Zhuo (Joe) Zhong
钟卓
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Associate Professor of Finance Faculty of Business and Economics University of Melbourne Curriculum Vitae 个人简介 |
zhuo.zhong@unimelb.edu.au
微信公众号: 
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Education
- Ph.D. in Economics, Cornell University
- M.A. in Finance, Singapore Management University and Xiamen University
- B.A. in Economics, Xiamen University
Research
Primary interests: DeFi, Empirical Asset Pricing, Financial Innovation, Market Microstructure
Working papers
1. Passive investors, active moves: ETFs IPO participation in China, with Haiqiang Chen and Xiaoqun Liu and Bo Ni
(Empirical) While Chinese ETFs active participation in IPOs bring excess returns to investors, their activity leads to larger non-fundamental volatility and short-term return reversals for ETFs’ member stocks.
2. Trust in DeFi: An empirical study of the decentralized exchange, with Jianlei Han and Shiyang Huang
(Empirical) The decentralized infrastructure built on blockchain and smart contracts can help reach the decentralized consensus of cryptocurrency value.
- AFA 2024, Plato MI3 2023, FIRN 2022, CICF 2022, Annual Conference in Digital Economics 2022
3. The risk sharing benefit versus the collateral cost: The formation of the inter-dealer network in over-the-counter trading
(Theory) Dealers balance their risk-sharing benefits with collateral costs from trading to endogenously determine the inter-dealer trading network in OTC markets.
- AFA 2016, WFA 2015, EFA 2015, NBER Market Microstructure Meeting 2014, FIRN 2014, Eastern Finance Associate Meeting 2014, FMA 2013
Selected publications
1. Innovation and informed trading: Evidence from industry ETFs, with Shiyang Huang and Maureen O’Hara
Review of Financial Studies, 2021, 34: 1280-1316
(Empirical) Industry exchange traded funds (ETFs) encourage informed trading on underlying firms through facilitating the hedge of industry-specific risks.
- AFA 2019, FIRN 2018, Luxembourg Asset Management Summit 2018, UW Summer Finance Conference in Seattle 2018, CICF 2018, LSE Paul Woolley Center Conference 2018
2. Inverted fee structures, tick size, and market quality, with Carole Comerton-Forde and Vincent Grégoire
Journal of Financial Economics, 2019, 134: 141-164
(Empirical) Offering traders sub-tick price improvement, inverted fee venues enhance competition for liquidity provision and increase information impounded into prices through limit orders.
SSRN Link, Jounral Link, Online Appendix
- 2017 NFA Best Paper Award on Market Microstructure
- AFA 2018, FIRN 2017, NFA 2017
3. Relative tick size and the trading environment, with Maureen O’Hara and Gideon Saar
Review of Asset Pricing Studies, 2019, 9: 47-90
(Empirical) In a one-tick spread environment, a larger relative tick size results in greater depth and more volume; in a multi-tick environment, the opposite outcome prevails.
SSRN Link, Journal Link, Online Appendix
- WFA 2016, CICF 2016, CIFR 2015, Cambridge Workshop on Microstructure Theory and Application 2015
Other publications
1. Liquidity shocks and pension fund performance: Evidence from the Early Release Scheme, with James Brugler and Minsoo Kim
Australian Journal of Management, forthcoming
(Empirical) We show that the early release scheme (ERS) did not significantly affect Australian superfund returns in the cross-section –– the sector appears to have been able to preemptively raise enough liquidity without significantly dragging down performance.
- Featured in the Australian Financial Review by Wealth Editor Aleks Vickovich
2. Non-standard errors, with 300+ co-authors from 200+ institutions
Journal of Finance, forthcoming
(Empirical) The first crowd-sourced empirical paper in finance (See #fincap for details about the project)
3. Pre-trade transparency in over-the-counter bond markets, with Fan Chen
Pacific-Basin Finance Journal, 2017, 45: 14-33
(Empirical) Bonds that are able to trade on the NYSE (where pre-trade information is available) have smaller transaction costs than those cannot.
- Best Paper Award of the 5th Behavioral Finance and Capital Markets Conference
- BFCM 2015, CICF 2012
4. Reducing opacity in over-the-counter markets
Journal of Financial Markets, 2016, 27: 1-27
(Theory) A competitive centralized market incentivizes dealers in OTC markets to reduce opacity, whereas a non-competitive centralized market does the opposite.
- 8th Annual Central Bank Workshop on Microstructure of the Financial Market
Opinion
1. How do you solve a problem like a market outage: Ensuring the resilience of European equities trading, with Carole Comerton-Forde
This paper, commissioned by the Plato Partnership, empirically examines the impact of a primary market outage on market quality, summarises the problems experienced by buy- and sell-side firms during an outage and makes recommendations on how to reduce the adverse impacts of any primary market outages in the future.
2. Retail traders take a punt, with Carole Comerton-Forde
A short paper examining retail investor trading activity on the ASX during the COVID-19 lockdown. Retail investors were net buyers of stock during this period, especially in high beta stocks, high leverage stocks, and stocks that had experienced large price declines. In contrast, institutional investors were net sellers sellers during the lockdown.
- Featured in the Australian Financial Review by Wealth Editor Aleks Vickovich