Details about Thomas C. Chiang

Access statistics for papers by Thomas C. Chiang.

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

Short-id: pch293

Working Papers

2005

1. Phase Distribution and Phase Correlation of Financial Time Series
   Finance, University Library of Munich, Germany

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

2010

2. An empirical analysis of herd behavior in global stock markets
   Journal of Banking & Finance, 2010, 34, (8), 1911-1921 View citations (332)
3. Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis
   Global Finance Journal, 2010, 21, (1), 111-124 View citations (88)
4. New evidence on the relation between return volatility and trading volume
   Journal of Forecasting, 2010, 29, (5), 502-515 View citations (32)
5. Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks
   Energy Policy, 2010, 38, (8), 3922-3932 View citations (25)

2008

6. Herding behavior in Chinese stock markets: An examination of A and B shares
   Pacific-Basin Finance Journal, 2008, 16, (1-2), 61-77 View citations (228)
7. 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 View citations (33)
8. 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 View citations (25)
9. The speed of adjustment to information: Evidence from the Chinese stock market
   International Review of Economics & Finance, 2008, 17, (2), 216-229 View citations (15)

2007

10. Dynamic correlation analysis of financial contagion: Evidence from Asian markets
    Journal of International Money and Finance, 2007, 26, (7), 1206-1228 View citations (473)
11. Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
    Quantitative Finance, 2007, 7, (6), 651-667 View citations (6)

2006

12. Country-fund discounts and risk: Evidence from stock market volatility and macroeconomic volatility
    Journal of Economics and Business, 2006, 58, (4), 303-322 View citations (2)

2005

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

2003

14. 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 View citations (57)

2001

15. 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 View citations (46)

2000

16. Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?
    Applied Financial Economics, 2000, 10, (1), 95-104 View citations (11)
17. Short-term eurocurrency rate behavior and specifications of cointegrating processes
    International Review of Economics & Finance, 2000, 9, (2), 157-179 View citations (2)

1999

18. Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data
    Global Finance Journal, 1999, 10, (2), 187-200 View citations (4)
19. 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 View citations (1)
20. Retrieving the vanishing liquidity effect--a threshold vector autoregressive model
    Journal of Economics and Business, 1999, 51, (3), 259-277 View citations (10)

1997

21. Risk and International Parity Conditions: A Synthesis from Consumption Based Models
    International Economic Journal, 1997, 11, (2), 73-101 View citations (1)
22. 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 View citations (1)

1996

23. 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 (12)

1995

24. 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 View citations (4)
25. Foreign exchange returns over short and long horizons
    International Review of Economics & Finance, 1995, 4, (3), 267-282 View citations (13)

1991

26. 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 View citations (40)
27. International asset pricing and equity market risk
    Journal of International Money and Finance, 1991, 10, (3), 349-364 View citations (15)

1988

28. Forward rate, spot rate and risk premium: An empirical analysis
    Review of World Economics (Weltwirtschaftliches Archiv), 1988, 124, (1), 74-88 View citations (1)
29. 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 View citations (34)

1986

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