Publications

Publications From 2002 To 2011

PUBLICATIONS

“Testing the Pecking Order Theory in Taiwan: A Panel Data Analysis,” (with Dar-Hsin Chen, Jianguo Chen, and Yu-Fang Huang) Forthcoming in International Review of Economics and Finance, 2011.
The Effects of Abolishing a Foreign Institutional Investment Quota in Taiwan,” (with Alex Huang and Chih-Chun Chen) Forthcoming in Emerging Markets Finance and Trade, 2011.
“Assessing the Effects of Sports Marketing on Stock Returns: Evidence from the Nippon Professional Baseball Series,” (with Chih-Chun Chen) Forthcoming in Journal of Sports Economics, 2011.
"Trading Behaviors under Free-Floating Exchange Rate System: An analysis of South Korea’s Financial Markets,” (with Lloyd Blenman and Dar-Hsin Chen) International Journal of Banking and Finance 7(2), 37-58, 2010. (NSC 94-2416-H-212-008)
“Do Investors Herd in Emerging Stock Markets? Evidence from the Taiwanese Market,” (with Riza Demirer and Ali Kutan) Journal of Economic Behavior and Organization 76(2), 283-295, 2010.

“Return Autocorrelations in the Stock Markets,” Applied Economics Letters 16(9), 907-911, 2009.
“The Positive and Negative Impacts of the SARS Outbreak: A Case of Taiwan Industries,” (with Wan-Wei Tang, Chin-Chun Chen, and Bor-Yi Huang) Journal of Developing Areas 43(1), 281-293, 2009.
“Downside Risk Measures and Equity Returns in the NYSE,” (with Dar-Hsin Chen and Jianguo Chen) Applied Economics 41(8), 1055-1070, 2009.
“Are They Hedgers or Speculators? Evidence from South Korea’s Political Elections,” (with Wan-Wei Tang) Emerging Markets Finance and Trade 45(1), 55-66, 2009.
“The Motivations of Issuing Convertible Bonds – An Inquiry of the Sequential-financing Hypothesis,” (with Fu-Pin Hung, Dar-Hsin Chen, and Hsin-Ho Lin) Journal of Economics and Management 4(2), 229-250, 2008.
“The Effects of Sports Marketing on Enterprise’s Value – A Case from Nippon Professional Baseball Championship Competitions,” Soochow Journal of Economics and Business 63, 77-110, 2008.
“The Impacts of Opening Margin Trading on Stock Return, Volatility and Turnover Rate in Taiwan”, (with Dar-Hsin Chen and Chih-Min Lai) Journal of Economics and Management 3(1), 99-126, 2006.
“The Effect of IPO Lockup Agreements on Stock Prices: An Empirical Analysis on the Taiwan Stock Exchange,” (with Dar-Hsin Chen, Lloyd P. Blenman, and Feng-Shun Bin) Global Business and Finance Review 10, 39-56, 2005.
“The Optimal Dynamic Hedging Strategy for Nikkei 225 Index and Futures,” (with Mingchih Lee and Jer-Shiou Chiou) Journal of Statistics & Management Systems 8(3), 477-491, 2005.
“The Intraday Behaviors and Relationships with Its Underlying Assets: Evidence on Option Market in Taiwan,” (with MingChih Lee) International Review of Financial Analysis 14(5), 587-603, 2005.
“Political Elections and Foreign Investor Trading in South Korea’s Financial Market,” (with Chien-Liang Chiu and Wan-Wei Tang) Applied Economics Letters 12(11), 673-677, 2005
“Hedging with S&P500 and E-mini S&P500 Stock Index Futures,” (with Mingchih Lee, Jer-Shiou Chiou and Pei-Shan Wu) Journal of Statistics & Management Systems 8(2), 275-294, 2005.
“Hedging with Floor-Traded and E-mini Stock Index Futures,” (with Chien-Liang Chiu, Pei-Shan Wu, and Wan-Hsiu Cheng) Quarterly Journal of Business and Economics 44(3&4), 49-68, 2005.
“The Impacts of Political Events on Foreign Institutional Investors and Stock Returns: Emerging Market Evidence from Taiwan,” (with Dar-Hsin Chen and Feng-Shun Bin) International Journal of Business 10(2), 165-188, 2005.
“Removal of an Investment Restriction: The ‘B’ Share Experience from China’s Stock Markets,” (with Chien-Liang Chiu and MingChih Lee) Applied Financial Economics 15(4), 273-285, 2005.
“Studies on the Effect of Trading Volume and Return Volatility on Call Warrants and Underlying Stocks in Taiwan,” (with Chien-Liang Chiu, Ming-Chih Lee, and Cho-Min Lin) Quarterly Journal of Business and Economics 44(1&2), 29-43, 2005.
“Initial Public Offerings in the Tourism Industry: An International Analysis in Taiwan,” (with Dar-Hsin Chen) Journal of Hospitality Financial Management 12(1), 27-40, 2004.

OTHER PUBLICATIONS

“An analysis of Foreign Exchange Market Microstructure in Taiwan,” SinoPac Financial Journal 41, 1-35, 2008. (Leading Article)
“The Impacts of US and Taiwan Macroeconomic Information on the Asymmetric Volatility Transmission in Taiwan Stock and Futures Markets”, Tunghai Management Review 9(1), 65-90, 2007.
“Monetary Policy, Firm Size and Stock Return in Taiwan”, Journal of Risk Management 8(2), 177-199, 2006.
“Legislative Election Impact on Volatility of Taiwan Stock and Foreign Exchange Markets: An Application of Jump-Diffusion Model”, Tunghai Management Review 8(1), 33-52, 2006.
The Relationships among the Asian Stock Markets: Evidence from the Lowest Index of Japan’s Stock Market”, Journal of Business Administration 67, 1-30, 2005. (Leading Article)
“Re-investigation on Monetary Policy, Exchange Rate and Stock Price: An Application of GARCH-IRF Model”, Chaoyang Business and Management Review 4(2), 73-92, 2005.
"Re-examining the Predictability of Stock Index Return: Evidence from Time Series Models”, Tunghai Management Review 7(1), 167-192, 2005.
“The Impacts of Monetary Policies on Bull and Bear Stock Market: Evidence from Taiwan”, Taiwan Money Market Journal 9(1), 1-20, 2005. (Leading Article)
"The Influence of Foreign Capital’s Attitude toward Political Risk on the Taiwanese Stock Market: The Election of Mr. Chen Shui-Bian as the 10th R.O.C. President”, Taiwan Money Market Journal 8(4), 21-34, 2004.
“The Relationship between Stock Index Returns and Index Option Trading Volumes in Taiwan”, Taiwan Money Market Journal 8(1), 17-36, 2004.
“A Study on the Stock Market Dynamic Asymmetries in the Asian-Pacific Region”, Chung Yuan Management Review 1(2), 147-174, 2003.
“A Capitalization and Industrial Study of Announcement Effects of Stock Repurchases on Taiwan TSE Market”, Hwa-Kang Economic Review 3(1), 69-92, 2003.
“The Hedging Performance of Stock Index Futures Markets in Taiwan”, Journal of Business Administration 58, 85-104, 2003.
“The Relationships of Index Return among Taiwan, U.S., and Japan Stock Markets”, Quarterly Journal of Bank of Taiwan 53(4), 67-88, 2002.

webpage contact:
Dr,Chun-Da,Chen