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)

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 (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 (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 (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 (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 (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 (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 (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 (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 (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 (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 (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 (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 (Nov 2007): 1206-1228.

Chiang, Thomas C., Chen, C.W. S., and So, M K., Asymmetries in Return & Volatility and Composite News from Stock Markets. Multinational Finance Journal 11 (Sep 2007): 179-210.

So, M K., 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 (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 (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 (Jan 2005): 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 (Nov 2003): 310-331.

Chen, C.W. S., Chiang, Thomas C., and So, M K., Asymmetrical Reaction to US Stock-Return News: Evidence from Major Stock Markets based on a Double-Threshold Model. Journal of Economics and Business 55 (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 (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 (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 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 (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 (Winter 1991): 349-364.

Chakrabarti, A, Chiang, Thomas C., and Clark, John J., Stock Prices and Merger Movements: Interactive Relations. Weltwirtschaftliches Archiv 124 (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 (May 1988): 210-232.

Chiang, Thomas C., and Hindelang, Thomas J., Forward Rate, Spot Rate, and Risk Premium - An Empirical Analysis. Weltwirtschaftliches Archiv 124 (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 (Mar 1988): 74-88.

Chiang, Thomas C., On the Predictors of the Future Spot Rate - A Multi-Currency Analysis. Financial Review 21 (Feb 1986): 69-83.

Books

Chiang, Thomas C., Madura, Jeff, and Tucker, Alan, International Financial Markets: Theory, Empirical Evidence, and Practice. (1991):

Chiang, Thomas C., Clark, John J., and Olson, G, Sustainable Corporate Growth: A Model and Management Planning Tool. Westport, CT: Quorum Books, (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, (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 , (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, (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, (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, (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, (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, (1998): 241-252.

Presented Research

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, (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., 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):

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