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James Cummings

  • Title: Doctor
  • Position: Senior Lecturer - Department of Applied Finance and Actuarial Studies

Contact Details

  • Ph: (+61-2) 9850 1169
  • Room: 228, building: E4A

Areas of Expertise

  • Commercial banks
  • Pension funds
  • Prudential regulation
  • Futures markets
  • Market microstructure

Profile

Dr. James Cummings is a senior lecturer in finance in the Department of Applied Finance and Actuarial Studies at Macquarie University. He holds a Bachelor of Arts (Demography) from Macquarie University and a Master of Commerce (Finance with Economics and International Business) and a Doctor of Philosophy (Finance) from the University of Sydney. Dr. Cummings specialises in financial markets and institutions.

Research awards

  • Australian Private Equity and Venture Capital Association Research Prize for the Best Paper on Private Equity and Venture Capital, 2011-12.

Research publications

  • Cummings, J.R. and Durrani, K.J. (2016), 'Effect of the Basel Accord capital requirements on the loan-loss provisioning practices of Australian banks', Journal of Banking and Finance, 67, 23-36.
  • Cummings, J.R. and Wright, S. (2016), 'Effect of higher capital requirements on the funding costs of Australian banks', Australian Economic Review, 49 (1), 44-53.
  • Cummings, J.R. (2016), 'Effect of fund size on the performance of Australian superannuation funds', Accounting and Finance, forthcoming.
  • Cummings, J.R. and Ellis, K. (2015), 'Risk and return of illiquid investments: A trade-off for superannuation funds offering transferable accounts', Economic Record, 91 (295), 463-76.
  • Cummings, J.R. and Lee, E.Y.K. (2011), 'Response to public information in futures markets: Evidence from the financial crisis', Review of Futures Markets, 19 (4), 331-45.
  • Cummings, J.R. and Frino, A. (2011), 'Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares', Accounting and Finance, 51 (3), 661-83.
  • Cummings, J.R. and Frino, A. (2010), 'Further analysis of the speed of response to large trades in interest rate futures', Journal of Futures Markets, 30 (8), 705-24.
  • Aspris, A., Cummings, J.R. and Frino, A. (2009), 'Price formation and liquidity surrounding large trades in interest rate and equity index futures', Review of Futures Markets, 17 (4), 383-407.
  • Cummings, J.R. and Frino, A. (2008), 'Tax effects on the pricing of Australian stock index futures', Australian Journal of Management, 33 (2), 391-406.

Working papers

  • 'Regulatory capital and internal capital targets: An examination of the Australian banking industry', July 2016 (with Kassim Durrani).
  • 'Effect of higher capital requirements on bank funding costs: Australian evidence', February 2016 (with Linh Nguyen).
  • 'Effect of too-big-to-fail subsidies on bank borrowing costs: Australian evidence', February 2016 (with Yilian Guo).

Industry publications

  • 'Opportunities for high frequency traders: Intraday patterns in price volatility and liquidity of SFE contracts', Market Insights, 20, 2007 (with Alex Frino).
  • 'Managing exposure to the Australian equities market: The relative cost of taking positions in SFE SPI 200™ Index Futures and cash market instruments', Market Insights, 17, 2007 (with Alex Frino).
  • 'Finessing trades on the Sydney Futures Exchange: Liquidity and price resiliency surrounding large market orders', Market Insights, 16, 2007 (with Alex Frino).
  • 'Sydney Futures Exchange 30 Day Interbank Cash Rate Futures: An emerging opportunity for global institutions', Market Insights, 9, 2006 (with Alex Frino).
  • Market Quality Indicators: SFE Equity and Interest Rate Futures, June quarter 2006 to March quarter 2007 (with Alex Frino).

Conference/seminar presentations

  • 'Effect of too-big-to-fail subsidies on bank borrowing costs: Australian evidence'
    • International Finance and Banking Society Conference, Barcelona, Spain, 1 June 2016.
    • Financial Engineering and Banking Society International Conference, Malaga, Spain, 10 June 2016.
    • Multinational Finance Society Annual Conference, Stockholm, Sweden, 27 June 2016.
      Accounting and Finance Association of Australia and New Zealand Annual Conference, Gold Coast, 5 July 2016.
  • 'Regulatory capital requirements and capital buffers: An examination of the Australian banking sector'
    • International Paris Finance Meeting, Paris, France, 18 December 2014.
    • International Finance and Banking Society Conference, Hangzhou, China, 27 June 2015.
    • RMIT University Finance Day, Melbourne, 11 September 2015.
    • Australian Prudential Regulation Authority, Sydney, 31 May 2016.
    • Reserve Bank of Australia, Sydney, 21 June 2016.
    • Centre for International Finance and Regulation Research Showcase: Banking, Sydney, 23 June 2016.
  • 'Effect of higher capital requirements on the funding costs of Australian banks'
    • Financial Services Agency, Tokyo, 30 May 2012.
    • Accounting and Finance Association of Australia and New Zealand Annual Conference, Perth, 8 July 2013.
    • Australian Prudential Regulation Authority, Sydney, 12 June, 2014.
    • Reserve Bank of Australia, Sydney, 17 June 2014.
    • Asian Finance Association Annual Conference, Bali, Indonesia, 25 June 2014.
    • Centre for International Finance and Regulation Symposium on Market and Regulatory Performance, Sydney, 17 July 2014.
    • Australian Treasury, Sydney, 21 July 2014.
    • Applied Finance Centre Finance Professionals Seminar, Macquarie University, 22 July 2014.
    • Banca d'Italia, Rome, Italy, 28 July 2014.
    • Department of Applied Finance and Actuarial Studies, Macquarie University, 15 August 2014.
    • European Conference on Banking and the Economy, Winchester, United Kingdom, 8 October 2014.
    • Financial Management Association International Annual Meeting, Nashville, United States, 18 October 2014.
    • Australasian Finance and Banking Conference, Sydney, 16 December 2014.
    • Global Association of Risk Professionals Chapter Meeting, Sydney, 9 June 2015.
  • 'Effect of the Basel Accord capital requirements on the loan-loss provisioning practices of Australian bank
    • Australian Prudential Regulation Authority, Melbourne, 19 March 2012.
    • Australian Prudential Regulation Authority, Brisbane, 23 March 2012.
    • Accounting and Finance Association of Australia and New Zealand Annual Conference, Melbourne, 2 July 2012.
    • Australian Colloquium of Superannuation Researchers, Sydney, 12 July 2012.
    • Australian Securities and Investments Commission, Sydney, 11 September 2012.
    • Deakin Finance Colloquium, Melbourne, 9 November 2012.
  • 'Risk and return of illiquid investments: A trade-off for superannuation funds offering transferable accounts'
    • Australian Prudential Regulation Authority, Melbourne, 11 November 2011.
    • Australian Prudential Regulation Authority, Brisbane, 15 November 2011.
    • Australian Prudential Regulation Authority, Sydney, 18 November 2011.
    • Australian Securities and Investments Commission, Sydney, 13 March 2012.
    • Rotman International Centre for Pension Management Discussion Forum, Toronto, Canada, 5 June 2012.
    • Netspar International Pension Workshop, Paris, France, 7 June 2012.
    • Accounting and Finance Association of Australia and New Zealand Annual Conference, Melbourne, 2 July 2012.
    • Asian Finance Association International Conference, Taipei, Taiwan, 8 July 2012.
    • Australian Colloquium of Superannuation Researchers, Sydney, 13 July 2012.
    • Macquarie University Financial Risk Day, Sydney, 14 March 2014.
  • 'Response to public information in futures markets: Evidence from the financial crisis'
    • Capital Markets Cooperative Research Centre, Sydney, 11 May 2009
    • Accounting and Finance Association of Australia and New Zealand Annual Conference, Christchurch, New Zealand, 6 July 2010.
    • Asia-Pacific Futures Research Symposium, Singapore, 16 February 2011.
  • 'Price formation and liquidity surrounding large trades in interest rate and equity index futures'
    • Sydney Futures Exchange, Sydney, 10 April 2006.
    • Osaka Securities Exchange, Osaka, Japan, 19 July 2006.
    • Discipline of Finance PhD Colloquium, University of Sydney, 2 November 2006.
    • Discipline of Finance, University of Sydney, 26 September 2008.
    • Australasian Finance and Banking Conference, Sydney, 17 December 2008.
    • Asia-Pacific Futures Research Symposium, Taipei, Taiwan, 2 March 2009.
    • European Financial Management Association Annual Meeting, Milan, Italy, 26 June 2009.
    • Asian Finance Association International Conference, Brisbane, 1 July 2009.
    • Accounting and Finance Association of Australia and New Zealand Annual Conference, Adelaide, 6 July 2009.
    • Financial Management Association International Annual Meeting, Reno, United States, 24 October 2009.
  • 'Index arbitrage and the pricing relationship between Australian stock index futures and their underlying shares'
    • European Financial Management Association Annual Meeting, Athens, Greece, 26 June 2008.
    • Financial Management Association International Annual Meeting, Grapevine, United States, 10 October 2008.
    • Australasian Finance and Banking Conference, Sydney, 18 December 2008.
  • 'Tax effects on the pricing of Australian stock index futures'
    • Australian Securities Exchange, Sydney, 5 November 2007.
    • Accounting and Finance Association of Australia and New Zealand Annual Conference, Sydney, 8 July 2008.
    • Financial Management Association International Annual Meeting, Grapevine, United States, 10 October 2008.
  • 'Time-dependent risk measurement for stock index arbitrage', Discipline of Finance PhD Colloquium, University of Sydney, 29 October 2007.
  • 'Opportunities for high frequency traders: Intraday patterns in price volatility and liquidity of SFE contracts', Australian Securities Exchange, Sydney, 9 August 2007.
  • 'Managing exposure to the Australian equities market: Index futures and their underlying stocks', CPA Australia Investment Strategy Discussion Group, Sydney, 11 July 2007.
  • 'Mispricing of calendar spreads for equity index futures', Australian Securities Exchange, Sydney, 9 May 2007.
  • 'Price effect of futures trading', Discipline of Finance PhD Colloquium, University of Sydney, 7 November 2005.

Grants

  • Centre for International Finance and Regulation project on 'Behaviour and determinants of Australian bank capital buffers', 2014-2016, $104,700 (with Kassim Durrani).
  • Australia and New Zealand Banking Group Limited project on Bank regulatory capital requirements, 2014, $55,000 (with Kevin Jameson and Sue Wright).
  • Centre for International Finance and Regulation project on Effect of the Basel Accord capital requirements on the loan-loss provisioning practices of Australian banks, 2014, $52,264 (with Kassim Durrani and Sue Wright).