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Education

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

Areas of Expertise

Finance

Behavioral FinanceÊ

Financial Market Volatility and Risk Management

Financial Panics and Contagion

Global Capital Markets

Time Series Analysis of Financial Series,

Selected Works

Articles

Chiang, Thomas C, Qiao, Zhuo and Wong, Wing K. "New Evidence on the Relation between Return Volatility and Trading Volume" JOURNAL OF FORECASTING 29.5 (Aug 2010):502-515

Chiang, Thomas C and Zheng, DaZhi . "An empirical analysis of herd behavior in global stock markets" JOURNAL OF BANKING AND FINANCE 34.8 (Aug 2010):1911-1921

Hammoudeh, Shawkat , Yuan, Yuan , Chiang, Thomas C and Nandha, Mohan . "Symmetric and Asymmetric US Sector Return Volatilities in Presence of Oil, Financial and Economic Risks" Energy Policy 38.8 (Aug 2010):3922-3932

Chiang, Thomas C, Li, Jiandong and Tan, Lin . "Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis" GLOBAL FINANCIAL JOURNAL 21.1 (Jan 2010):111-124

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, Lean, Hooi H and Wong, Wing-Keung . "Do REIT outpuerform stocks and fixed-income assets? New evidence from mean-variance and stochastic dominance approaches" JOURNAL OF RISK AND FINANCIAL MANAGEMENT 1.1 (Fall 2008):1-40

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

You, Taewoo , Holder, Mark and Chiang, Thomas C. "The Won/Dollar Forward Exchange Return and Risk Premium: Empirical Evidence from the 1997 Financial Crisis" REVIEW OF FUTURES MARKETS 15.1 (Jun 2006):607-639

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

Books

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

Chapters

Chiang, Thomas C, Qiao, Zhuo and Wong, Wing K. "A Markov Regime Switching Model of Stock Return Volatility: Evidence from Chinese Markets" Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration Ed. Greg N.Gregoriou and Razvan Pascalau . London:Palgrave MacMillan Book Publishers, Jan 2011.

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

Presentations

Chiang, Thomas C and Zheng, DaZhi . Liquidity as a Risk Factor: Evidence from International Markets Eastern Finance Association : Savannah, GA Mar 2011

Chiang, Thomas C, Li, Jiandon , Nelling, Edward and Tan, Lin . An analysis of dynamic herding behavior the 18th Conference on the Theories and Practices of Securities and financial Markets : Kaohsiung, Nov 2010

Chiang, Thomas C, Liang, Xiaoli and Shi, Jian . Positive Feedback Trading Activity and Momentum Profits The 2010 Financial Management Association Annual Meetings : New York City, NY Oct 2010

Chiang, Thomas C, Li, Jiandong and Tan, Lin . Does herding behavior in Chinese markets react to global markets? 18th annual conference on PBFEAM : Beijing, China, Jul 2010

Chiang, Thomas C and Li, Jiandong . Empirical Analysis of Dynamic Correlations Between Stock and Bond Returns International Atlantic Economic Conference : Prague, Czech Republic, Mar 2010

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

Proceedings

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

Conferences

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

Awards

2010-2010 SSRN's Top Ten download for Capital Markets (SSRN.com)

2010-2010 SSRN's Top Ten download list for Capital Markets (SSRN.com)

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)

Professional Experience

Assistant Professor, The Pennsylvania State University University Park, PA Dec 1980-Jun 1981

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

Visiting Professor of Finance, Zhongnan University of Economics and Finance Mar 1989-Jun 1989

Professor of Finance, Drexel University Philadelphia, PA Sep 1989-present

Vissting Professor of Finance, National Taiwan University Sep 1991-May 1992

Director of Global Financial Executive Program, Drexel University Jan 1995-Dec 1997

Visiting Examiner, Chinese University of Hong Kong Sep 1999-Aug 2002

WWW Resources

http://www.pages.drexel.edu/~chiangtc/