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Details about Thomas C. Chiang

E-mail:
Homepage:http://www.pages.drexel.edu/~chiangtc
Phone:215 895 1745
Postal address:Department of Finance Drexel University 206 Academic Building 101 North 33rd Street Philadelphia, PA 19104
Workplace:Department of Finance, LeBow College of Business, Drexel University, (more information at EDIRC)

Access statistics for papers by Thomas C. Chiang.

Last updated 2012-04-06. Update your information in the RePEc Author Service.

Short-id: pch293


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Working Papers

2005

  1. Phase Distribution and Phase Correlation of Financial Time Series
    Finance, EconWPA Downloads

Journal Articles

2017

  1. Comovements of Stock Markets between Turkey and Global Countries
    Czech Journal of Economics and Finance (Finance a uver), 2017, 67, (3), 250-275 Downloads

2010

  1. An empirical analysis of herd behavior in global stock markets
    Journal of Banking & Finance, 2010, 34, (8), 1911-1921 Downloads View citations (102)
  2. Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis
    Global Finance Journal, 2010, 21, (1), 111-124 Downloads View citations (25)
  3. New evidence on the relation between return volatility and trading volume
    Journal of Forecasting, 2010, 29, (5), 502-515 Downloads View citations (12)
  4. Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks
    Energy Policy, 2010, 38, (8), 3922-3932 Downloads View citations (10)

2008

  1. Herding behavior in Chinese stock markets: An examination of A and B shares
    Pacific-Basin Finance Journal, 2008, 16, (1-2), 61-77 Downloads View citations (92)
  2. 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, 2008, 18, (5), 425-437 Downloads View citations (13)
  3. The impact of sovereign rating changes and financial contagion on stock market returns: Evidence from five Asian countries
    Global Finance Journal, 2008, 19, (1), 46-55 Downloads View citations (12)
  4. The speed of adjustment to information: Evidence from the Chinese stock market
    International Review of Economics & Finance, 2008, 17, (2), 216-229 Downloads View citations (8)

2007

  1. Dynamic correlation analysis of financial contagion: Evidence from Asian markets
    Journal of International Money and Finance, 2007, 26, (7), 1206-1228 Downloads View citations (230)
  2. Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
    Quantitative Finance, 2007, 7, (6), 651-667 Downloads View citations (2)

2006

  1. Country-fund discounts and risk: Evidence from stock market volatility and macroeconomic volatility
    Journal of Economics and Business, 2006, 58, (4), 303-322 Downloads View citations (1)

2005

  1. International Asset Excess Returns and Multivariate Conditional Volatilities
    Review of Quantitative Finance and Accounting, 2005, 24, (3), 295-312 Downloads

2003

  1. Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model
    Journal of Economics and Business, 2003, 55, (5-6), 487-502 Downloads View citations (36)

2001

  1. Empirical Analysis of Stock Returns and Volatility: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model
    Review of Quantitative Finance and Accounting, 2001, 17, (3), 301-18 Downloads View citations (24)

2000

  1. Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?
    Applied Financial Economics, 2000, 10, (1), 95-104 Downloads View citations (9)
  2. Short-term eurocurrency rate behavior and specifications of cointegrating processes
    International Review of Economics & Finance, 2000, 9, (2), 157-179 Downloads View citations (2)

1999

  1. Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data
    Global Finance Journal, 1999, 10, (2), 187-200 Downloads View citations (3)
  2. On the Nonlinear Specifications of Short-Term Interest Rate Behavior: Evidence from Euro-Currency Markets
    Review of Quantitative Finance and Accounting, 1999, 12, (4), 351-70 Downloads View citations (2)
  3. Retrieving the vanishing liquidity effect--a threshold vector autoregressive model
    Journal of Economics and Business, 1999, 51, (3), 259-277 Downloads View citations (3)

1997

  1. Risk and International Parity Conditions: A Synthesis from Consumption Based Models
    International Economic Journal, 1997, 11, (2), 73-101 Downloads View citations (1)
  2. Time series dynamics of short-term interest rates: evidence from Eurocurrency markets
    Journal of International Financial Markets, Institutions and Money, 1997, 7, (3), 201-220 Downloads View citations (1)

1996

  1. Dynamic Analysis of Stock Return Volatility in an Integrated International Capital Market
    Review of Quantitative Finance and Accounting, 1996, 6, (1), 5-17 View citations (5)

1995

  1. Emperical analysis of short-term eurocurrency rates: Evidence from a transfer function error correction model
    Journal of Economics and Business, 1995, 47, (4), 335-351 Downloads View citations (4)
  2. Foreign exchange returns over short and long horizons
    International Review of Economics & Finance, 1995, 4, (3), 267-282 Downloads View citations (8)

1991

  1. A system of stock prices in world stock exchanges: Common stochastic trends for 1975-1990
    Journal of Economics and Business, 1991, 43, (4), 329-338 Downloads View citations (16)
  2. Forecasting the Treasury Bill Rate: A Time-Varying Coefficient Approach
    Journal of Financial Research, 1991, 14, (4), 327-36 View citations (5)
  3. International asset pricing and equity market risk
    Journal of International Money and Finance, 1991, 10, (3), 349-364 Downloads View citations (12)

1988

  1. Forward rate, spot rate and risk premium: An empirical analysis
    Review of World Economics (Weltwirtschaftliches Archiv), 1988, 124, (1), 74-88 Downloads
  2. The Forward Rate as a Predictor of the Future Spot Rate--A Stochastic Coefficient Approach
    Journal of Money, Credit and Banking, 1988, 20, (2), 212-32 Downloads View citations (17)

1986

  1. On the Predictors of the Future Spot Rates--A Multi-currency Analysis
    The Financial Review, 1986, 21, (1), 69-83
 
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