Doctor Van Le |
Scheme | New Staff Grant |
Role | Lead |
Funding Start | 2013 |
Funding Finish | 2013 |
GNo | G1300593 |
Type Of Funding | Internal |
Category | INTE |
UON | Y |
Research Supervision
Number of supervisions
Current Supervision
Commenced | Level of Study | Research Title | Program | Supervisor Type |
---|---|---|---|---|
2023 | PhD | Climate Change Risk: Evidence from Corporate Financing and Strategic Decisions | PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle | Principal Supervisor |
2022 | PhD | Climate Finance | PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle | Principal Supervisor |
Past Supervision
Year | Level of Study | Research Title | Program | Supervisor Type |
---|---|---|---|---|
2022 | PhD | Human Capital and Monitoring Efficacy of Interlocked Directors | PhD (Accounting & Finance), College of Human and Social Futures, The University of Newcastle | Principal Supervisor |
2018 | Professional Doctorate | An Empirical Study of Profitability, Investment and Momentum Factors in the Hong Kong Stock Market | Banking and Finance, Newcastle Business School - The University of Newcaslte | Principal Supervisor |
2018 | Professional Doctorate | Family Involvement in Ownership, Control, Management and Firm Performance: Empirical Evidence from Viet Nam | Banking and Finance, Newcastle Business School | University of Newcastle | Australia | Principal Supervisor |
Dr Van Le
Position
Lecturer
Newcastle Business School
College of Human and Social Futures
Focus area
Accounting and Finance
Contact Details
van.le@newcastle.edu.au | |
Phone | (02) 4921 8798 |
Office
Room | X-635 |
---|---|
Building | NeW Space |
Location | City Campus , |