Finance

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

Selected Works

Articles

Chiang, Thomas C, Li, Jiandong and Yang, Sheng-Yung . “Dynamic stock-bond return correlations and financial market uncertainty” REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING . (forthcoming)

Chen, Cathy Y. , Kuo, I-D and Chiang, Thomas C. “What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem” Journal of International Financial Markets, Institutions & Money . (forthcoming)

Chiang, Thomas C, Li, Jiandong , Tan, Lin and Nelling, Edward . “Dynamic herding behavior in Pacific-Basin markets: Evidence and implications” MULTINATIONAL FINANCE JOURNAL 17. (May 2013)

Shi, Jian , Chiang, Thomas C and Liang, Xiaoli . “Positive-feedback trading activity and momentum profits” MANAGERIAL FINANCE 38.3 (Mar 2012):508-529

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):425-437

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

So, M K.P., Chen, C.W. S., Chiang, Thomas C and Lin, D S. “Modeling Financial Time Series with Threshold Nonlinearity in Returns and Trading Volume” APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 23.4 (Jul 2007):319-338

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, Kim, Doseong and Lee, Euiseong . “Country-fund Discounts and Risk: Evidence from Stock Market Volatility and Macroeconomic Volatility” JOURNAL OF ECONOMIC AND BUSINESS 58.4 (Jan 2006):303-322

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” WELTWIRTSCHAFTLICHES ARCHIV (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, Lao, Lanjun and Xue, Qingfeng . Empirical Evidence of Comovements between China and Global Stock Market the 89th Annual Conference of the Western Economic Association International, : Denver, CO Jul 2014

Chen, C.Y. and Chiang, Thomas C. Surprises, Sentiments, and the Expectations Hypothesis of the Term Structure of Interest Rates the 2014 FMA European Conference : Maastricht, NL Jun 2014

Chen, Y.K. , Chiang, Thomas C and Wang, Alan T. Does Liquidity Creation Matter to Bank Performance? Evidence from G10 Countries Asian Finance Conference : Bali, ID Jun 2014

Chiang, Thomas C, Lao, Lanjun and Xue, Qingfeng . Empirical Evidence of Comovements between China and Global Stock Markets The 20th Annual Conference of Multinational Finance Society : Izmir, TK Jul 2013

Chiang, Thomas C, Li, Huimin and Zheng, DaZhi . The Intertemporal Risk-Return Relationship Re-examined: Evidence from G-7 Countries Annual Eastern Finance Association Conference : St. Pete Beach, FL Apr 2013

Chiang, Thomas C, Li, Jiandong , Nelling, Edward and Tan, Lin . Dynamic Herding Behavior in Pacific-Basin Market: Evidence and Implicaitons Financial Management Association : Atlanta, GA Oct 2012

Chiang, Thomas C, Li, Jiandong and Yang, S Y. Time-Varying Correlations of Stock-Bond Returns and Financial Market Uncertainty: Evidence from Advanced Markets Annual Taiwan Economic Conference : New Taipei City , TW Dec 2011

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

Professional Experience

Academic-The Pennsylvania State University Assistant Professor University Park PA Dec 1980 - Jun 1981
Academic-Drexel University Assistant Professor of Finance & Statistics Philadelphia PA Sep 1981 - Aug 1985
Academic-Drexel University Associate Professor of Finance Philadelphia PA Sep 1985 - Aug 1989
Academic-Zhongnan University of Economics and Finance Visiting Professor of Finance Taipei Mar 1989 - Jun 1989
Academic-Drexel University Professor of Finance Philadelphia PA Sep 1989 -
Academic-National Taiwan University Vissting Professor of Finance Taipei Sep 1991 - May 1992
Academic-Drexel University Director of Ph.D. Program for the Business College Sep 1994 - Aug 1997
Academic-Drexel University Director of Global Financial Executive Program Jan 1995 - Dec 1997
Academic-Chinese University of Hong Kong Visiting Examiner Sep 1999 - Aug 2002
Academic-National Chung Hsing University International Finance Chair Professor Taichung TW Dec 2011 - Mar 2012
Academic-Shanghai Fudan University Visiting Research Professor Shanghai Mar 2012 - Jun 2012

Awards

2011 International Finance Chair Professor - 2011 to 2015 (National Chung Hsing University, ROC)
2011 Top 1 Citation of Reserach Paper Publication: 2007-2012 (Journal of International Money and Finance)
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)

Areas of Expertise

  • Behavioral Finance
  • Financial Market Volatility and Risk Management
  • Global Capital Markets
  • Multinational Finance
  • Time Series Analysis of Financial Series