Browsing by Author "Chang, Tzu-Pu"

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A comprehensive analysis of the effects of risk measures on bank efficiency: Evidence from emerging Asian countries
(2011-07-01)
Sun, Lei
;
Chang, Tzu-Pu
;
經營管理研究所
;
Institute of Business and Management
This study investigates the role of risk in determining the cost efficiency of international banks in eight emerging Asian countries. Researchers of this paper consider three distinct risk aspects under a total of eight risk measures: credit risk, operational risk, and market risk. We apply a heteroscedastic stochastic frontier model to estimate bank cost efficiency in our analysis. Additionally, this study analyzes the marginal effects of all risk measures on the inefficiency effect in order to explore a more detailed relationship between risks and efficiency. The empirical results indicate that the risk measures represent significant effects on both the level and variability of bank efficiency. We also find that these effects vary across countries and over time. (C) 2010 Elsevier B.V. All rights reserved.
Incorporating a leading indicator into the trading rule through the Markov-switching vector autoregression model
(2009)
Chang, Tzu-Pu
;
Hu, Jin-Li
;
經營管理研究所
;
Institute of Business and Management
This article examines the profitability of trading rules based on the smoothed probability of Markov-switching models and executes two models in Taiwan's case. The results present that both proposed models can earn excess returns over the buy-and-hold strategy and support that both can be used to trade. However, the univariate Markov-switching model, which only uses daily returns series does not successfully capture the trend in the stock market, especially during a bull market. This implies that high-frequency returns series contain lots of noises. In order to overcome this problem, the Markov-switching vector autoregression model that combines a leading indicator and returns is performed in this study. The results indicate a better trading pattern. We conclude that the leading indicator chosen from open interest in the future market increases useful information and reduces noises to improve model estimation, which can well identify the position of bull and bear markets.
Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?
(2014-02-01)
Hu, Jin-Li
;
Chang, Tzu-Pu
;
Chou, Ray Yeutien
;
經營管理研究所
;
Institute of Business and Management
This paper investigates the non-monotonic and non-linear effect of diversification on mutual fund performance. We apply a frontier-based efficiency measure, the stochastic frontier approach, to estimate fund efficiency and the benefit of diversification. The empirical results indicate that concentration strategy may not be appropriate for fund managers, and the benefit of diversification disappears or negatively affects performance when a fund holds too large a number of different stocks. Moreover, this paper examines whether market conditions moderate the relation between diversification and fund performance. The result shows that the benefit of diversification increases within low market return, high market volatility, and financial crisis, implying that the number of stocks needed to achieve a well-diversified portfolio increases under such market conditions.
The sources of bank productivity growth in China during 2002-2009: A disaggregation view
(2012-07-01)
Chang, Tzu-Pu
;
Hu, Jin-Li
;
Chou, Ray Yeutien
;
Sun, Lei
;
經營管理研究所
This study investigates the sources of bank productivity growth in China over the period 2002-2009. In order to perform this research, we propose an advanced index - input slack-based productivity index (ISP) - a model that disaggregates total factor productivity growth into each input productivity change. Funds, capital, and employees are chosen as the inputs, whereas loans and other earning assets are outputs in this study. Our results show that technological gains transcend the efficiency regressions and result in total factor productivity growth. More specifically, technical progress in capital productivity reveals the dominant force behind the total factor technical change and productivity improvement. In addition, this paper uses these disaggregation terms to find out the competitive advantages and disadvantages of input usages for each Chinese bank. These findings indicate that the ISP index provides more insights than traditional total factor productivity indices. (C) 2012 Elsevier B.V. All rights reserved.
Total-factor energy productivity growth, technical progress, and efficiency change: An empirical study of China
(2010-10-01)
Chang, Tzu-Pu
;
Hu, Jin-Li
;
經營管理研究所
;
Institute of Business and Management
This article introduces total-factor energy productivity change index (TFEPI) based on the concept of total-factor energy efficiency and the Luenberger productivity index to evaluate the energy productivity change of regions in China with a total-factor framework. Moreover, the TFEPI can be decomposed into change in energy efficiency and shift in the energy use technology. According to the computation results. China's energy productivity was decreasing by 1.4% per year during 2000-2004. The average total-factor energy efficiency improves about 0.6% per year, while total-factor energy technical change declines progressively 2% annually. The factors affecting TFEPI are also examined: (1) The east area has a higher TFEPI than the central and west area: (2) increasing the development status and electricity share of energy consumption will improve the region's TFEPI performance, while increasing the proportion of GDP generated by the secondary industry deteriorates TFEPI of a region. (C) 2010 Elsevier Ltd. All rights reserved.
Total-factor energy productivity growth, technical progress, and efficiency change: An empirical study of China
(2010-10-01)
Chang, Tzu-Pu
;
Hu, Jin-Li
;
經營管理研究所
;
Institute of Business and Management
This article introduces total-factor energy productivity change index (TFEPI) based on the concept of total-factor energy efficiency and the Luenberger productivity index to evaluate the energy productivity change of regions in China with a total-factor framework. Moreover, the TFEPI can be decomposed into change in energy efficiency and shift in the energy use technology. According to the computation results. China's energy productivity was decreasing by 1.4% per year during 2000-2004. The average total-factor energy efficiency improves about 0.6% per year, while total-factor energy technical change declines progressively 2% annually. The factors affecting TFEPI are also examined: (1) The east area has a higher TFEPI than the central and west area: (2) increasing the development status and electricity share of energy consumption will improve the region's TFEPI performance, while increasing the proportion of GDP generated by the secondary industry deteriorates TFEPI of a region. (C) 2010 Elsevier Ltd. All rights reserved.