Henry Leung

Photo of Henry Leung

BE (Hons I) BCom Sydney; MBus UTS; PhD Sydney
Senior Lecturer

Rm 445
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9114 0554
Fax +61 2 9351 6461
Curriculum vitae Curriculum vitae


Henry Leung worked as a senior analyst at BT Financial Group, Deutsche Bank and Commonwealth Securities before joining the University. In the process, he has gained extensive knowledge and practical experience in the engineering of large scale trading and dealing systems covering foreign exchange, equities, fixed income and derivatives products. He graduated from the University with first class honours in Electrical Engineering and Commerce (major in finance and economics) and successively completed a Masters of Business in Finance at the University of Technology, Sydney. Henry was a recipient of the Faculty of Economics and Business Research Scholarship.

He has published in top tier finance journals such as Review of Finance, the Journal of Corporate Finance, the Journal of Banking and Finance, Economic Modelling, the Pacific-Basin Finance Journal, the Australian Journal of Management and the International Review of Economics and Finance. His publication "Unequal access to analyst research" (Australian Journal of Management August 2013) won the runner up E. Yetton Prize, which was inaugurated in December 1994 to celebrate the winning article published in the Journal in the previous year that, in the eyes of the Associate Editors, was of exceptional quality and was likely to have a substantial impact in the field of management research.

He serves as a committee member of the TSAFRG (Time Series and Forecasting Research Group) and the MMRG (Market Microstructure Research Group). He is a reviewer of the Australian Journal of Management, Bulletin of Economic Research, Emerging Markets Finance and Trade, International Journal of Emerging Markets, Journal of Asset Management, The Service Industries Journal, and the International Review of Financial Analysis Journal.

Research Interests

Henry’s program of research consist of three domains of expertise: (1) Market Microstructure; (2) Online Media and Capital Markets; and, (3) FinTech and Financial Innovation.

His work in Market Microstructure focuses on the trading behaviour and informativeness of the trading activity carried out by institutional and retail investors. In a study published in the Review of Finance, he employed a Signed small trade turnover (SSTT) to measure temporary uninformed buy or sell pressure that is initiated by small trades in the same direction. Using Helsinki exchange tick-by-tick trade data with known investor category, he confirmed that SSTT is a robust proxy for uninformed trading. Systematic trading behavior appeared to better explain the excess return generated by the low SSTT portfolio relative to the high SSTT portfolio when compared to traditional risk factor models.

His other research interest lies in the study of the impact of social media on the capital markets. In a study published in the Journal of Banking and Finance, he examined the impact of more than 2.5 million HotCopper messages on the Australian stock market. HotCopper is the largest online stock message board in Australia. The study concluded that the number of board messages and message sentiment significantly and positively relate to the contemporaneous returns of underperforming small capitalization stocks with high market growth potential. Posting activity was found to be positively associated with the trading volume for small stocks and negatively associated with the transaction costs of both small and large stocks.

Selected publications


Journal Articles

Fong K, Krug J, Leung H, and Westerholm P (2019) Determinants of Household Broker Choices and Their Impacts on Performance Journal of Banking & Finance, Published online: 11 June 2019. [More Information]

Leung H, Tse J, and Westerholm P (2019) CEO Traders and Corporate Acquisitions Journal of Corporate Finance, 54, 107-127. [More Information]


Journal Article

Gao Y, Leung H, and Satchell S (2018) A critique of momentum strategies Journal of Asset Management, 19 (5), 341-350. [More Information]

Conference Proceedings

James R, Leung H, and Jarnecic E (2018) The Role of Economists in Over-The-Counter Treasury Bond Markets 2nd INFINITI Conference on International Finance ASIA-PACIFIC; The University of Sydney Business School, Sydney, Australia, 10-11 December 2018.

James R, Leung H, and Jarnecic E (2018) The Role of Economists in Over-The-Counter Treasury Bond Markets 8th Behavioural Finance and Capital Markets Conference; La Trobe University, Melbourne, Australia, 24-26 September 2018.

James R, Leung H, and Jarnecic E (2018) The Role of Economists in Over-The-Counter Treasury Bond Markets 14th Annual Central bank Conference on the Microstructure of Financial Markets, Hong Kong 5-6 November.

Leung H, Chen M, and Gan Q (2018) Impact of Online Stock Message Forum Information Intensity on Returns and Volatilities World Finance & Banking Symposium, Taichung Taiwan 13-14 December.

Leung H, Hamann J, Westerholm P, and Wilkens M (2018) Mutual Funds and Trading Around Earnings Announcements World Finance & Banking Symposium, Taichung Taiwan 13-14 December.

Zhou Z, Leung H, and Gan Q (2018) Do Intraday Auctions Improve Market Quality? World Finance & Banking Symposium, Taichung Taiwan 13-14 December.


Journal Articles

Gao Y, and Leung H (2017) Impact of Short Selling Restrictions on Informed Momentum Trading: Australian Evidence Pacific-Basin Finance Journal, 45, 103-115. [More Information]

Leung H, Schiereck D, and Schroeder F (2017) Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises Economic Modelling, 61, 169-180. [More Information]


Conference Proceeding

Ke T, Leung H, and Hu Y (2016) New Analysis Method for Forecasting Foreign Exchange Rates Volatility during the Global Financial Crisis The 24th Conference on the Theories and Practices of Securities and Financial Markets (SFM 2016); National Sun Yat-sen University, Kaohsiung.


Journal Article

Leung H, and Ton T (2015) The Impact of Internet Stock Message Boards on Cross-Sectional Returns of Small-Capitalization Stocks Journal of Banking & Finance, 55, 37-55. [More Information]

Conference Proceeding

Leung H, Krug J, Westerholm P, Schiereck D, and Fong K (2015) Determinants of Household Broker Choice and the Impact on Performance 28th Australasian Finance and Banking Conference; Social Science Research Network, Rochester, NY, USA. [More Information]


Journal Article

Leung H, Rose A, and Westerholm P (2014) Systematic Trading Behavior and the Cross-Section of Stock Returns on the OMXH Review of Finance, 18 (6), 2325-2374. [More Information]


Journal Articles

He W, Lepone A, and Leung H (2013) Information Asymmetry and the Cost of Equity Capital International Review of Economics and Finance, 27, 611-620. [More Information]

Lepone A, Leung H, and Li G (2013) Unequal Access to Analyst Research Australian Journal of Management, 38 (2), 253-277. [More Information]

Book Chapter

Leung H (2013) Security Analysts' Earnings Forecasts Techniques and Elements of Finance; McGraw-Hill Australia Pty Ltd.


Conference Proceeding

Leung H, Westerholm P, and Rose A (2012) Informational Effect and Market Quality Impact of Crossed Trades and Fleeting Orders on the Australian Securities Exchange 2012 World Finance & Banking Symposium - "Asian Finance & Banking"; Cheung Kong Graduate School of Business, Shanghai, China.


Journal Articles

Delort J, Arunasalam B, Leung H, and Milosavljevic M (2011) The Impact of Manipulation in Internet Stock Boards International Journal of Banking and Finance, 8 (4), 1-1-1-18.

Leung H (2011) Analysts Earnings Forecasts Distribution International Journal of Banking and Finance, 8 (3), 37-53.

Westerholm P, and Leung H (2011) Execution Costs of Market Designs Worldwide during the Global Credit Crisis Journal of Trading, 6 (4), 60-81.

Selected grants

2018 - 2019

Recent Units Taught

  • FINC2012 Corporate Finance II

  • FINC5001 Capital Markets and Corporate Finance

  • FINC6001 Intermediate Corporate Finance

  • FINC6013 International Business Finance

  • FINC6025 Entrepreneurial Finance

  • OLET1203 Business Entrepreneurship: Bootstrap Finance

Newsroom articles

  • Sterling flash crash inquiry puts speed traders in the clear 15 Jun 2018

    UK Times

    Dr Henry Leung co-authored a paper on the reasons for the 2016 “flash crash” of the British Pound Sterling against the US Dollar. UK Times published an article on how the report’s findings shed new light on the reasons for the 2016 crash of the Sterling.

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