Browsing by Author "Chen, Dar-Hsin"

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A effects of market liberalizations on return, risk, and co-movement of China's a- and B-Share stock markets
(2007)
Chen, Dar-Hsin
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Lu, Chung-Ying
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交大名義發表
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National Chiao Tung University
This paper investigates the effects of the two major market liberalization policies on price behavior of China's A- and B-share markets, namely the opening of the B-share market in February 2001 and the approval of the QFII scheme in. November 2002. We examine the announcement effects of two liberalization policies, the mean price discount, the cointegration relationship between the A- and B-share stock markets and the volatility pattern. The empirical results show that the opening of the B-share market has a significant influence on the return, risk, and co-movement relationship of the A- and B-share stock market while the QFII scheme does not have obvious impacts. We infer that this phenomenon may result from the government's interference or the role of QFII in the China's A-share stock market. The results support the view that liberalization of stock markets leads to overall improvement in the quality of the markets.
A stabilization analysis of the introduction of Taiwan 50 Index Futures and Taiwan Top 50 Tracker Fund on the underlying spot market
(2011-08-04)
Chen, Dar-Hsin
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Lai, Ssu-Min
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Lin, Li-Chih
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管理科學系
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Department of Management Science
The objective of this paper is to examine whether derivatives trading leads to destabilization effects of the underlying markets. We employ Taiwan-listed stocks and partition the sample into Taiwan 50 index constituents and non-Taiwan 50 stocks. The sample period covers from January 2001 to December 2004. Subsequently, we divide the observed period into three sub-periods and use a covariance regression model and the Sharpe measure to analyze the effect of Taiwan 50 Index Futures and Taiwan Top 50 Tracker Fund trading on spot price volatility and performance. The empirical results show that the launches of Taiwan 50 index futures and Taiwan Top 50 Tracker Fund trading not only push the volatility to further increase after controlling several firm-specific factors but also advance the performances. At the same time, Taiwan 50 Index constituents have a higher volatility than non-Taiwan 50 stocks. However, due to the huge trading volume difference, we conjecture that Taiwan Top 50 Tracker Fund is the major factor not the index futures.
Panel data analyses of the pecking order theory and the market timing theory of capital structure in Taiwan
(2013-06-01)
Chen, Dar-Hsin
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Chen, Chun-Da
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Chen, Jianguo
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Huang, Yu-Fang
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資訊管理與財務金融系註：原資管所+財金所
We exploit panel data of publicly-traded Taiwanese firms to test the pecking order theory the market timing theory over 1990-2005. On the one hand, the results indicate no support for pecking order behavior (consistent with Frank & Goyal, 2003), as net equity issues track the financing deficit much more closely than net debt issues do. The adverse selection also demonstrates that the pecking order theory is not supported by our empirical results. On the other hand, the evidence of the market timing theory is favorable for the Taiwan stock market especially for the period 1990 to 2001, suggesting that the results of this theory provide an explanation when our results do not support the pecking order hypothesis. However, the market timing theory does not apply in the period of 2002-2005. In other words, firms in Taiwan prefer issuing more debt rather than equity under low market performance. (C) 2012 Elsevier Inc. All rights reserved.
VAR AND THE CROSS-SECTION OF EXPECTED STOCK RETURNS: AN EMERGING MARKET EVIDENCE
(2014-06-01)
Chen, Dar-Hsin
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Chen, Chun-Da
;
Wu, Su-Chen
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
In this paper we investigate the explanatory power of the market beta, firm size, and the book-to-market ratio, as well as Value-at-Risk regarding the cross-sectional expected stock returns in a less developed stock market - Taiwan\'s stock market. The main purpose is to examine whether the Value-at-Risk factor has marginal explanatory power related to the Fama-French three-factor model. The empirical results show that Value-at-Risk can account for the average stock returns at both 1% and 5% significance levels based on cross-sectional regression analysis. Moreover, from the perspective of the time series regression, the Value-at-Risk factor can also demonstrate the variation of the stock market, especially for the larger companies in the Taiwan stock market.