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George Mason UniversitySchool of Business
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Wang, George H. K.

Academic Unit:Finance
Position:Research Professor
Phone:703-993-3415
Office Location:Enterprise Hall 223
Office Hours:Monday 3:30PM- 4:30 PM; Tuesday 3:30 PM– 4:30M or by Appointment
Research Interests:
  • Derivatives and Risk Management
  • Applied Time Series and Econometrics
  • Statistical Methods in Finance
  • Empirical Market Microstructure
Education:
  • PhD - Statistics and Economics, Iowa State University
  • MA - Economics, Northern Illinois University                              

Profile:

George H. K. Wang received his PhD in economics and statistics from Iowa State University (Ames, Iowa). Prior to join George Mason University, he was the Deputy Chief Economist, Director of Market Research at U.S. Commodity Futures Trading Commission. Wang also served as a Senior Financial Economist and Econometrician at Federal Home Loan Bank Board.

In summer, 2006 and 2007,  December 2013 to January  2014, Wang was a Visiting Professor of Finance in the Faculty of Business and Economics at the University of Sydney in Sydney, Australia and Visiting Scholar sponsored by Taiwan National Science Council to National Central University, Jhongli, Taiwan in July 2007 National Chengchi University, Taipei, Taiwan, June  2015.

Wang's research and teaching interests include derivatives and risk management, applied time series and financial econometrics, empirical market microstructure. He has published more than fifty papers in major refereed journals in the areas of derivative markets, applied time series, econometrics, mortgage and housing markets and transportation. Wang is an elected ordinary member of International Statistical Institute and on the editorial board of the Journal of Futures Markets.

Wang teaches

  • FNAN 411 Investment Analysis/Portfolio Management
  • FNAN 412 Introduction to Futures and Option Markets
  • FNAN 430 Empirical Methods in Finance
  • MBA 704 Financial Innovations and Risk Management (Futures, Options, and other Derivatives)
Research and Awards:

Published an article titled, “The Effects of Margin Changes on the Composition of Traders and Market Liquidity:Evidence from Taiwan Futures Exchange” (coauthored with Robin Wang and Yun-YI Wang) in the Journal of Futures Markets in 2015. 

Presented the paper titled, “Order Aggressiveness, Trading Patience and Trader Type in a Limit Order market” at the Financial Management Association Meeting in Orlando, Florida  in 2015 (with coauthors Junmao ChiuWang, and Huimin Chung)

Published an article titled, “Inventory Announcements, Jump Dynamics, Volatility and Trading Volume in U.S. Energy Futures Markets” (coauthored with Johan Bjursell and James Gentle) in Energy Economics in 2015.

Presented the paper titled, “Order Aggressiveness Strategies by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures Market,” at the Third International Conference on Futures and Derivatives Markets in Shanghai, China-PRC in 2014 (with coauthors Junmao Chiu, and Huimin Chung).

Published an article titled, “Securities Transaction Taxes and Market Quality of Equity and Futures Markets: Issues and Evidence,” in the Mercatus Research Paper Series pu blished by the Mercatus Center at George Mason University in 2014.

Published an article titled, “The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market,” (coauthored with Robin Chou, and Yun-YI Wang) in the Journal of Futures Marketsin 2013.
 
Had the article titled "Funding Liquidity and Equity Liquidity in the Subprime Crisis Period: Evidence from the ETF Markets" published in the Journal of Banking & Finance (with coauthor). 

Presented the paper titled “The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market” (with coauthors) at the Department of Finance Seminar, University of Sydney in Sydney, Australia in January, 2014.

Presented the paper titled, “Market Efficiency and Investor Sentiment: Evidence from the Pricing Dynamics between Futures and Spot Markets” at the Midwest Finance Association Annual Meeting in Orlando, Florida in March 2014 (with coauthors).

Published an article titled, “Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures” (with coauthors) in the Journal of Futures Markets in 2014. 

Published an article titled, “Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements” (with coauthors) in the Asia-Pacific Journal of Financial Studies in 2013.

Presented the paper titled, “The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatrility: Evidence from the Taiwan Index Futures Market” (with coauthors) at the Second International Confernce on Futures and Derivative Markets in Beijing, China-PRC. 

Presented the paper titled, “Are Algorithmic Trades Informed? An Empirical Analysis of Algorithmic Trading Around Earning Announcements” (with coauthors) at the 2003 FMA in Chicago, Illinois.

Presented the paper titled “Would a Financial Transaction Tax Affect Financial Market Activity?” at the The CATO Institute Event/Seminar in Washinton, DC.
 
Presented the papers titled “Order Submission Strategies by Trader Types in a Limit Order Market: Evidence From Taiwan Index Futures Market” (with coauthors Junmao Chiu and Huimin Chung), “The Impact of Individual Day Traders on Liquidity and Volatility in Taiwan Index Futures Markets” (with coauthors Robin Chou and Yun-Yi Wang) and “Transaction Tax and Market Quality of U. S. Futures markets: An Ex-Ante Analysis” (with coauthors Johan Burjessl and Jot Yau) at the 2012 FMA Annual Meetings in Atlanta, Georgia in 2012.
 
Published an article titled, “Would a Financial Transaction Tax Affect Financial Market Activity? Insights from Futures Markets” in Policy Analysis, CATO Institute in 2012.

Presented the paper titled “Inventory Announcements , Jump Dynamics and Volatility in U.S. Energy Futures Markets” (with coauthors Johan Bjursell, James Gentle) at the 2011 FMA Annual Meetings October in Denver, Colorado in 2011.

Presented the paper titled “Transaction Tax and Market Quality of U.S. Futures Markets: An Ex-Ante Analysis” (with coauthors) at the 22nd Asia Pacific Futures Research Symposium in Shanghai, China-PRC in 2012.

Presented the papers titled “Intraday Liquidity Provision by Trader Typesin a Limit Order Market:Evidence from Taiwan Index Futures” (with coauthors) and “Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements” (with coauthors) at the 2011 FMA Annual Meetings October in Denver, Colorado in 2011.

Awarded the Mirae Asset Global Investments Best Paper Award for the paper “Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements” (with coauthors) from the Korean Finance Association and Taiwan Finance Association Joint Conference in Finance in Sept 2011.

Published an article titled, “The Impact of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Excahnge” (with coauthors) in the Pacific-Basin Finance Journal

Presented the paper titled “Futures Market Adjustment to Public Information: Evidence from the Global Financial Crisis'” at the 21st Asia-Pacific Futures Research in Singapore.

Published the article “Weather, Inventory, and Common Jump Dynamics in Natural Gas Futures and Spot Markets” inReview of Futures Markets.

Presented the papers titled “Order Imbalances and Price Changes in the US Index Futures Markets: An Emprical Investigation” and “The Impact of Trading Activity by Trader Types on Aysemmetric Volatility in Nasdaq-100 Index Futures” at the Financial Management Association Annual Meetings in New York, New York. 

Published an article titled, “Volatility and Trading Activity Following Changes in the Size of Futures Contracts” (with coauthors) in the Journal of Empirical Finance.

Presented the papers titled “Order Imbalances and Price Changes in the U.S. Index Futures Markets: An Emprical Investigation” and “The Imapct of Trading Activity by Trader Types on Aysemmetric Volatility in Nasdaq-100 Index Futures” at the Financial Management Association Annual Meetings in New York, New York.

Presented “An Evaluation of Market Quality of Exchanges” and “Algorithmic Trading” while serving as a visiting professor at Capital Markets Cooperative Research Centre in Sydney, Australia during the summer 2010.

Presented the papers titled “Altorithmic Trading” and “An Evaluation of Market Quality of Exchanges” at the Capital Markets Cooperative Research Centre Distinguished Lecture Series (Trading and Dealing in Securities Markets) in Sydney, Australia- NSW.