Browsing by Author "Chiang, Shu-Mei"

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A note on board characteristics, ownership structure and default risk in Taiwan
(2015-03-01)
Chiang, Shu-Mei
;
Chung, Huimin
;
Huang, Chien-Ming
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study applies dynamic generalized method of moments estimation to examine the influences of ownership structure and board characteristics on default risk for a full samples and two subsamples (high-tech and conventional) of publicly listed firms in Taiwan. Our findings reveal that certain characteristics of corporate governance have explanatory power for default probability, but the impact is not straightforward. In particular, the impact of internal and external governance structures on default risk is industry dependent. Accordingly, governance proposals that encourage higher ownership among directors and large block shareholdings in high-tech firms or reduce managerial ownership in conventional companies can have a counterproductive effect on corporate governance and result in higher bankruptcy possibility.
Volatility behavior, information efficiency and risk in the S&P 500 index markets
(2012)
Chiang, Shu-Mei
;
Chung, Huimin
;
Huang, Chien-Ming
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
We propose an ARJI-Trend model-a combination of the ARJI and component models-to capture the distinguishing features of US index returns, with the results indicating that our model has a good fit for the volatility dynamics of spot, floor-traded and E-mini index futures in US markets. Although certain analogous characteristics are discernible amongst the three indices (such as the responses by the transitory components to innovations, the high persistence in the trends, and the relative importance of jump variance), the reaction to news is found to be heterogeneous amongst the S&P 500 indices. Furthermore, the out-of-sample forecasting performances of both the ARJI-Trend model and the GARCH model are found to have general equivalence for the S&P 500 indices. Our analyses further show that the mini-sized index market is the most efficient with regard to the transmission of information in both the short and long run. This suggests that, following the introduction of E-mini futures, these instruments have come to play a dominant role in price discovery. Overall, our empirical results are very encouraging, insofar as the proposed ARJI-Trend model is found to be a useful tool for helping practitioners to gain a better understanding of the differential attributes between spot, general and mini-sized products in US stock markets.