MBA in Pharmaceutical Management Online Information Session
Online
11.09.2009 @ 12:00 PM
Malvern LEAD MBA One-on-One Information/Admissions Session
2nd Floor
11.10.2009 @ 11:00 AM
Full Time MBA One on One Information Session
Pearlstein Business Learning Center 401
11.12.2009 @ 11:00 AM
LEAD MBA/Malvern LEAD Online Information Session
Online
11.12.2009 @ 12:00 PM
MBA in Pharmaceutical Management Information Session
Pearlstein 403
11.14.2009 @ 09:30 AM
LeBow College of Business MBA Open House
Pearlstein Business Learning Center 102
11.18.2009 @ 06:00 PM
MBA in Pharmaceutical Management Information Session
Hyatt Regency Princeton
11.19.2009 @ 06:00 PM
Malvern LEAD MBA One-on-One Information/Admissions Session
2nd Floor
12.01.2009 @ 11:00 AM
MBA in Pharmaceutical Management Online Information Session
Online
12.02.2009 @ 12:00 PM
General MBA One on One Information Session
Pearlstein Business Learning Center 401
12.03.2009 @ 11:00 AM
LEAD MBA/Malvern LEAD Online Information Session
Online
12.03.2009 @ 12:00 PM
MBA in Pharmaceutical Management Information Session
Pearlstein 4th floor
12.03.2009 @ 06:00 PM
Professional Part Time MBA Online Information Session
Online
12.08.2009 @ 12:00 PM

Marshall M. Austin Chair Professor
Finance - Professor
Office: Academic Building 206
Phone: 215.895.1745
Email: chiangtc@drexel.edu
At Drexel Since 1981
BA - National Chung-Hsing University (Now National Taipei University) 1967
MA Major: International Economics Minor: Investments, Certificate of Statistics Survey, Bureau of Census, U.S. Department of Commerce - University of Hawaii 1973
Ph.D. International Finance, Financial Economics, Time-Series Forecasting, Minor: Econometrics, Money and Financial Markets - Penn State University 1981
Chiang, Thomas C, Qiao, Zhuo and Wong, Wing K. "New Evidence on the Relation between Return Volatility and Trading Volume" JOURNAL OF FORECASTING . (Jul 2009)
Chiang, Thomas C, Yu, Hai-Chin and Wu, Ming C. "Statistical Properties, Dynamic Conditional Correlation and Scaling Analysis: Evidence from Dow Jones and NASDAQ High-Frequency Data" PHYSICA A 388.8 (Spring 2009):1555-1570
Qiao, Zhuo , Chiang, Thomas C and Wong, Wing K. "Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market" JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 18.5 (Oct 2008)
Chiang, Thomas C, Tan, Lin and Nelling, Edward . "Empirical Analysis of the Speed of Adjustment to Information: Evidence from the Chinese Stock Market" INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE 17.2 (Jun 2008):216-229
Li, Huimin , Jeon, Bang Nam , Cho, Seong Y and Chiang, Thomas C. "The impact of sovereign rating changes and financial contagion on stock market returns: Evidence from five Asian countries" GLOBAL FINANCE JOURNAL 19.1 (Mar 2008):46-55
Tan, Lin , Chiang, Thomas C, Mason, Joseph R and Nelling, Edward . "Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares" PACIFIC-BASIN FINANCE JOURNAL 16.1 (Jan 2008):61-77
Chiang, Thomas C, Tan, Lin and Li, Huimin . "Empirical Analysis of Dynamic Correlations of Stock Returns: Evidence from Chinese A-Share and B-Share Markets" QUANTITATIVE FINANCE 7.6 (Dec 2007):651-667
Chiang, Thomas C, Jeon, Bang Nam and Li, Huimin . "Dynamic Correlation Analysis of Financial Contagions: Evidence from Asian Markets" JOURNAL OF INTERNATIONAL MONEY AND FINANCE 26.7 (Nov 2007):1206-1228
Chiang, Thomas C, Chen, C.W. S. and So, M K.P.. "Asymmetries in Return & Volatility and Composite News from Stock Markets " MULTINATIONAL FINANCE JOURNAL 11.3/4 (Sep 2007):179-210
Chiang, Thomas C. "Foreign Exchange Risk Premiums and Asset Return Differentials" INTERNATIONAL RESEARCH JOURNAL OF FINANCE AND ECONOMICS 8. (Mar 2007):181-195
Chiang, Thomas C and Yang, Sheng Y. "International Asset Excess Returns and Multivariate Conditional Volatilities" REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 24. (Apr 2005):295-312
Chiang, Thomas C and Yang, Sheng Y. "Foreign Exchange Risk Premiums and Time-Varying Equity Market Risks" INTERNATIONAL JOURNAL OF RISK ASSESMENT AND MANAGEMENT 4.4 (Nov 2003):310-331
Chen, C.W. S., Chiang, Thomas C and So, M K.P.. "Asymmetrical Reaction to US Stock-Return News: Evidence from Major Stock Markets based on a Double-Threshold Model" JOURNAL OF ECONOMICS AND BUSINESS 55.5-6 (Sep 2003):487-502
Chiang, Thomas C and Doong, Shuh-Chyi . "Empirical Analysis of Stock Returns and Volatilities: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model" REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 17. (Sep 2001):301-318
Jiang, Christine X and Chiang, Thomas C. "Do Foreign Exchange Risk Premiums relate to the Volatility in the Foreign Exchange and Equity Markets?" APPLIED FINANCIAL ECONOMICS 10. (Sep 2000):95-104
Chiang, Thomas C and Doong, Shuh-Chyi . "Empirical Analysis of Real and Financial Volatilities on Stock Excess Returns: Evidence from Taiwan Industrial Data" GLOBAL FINANCIAL JOURNAL 10.2 (Sep 1999):187-200
Shen, C H and Chiang, Thomas C. "Retrieving the Vanishing Liquidity Effect - A Threshold Vector Autoregressive Model" JOURNAL OF ECONOMIC AND BUSINESS 51.3 (May 1999):257-277
Chiang, Thomas C. "Time Series Dynamics of Short-Term Interest Rates - Evidence from Euro-Currency Markets" JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 7. (Oct 1997):201-220
Chiang, Thomas C and Jiang, Christine X. "Foreign Exchange Returns over Short and Long Horizons" INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 4.3 (Sep 1995):267-282
Chiang, Thomas C and Chung, R K. "An Empirical Analysis of the Expert Expectations Hypothesis in the US Treasury Bill Market" APPLIED FINANCIAL ECONOMICS . (Dec 1993):329-334
Chiang, Thomas C and Trinidad, J A. "The Monotonicity of the Foreign Exchange Risk Premium" JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS AND MONEY 3.1 (Sep 1993):1-32
Chiang, Thomas C and Kahl, Douglas R. "Forecasting Treasure Bill Rate - A Time Varying Coefficient Approach" JOURNAL OF FINANCIAL RESEARCH . (Winter 1991):327-336
Chiang, Thomas C and Jeon, Bang Nam . "A System of Stock Prices in World Stock Exchanges: Common Stochastic Trends for 1975 - 1990" JOURNAL OF ECONOMIC AND BUSINESS . (Nov 1991):329-338
Chiang, Thomas C. "International Asset Pricing and Equity Market Risk" JOURNAL OF INTERNATIONAL MONEY AND FINANCE 10.3 (Winter 1991):349-364
Chakrabarti, A , Chiang, Thomas C and Clark, John J. "Stock Prices and Merger Movements: Interactive Relations" WELTWIRTSCHAFTLICHES ARCHIV 124.2 (Jun 1988):287-300
Chiang, Thomas C. "The Forward Rate as a Predictor of the Future Spot Rate - A Stochastic Coefficient Approach" JOURNAL OF MONEY, CREDIT, AND BANKING 20.2 (May 1988):210-232
Chiang, Thomas C and Hindelang, Thomas J. "Forward Rate, Spot Rate, and Risk Premium - An Empirical Analysis" WELTWIRTSCHAFTLICHES ARCHIV 124.1 (Mar 1988):74-88
Chiang, Thomas C and Hindelang, Thomas J. "Forward Rate, Spot Rate and Market Efficiency - An Empirical Analysis of the Japanese Yen" REVIEW OF WORLD ECONOMICS 124.1 (Mar 1988):74-88
Chiang, Thomas C. "Empirical Analysis on the Predictions of the Future Spot Rates" JOURNAL OF FINANCIAL RESEARCH 9.12 (Summer 1986):153-162
Chiang, Thomas C. "On the Predictors of the Future Spot Rate - A Multi-Currency Analysis" FINANCIAL REVIEW 21.1 (Feb 1986):69-83
Chiang, Thomas C, Madura, Jeff and Tucker, Alan . International Financial Markets: Theory, Empirical Evidence, and Practice :West Pulblishing, Sep 1991
Chiang, Thomas C, Clark, John J and Olson, G . Sustainable Corporate Growth: A Model and Management Planning Tool Westport, CT: Quorum Books, Sep 1989
Chiang, Thomas C, Qiao, Zhuo and Wong, Wing K. "A Markov Regime Switching Model of Stock Return Volatility: Evidence from Chinese Markets" Handbook of Financial Econometrics Ed. . London:Chapman-Hall/Taylor and Francis, Jul 2009.
Chiang, Thomas C. "Cross-sectional Return Dispersions and Risk in Global Equity Markets" Stock Market Volatility Ed. Greg N. Gregoriou. London, UK:Taylor and Francis , Mar 2009. :361-376
Chiang, Thomas C and Tan, Lin . "Empirical analysis of herding behavior in Asian stock markets" Emerging Markets: Performance, Analysis and Innovation Ed. Greg N. Gregoriou. London, UK:Chapman-Hall/Taylor and Francis, Mar 2009. :417-431
Chiang, Thomas C and Li, Jiandong . "Stcok Returns, Extreme Values, and Conditional Skewed Distributions" Handbook of Quantitative Finance and Risk Management Ed. Cheng-Few Lee and Alice C. Lee. New York, NY:Springer Publishers, Jan 2009. Chapter 25
Chiang, Thomas C. "International Parity Conditions and Market Risk" Encyclopedia of Finance Ed. A.C. Lee and C.F.Lee. New York, NY:Springer, Jul 2006. :344-358
Chiang, Thomas C and Kim, Doseong . "On Country-Fund Price Behavior - An Empirical Analysis of Cointegrating Factors" Advances in Financial Planning and Forecasting Ed. Lee, Cheng-Few. New York, NY:Jai Press, Jun 2003. :85-112
Chiang, Thomas C. "Stock Returns and Conditional Variance-Covariance: Evidence from Asian Stock Markets" Emerging Markets: Financial and Investment Issues Ed. Choi, J. Jay and John Doukas. Westport, CT:Quorum Books, Jun 1998. :241-252
Chiang, Thomas C and Zheng, DaZhi . Empirical Analysis of Herd Behavior in Global Equity Markets the 2009 Asian Financial Management Conference : Xiamen, May 2009
Chiang, Thomas C and Zheng, DaZhi . Empirical Analysis of Herd Behavior in Global Equity Markets: Evidence from Industry Stock Returns The 2009 Annual ASSA Conference : San Franscico, CA Jan 2009
Chiang, Thomas C and Li, Jiandong . Stock Returns and Risk: Evidence from Quantile Regression Analysis The Society for Financial Econometrics Inaugural Conference : New York, NY Jun 2008
Chiang, Thomas C. Asset Returns in an Integrated Financial System International Finance Seminars : Taipei, Mar 2008
Chiang, Thomas C and Li, Jiandong . Empirical Analysis of Asset Returns with Skewness, Kurtosis, Outliers: Evidence from 30 Dow-Jones Industrial Stocks Financial Management Association Annual Meetings : Orlando, FL Oct 2007
Chiang, Thomas C, Wu, Ming C and Yu, Hai-Chin . The Statistical Properties of High Frequency Stock Returns: Evidence from Dow-Jones and NASDAQ Indices Eastern Finance Association : Philadelphia, PA Apr 2006
Chiang, Thomas C and Tan, Lin . Dynamic Conditional Correlation Analysis of Chinese Stock Markets: Evidence from A-Share and B-share Return Series Emerging Markets Finance : London, UK May 2005
Chiang, Thomas C. Financial Contagion: Evidence from Asian Markets International Finance : , Dec 2003
Chiang, Thomas C. Equity Risk Premiums, Real Interest Rates, and Deviations for International Parities ACME International Conference on Pacific Rim Management Jul 2005 :Jul 2005
Chiang, Thomas C and Tan, Lin . Dynamic Conditional Correlation Analysis of Chinese Stock Markets: Evidence from A-Share and B-share Return Series Multinational Finance Society (FMS) Jul 2005 :Jul 2005
Chiang, Thomas C, Shen, CW S and So, M K.P.. Asymmetrical Reaction to US Stock-Return News: Evidence from Major Stock Markets based on a Double-Threshold Model Multinational Finance Society Jun 2003 :Sep 2003
Chiang, Thomas C and Kim, Doseong . An Empirical Analysis of Country-Fund Discounts The Economics & International Business Research Conference Sep 2002 :Dec 2002
Chiang, Thomas C and Yang, S Y. Foreign Exchange Risk Premiums and Relative Asset Return Differentials Financial Management Theory and Practice Sep 2001 Taiwan Financial Management Association:Sep 2001
Program Committee, 16th Annual conference of the Multinational Finance Society, Organizer Jun 28, 2009 - Jul 01, 2009
The 2009 Asian Financial Management Conference, Speaker May 07, 2009 - May 08, 2009
Keynote Speaker, Modern Issues on Finance-Academic Symposium , Speaker Apr 28, 2006 - Apr 28, 2006
2008 Outstanding Alumni Achievement Award (National Taipei University)
2005 International Development Service Award (United Nations)
1971 East-West Center Fellowship for International Studies (East West Center)
Assistant Professor of Finance & Statistics, Drexel University Philadelphia, PA Sep 1981-Aug 1985
Associate Professor of Finance, Drexel University Philadelphia , PA Sep 1985-Aug 1989
Director of Global Financial Executive Program, Drexel University Jan 1995-Dec 1997
Visiting Examiner, Chinese University of Hong Kong Sep 1999-Aug 2002
