Terence Tai-Leung CHONG(莊太量, Zhuang Tailiang)

Department of Economics
Esther Lee Building, Room 930
The Chinese University of Hong Kong
Shatin, New Territories
Hong Kong
Phone: (852) 3943-8193
Fax: (852) 2603-5805
E-mail: chong2064@cuhk.edu.hk

Education| Fellowships| Research Grants| Publications| Articles in Newspapers/Magazines| Social Services| Professional Services| Administration| Courses Taught| Seminar and Conference Presentations| Manuscripts

Biography Sketch

Prof Terence Chong received his Bachelor degree in Economics from the Chinese University of Hong Kong in 1991, and Ph.D. in Economics from the University of Rochester in 1995. He was assistant professor of Economics of The Chinese University of Hong Kong from 1995-2000 and associate professor of Economics since 2000. Prof. Chong was appointed Executive Director of Institute of Global Economics and Finance, The Chinese University of Hong Kong in 2011. Since 2013, he also concurrently serves as Siyuan Chair Professor of Nanjing University in China. His main research area is financial econometrics. He has published over 350 articles in international journals and newspapers covering a wide spectrum of topics in Econometrics, Finance, Mathematics, Psychology, Education and the Chinese Economy. Prof. Chong ranks top 37th worldwide in theoretical econometrics and top 2% authors worldwide in terms of the Number of Distinct Works. His papers are published in reputable international journals, including Journal of Econometrics, Econometric Theory, Econometric Review, Econometrics Journal, Journal of Time Series Analysis, Journal of Banking and Finance, Financial Management,Journal of Futures Markets, Quantitative Finance, Financial Review, Pacific-Basin Finance Journal, Southern Economic Journal, Economics Letters, Journal of Economic Psychology and China Economic Review. Prof. Chong has been a Part-time member of the Central Policy Unit of the HKSAR Government and a member of the Board of Governors of International College Hong Kong (Hong Lok Yuen). He is currently a member of Standard Working Hours Committee and Transport Advisory Committee of the HKSAR Government, the associate editor of Singapore Economic Review and Economics Bulletin, the Associate Dean of Students of New Asia College, and the director of the Financial Markets Program, Hong Kong Institute of Asia-Pacific Studies.

莊太量教授1991年獲香港中文大學經濟學學士,1995年獲美國羅徹斯特大學 (University of Rochester) 經濟學博士。同年起任中文大學經濟系助理教授,2000年起任副教授,2011年出任香港中文大學全球經濟及金融研究所常務所長,2013年兼任南京大学思源講座教授。莊教授專業研究範疇為計量經濟學及財務技術分析,2000-2005年於全球理論計量經濟學排名37,著有《人生煉金術的7大抉擇》一書及350餘篇論文發表於國際學術期刊以及本地報章。莊教授曾任香港特別行政區政府中央政策組非全職顧問及康樂園國際學校校董,經常接受電子傳媒及報章訪問,並與中港政府官員和商界領袖交流經濟意見。莊教授現為香港特別行政區政府標凖工時委員會及交通諮詢委員會委員,亞太研究所金融市場研究計劃主任,新亞書院副輔導長,及多份國際期刊的編輯委員。


Birth Place: Fu Jian, China


Worldwide Ranking

-Ranked top 37th worldwide by theoretical econometrics publication in Table 15a of Baltagi B.H. (2007) "Worldwide Econometrics Rankings: (1989-2005)", Econometric Theory 23(5), pp 952-1012.
-Ranked top 55th worldwide by all econometrics publication in Table 16a of Baltagi B.H. (2007) "Worldwide Econometrics Rankings: (1989-2005)", Econometric Theory 23(5), pp 952-1012.
-Ranked top 7% worldwide and top 3% authors in Asia according to Average Rank Score by RePEc (Research Papers in Economics).
-Ranked top 5% worldwide by RePEc (Research Papers in Economics) according to:
  1. Number of Works
  2. Number of Distinct Works
  3. Number of Distinct Works, Weighted by Number of Authors
  4. Number of Journal Pages
  5. Number of Journal Pages, Weighted by Number of Authors
  6. Number of Abstract Views in RePEc Services over the past 12 months
  7. Number of Downloads through RePEc Services over the past 12 months
  8. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  9. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  10. Betweenness measure in co-authorship network

Project Consultant

-Hong Kong Applied Science and Technology Research Institute (ASTRI), 2013
-ARUP, 2014-2015
-CLP Power Hong Kong Limited, 2015

Editorial Service:

- Associate Editor, Economics Bulletin, (Published by Vanderbilt University, U.S.A.)
- Associate Editor, Singapore Economic Review
- Editorial Board Member, Journal of Risk and Financial Management

Selected Publications

Teaching video Clip




Selected Journal Publications

On Econometric Theory

[1] "Partial Parameter Consistency in a Misspecified Structural Change Model," Economics Letters, 49, October 1995, pp. 351-357.

[2] "Estimating the Fractionally Integrated Process in the Presence of Measurement Errors" (with C.S. Lui), Economics Letters, 63, June 1999, pp. 285-294.

[3] "Estimating the Differencing Parameter via the Partial Autocorrelation Function," Journal of Econometrics, 97, August 2000, pp. 365-381.

[4] "Structural Change in AR(1) Models," Econometric Theory, 17, No. 1, February 2001, pp. 87-155.

[5] "Estimating the Locations and Number of Change Points by the Sample-Splitting Method," Statistical Papers, 42, No. 1, 2001, pp. 53-79

[6] "Time Series Properties of the Aggregated AR(2) Processes," (with K.T. Wong), Economics Letters, 73, December 2001, pp. 325-332.

[7] "Generic Consistency of the Break-Point Estimator under Specification Errors," Econometrics Journal, 6, June 2003, pp. 167-192.

[8] "The Polynomial Aggregated AR(1) Model," Econometrics Journal, 9, March 2006, pp. 98-122.

[9] "A Class Test for Fractional Integration," (with Melvin Hinich), Studies in Nonlinear Dynamics & Econometrics, 11, 2007, No. 2, Article 5.

[10] "Generic Consistency of the Break-Point Estimator under Specification Errors in a Multiple-Break Model," (with Jushan Bai, Haiqiang Chen and Xin Wang), Econometrics Journal, 11, July 2008, pp. 287-307.

[11] "Time Series Test of Nonlinear Convergence and Transitional Dynamics," (with Melvin Hinich, K.P. Lim and Venus Liew), Economics Letters, 100, September 2008, pp. 337-339.

[12] "An Omnibus Test for Time Series Model I(d)," (with Melvin Hinich), Communications in Statistics, Simulation and Computation, 38(1) January 2009, pp. 140-153.

[13] "The Theory and Applications of TAR Model with two Threshold Variables " (with Jushan Bai and Haiqiang Chen), Econometric Review, 31(2), 2012, pp. 142–170.

[14] "Asymptotic Inferences for an AR(1) Model with a Change Point: Stationary and Nearly Non-stationary Cases," (with Tianxiao Pang and Danna Zhang), Journal of Time Series Analysis, 35, 2014, pp. 133-150.

[15] "Dirichlet Process Multiple Change-point Model" (with Stanley Ko and Pulak Ghosh), Bayesian Analysis, forthcoming.

[16] "Structural Change in Mildly Integrated AR(1) Models" (with Tianxiao Pang, Yanling Liang and Danna Zhang), Econometric Theory, revise and resubmission.

On Finance

[17] "Executive Stock Option Pricing in China under Stochastic Volatility," (with Yue Ding and Yong Li), Journal of Futures Markets, 2015, forthcoming.

[18] "A Principal Component Approach to Measuring Investor Sentiment in China" (with Yingni She and Haiqiang Chen), Quantitative Finance, 14(4), pp. 573-579.

[19] "Does Banking Competition Alleviate or Worsen Credit Constraints Faced by Small and Medium Enterprises? Evidence from China" (with Steven Ongena and Liping Lu), Journal of Banking and Finance, 37(9), September 2013, pp. 3412-3424.

[20] "Are Chinese Stock Market Cycles Duration Independent?" (with Zimu Li and Haiqiang Chen), Financial Review, 46, 2011, pp. 149-162.

[21] "A Competing Risks Analysis of Corporate Survival" (with Qing He, Li Li and Jun Zhang), Financial Management, Winter 2010, pp. 1697-1718.

[22] "Are Nonlinear Trading Rules Profitable in the U.S. Stock Market?" (with Tau-Hing Lam), Quantitative Finance, 10(9), November 2010 , pp. 1067 – 1076.

[23] "A Principal-Factor Approach to Measuring Investor Sentiment" (with Xin Duan and Haiqiang Chen), Quantitative Finance, 10(4), April, 2010, pp. 339-347. (Lead article)

[24] "Do Momentum-based Strategies Work in Emerging Currency Markets?" (with Hugo Ip), Pacific-Basin Finance Journal, 17, September 2009, pp. 479-493.

[25] "Determining the Contribution to Price Discovery for Chinese Cross-listed Stocks" (with Qian Su), Pacific-Basin Finance Journal, 15, April 2007, pp. 140-153.

On Applied Econometrics

[26] "Are Asian Real Exchange Rates Stationary?" (with Venus Liew and A.Z. Baharumshah), Economics Letters, 83, June 2004, pp. 313-316.

[27] "The Nonlinear Dynamics of Foreign Reserves and Currency Crises,"(with Melvin Hinich and Qing He), Studies in Nonlinear Dynamics & Econometrics, 12, 2008, No. 4, Article 2.

[28] "What Accounts for Chinese Business Cycle?" (with Qing He and Kang Shi), China Economic Review, 20, December 2009, pp. 650-661.

[29] "An Investigation of Duration Dependence in the American Stock Market Cycle," (with Melvin Hinich, Zimu Li and Haiqiang Chen), Journal of Applied Statistics, 37(8), 2010, pp. 1407-1416.

[30] "The Value of Superstitions" (with Travis Ng and Xin Du), Journal of Economic Psychology, 31, June 2010, pp. 291-309.

[31] "Is the Chinese Stock Market Really Inefficient?"(with Tau-Hing Lam and Isabel Yan), China Economic Review, 23(1), March 2012, 122-137.

[32] "Long-Range Dependence in the International Diamond Market," (with Michael Lu and Wing H. Chan) Economics Letters, 116(3), September 2012, pp. 401-403.

[33] "Shipping the Good Horses Out" (with Travis Ng and Jean Eid), Southern Economic Journal, 80(2),October 2013, pp. 540-561.

[34] "Factor-Augmented VAR Analysis of the Monetary Policy in China" (with Pak Ho Leung and Qing He), China Economic Review, 25, June 2013, 88-104.

[35] "The Nexus between Labour Wages and Property Rents in the Greater China Area" (with C. W. Shui and V. Wong), China Economic Review, 30, September 2014, pp. 180–191.

[36] "Nonlinear Dependence between Stock and Real Estate Markets in China" (with Jack Ding and S.Y. Park), Economics Letters, 124(3), September 2014, pp. 526-529.

[37] "Do Price Limits Increase Stock Market Volatility in China?" (with Dingyan Wang and Wing Chan), Review of Quantitative Finance and Accounting, revise and resubmission.

[38] "Are Prices Sticky in Large Developing Economies? An Empirical Comparison of China and India" (Tingting Zhu and M. Rafiq), Macroeconomic Dynamics, revise and resubmission.

Selected Research Grants


Articles in Newspapers/Magazines

Social Services

Editorial and Professional Services

Faculty and Departmental Administration

Courses Taught and Job Placement of M.Phil. Students

Seminar and Conference Presentations

Manuscripts and Citations

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