Thomas Chiang

Thomas Chiang

Areas of Expertise

  • Behavioral Finance
  • Financial Market Volatility and Risk Management
  • Financial Panics and Contagion
  • International Finance
  • Time Series Analysis of Financial Series,

Selected Works

Articles

Chiang, Thomas C., and Chen, Xiao Y., Empirical Analysis of Dynamic Linkages between China and International Stock Markets. Journal of Mathematical Finance 6 (Feb 2016):

Chen, Cathy Y., and Chiang, Thomas C., Empirical analysis of the intertemporal relation between downside risk and expected returns: Evidence from time-varying transition probability models. European Financial Management (Dec 2015):

Chen, Cathy Y., and Chiang, Thomas C., Surprises, sentiments, and the expectations hypothesis. Review of Quantitative Finance and Accounting (May 2016):

Chiang, Thomas C., Li, Huimin, and Zheng, DaZhi, The Intertemporal Return-Risk Relationship: Evidence from international Markets. Journal of International Financial Markets, Institutions & Money 39 (Nov 2015): 156-180.

Chiang, Thomas C., Lao, Lanjun, and Xue, Qingfeng, Comovements between Chinese and global stock markets: evidence from aggregate and sectoral data. Review of Quantitative Finance and Accounting (Jul 2015):

Chiang, Thomas C., and Zheng, DaZhi, Liquidity and stock returns: Evidence from Internaitonal markets. Global Finance Journal 27 (Jul 2015): 73-79.

Chiang, Thomas C., Li, Jiandong, and Yang, Sheng-Yung, Dynamic stock-bond return correlations and financial market uncertainty. Review of Quantitative Finance and Accounting 45 (Jul 2015): 59-88.

Chiang, Thomas C., Chen, Cathy W.S., and So, Mike K. P., Evidence of stock returns and abnormal trading volume: A threshold quantile regression approach. The Japanese Economic Journal (Mar 2015): 1-29.

Chiang, Thomas C., Li, Huimin, and Zheng, DaZhi, The Downside Risk-Return Relationship Examined: Evidence from G-7 Industry Data.. International Research Journal of Applied Finance 5 (May 2014): 603-622.

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 30 (May 2014): 172-190.

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): 165-200.

Shi, Jian, Chiang, Thomas C., and Liang, Xiaoli, Positive-feedback trading activity and momentum profits. Managerial Finance 38 (May 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 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 (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 Jiang, Christine X., Foreign Exchange Returns over Short and Long Horizons. International Review of Economics and Finance 4 (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 (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., Empirical Analysis on the Predictions of the Future Spot Rates. Journal of Financial Research 9 (Summer 1986): 153-162.

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

Li, Huimin, and Chiang, Thomas C., “Regime switching on the relationship between returns and Stock currency values: Evidence from the 1997 Asian crisis.” Handbook of Investors&#-775232; Behavior during Financial Crises, Ed. Fotini Economou, Konstantinos Gavriilidis, Greg N.. London: Elsevier, (2016):

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

Chen, Cathy Y., Chiang, Thomas C., and Hardle, Wolfgang K., Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries, the 2016 Annual European Financial Management Meetings: Basel, SW, (Jul 2016):

Zheng, DaZhi, Li, Huimin, and Chiang, Thomas C., Fundamental factors and stock returns: Evidence from Asian stock markets, the 2016 Financial Management Association Annual Meetings: Las Vegas, ND, (Jun 2016):

Chiang, Thomas C., and Chen, Cathy Y., 4. Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 countries, the 2016 Eastern Financial Association Meetings: Maltimore, MD, (Mar 2016):

Chiang, Thomas C., Stock reutrns and economic forces: An empirical investigation of Chinese markets, the 2016 AEA/ASSA Annual Meetings: San Francisco, CA, (Jan 2016):

Zheng, DaZhi, Li, Huimin, and Chiang, Thomas C., Herding in industries: Evidence from Asian stock markets, Southern Finance Associaiton Annual Meetings: Captiva Island, FL, (Nov 2015):

Chiang, Thomas C., Dynamic linkages between China and international stock markets, The second Annual Global Congress of Knowledge Economy (GCKE): Qingdao, Ch, (Nov 2015):

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, Cathy Y., and Chiang, Thomas C., Surprises, Sentiments, and the Expectations Hypothesis of the Term Structure of Interest Rates, 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):

Chen, C.Y., and Chiang, Thomas C., Surprises, Sentiments, and the Expectations Hypothesis of the Term Structure of Interest Rates, International Conference of the Taiwan Finance Association: Hsin Chu, TW, (May 2014):

Chen, C.Y., and Chiang, Thomas C., Surprises,Sentiments, and the Expectations Hypothesis of the Term Structure of Interest Rates, International Conference of the Taiwan Finance Association: HsinChu, TW, (May 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):

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
PhD International Finance, Financial Economics, Time-Series Forecasting, Minor: Econometrics, Money and Financial Markets - Penn State University 1981

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
Academic-International Review of Economics & Finance Co-Guest Editor Philadelphia PA Sep 2014 - Jun 2015

Awards

2015 Chair Professor in International Finance, 2013-2016 (National Chung Hsing University, ROC)
2014 Best Research Paper Award (Taiwan Finance Association)
2011 Top 1 Citation of Reserach Paper Publication: 2007-2012 (Journal of International Money and Finance)
2011 International Finance Chair Professor - 2011 to 2015 (National Chung Hsing University, ROC)
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)