Browsing by Author "Huang, Alex YiHou"

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Asymmetric Dynamics between Informed Trading Activity and Credit Default Swaps
(2018-12-01)
Hu, Wen-Cheng
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Huang, Alex YiHou
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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
Dynamics of Sovereign Credit Contagion
(2014-09-01)
Huang, Alex YiHou
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Chen, Chih-Chun
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Shen, Chung-Hua
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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
This article explores the dynamics of sovereign credit contagion. The recent European debt crisis is direct evidence of default clustering for sovereign nations and shows that credit contagion among countries is an important subject in financial analysis. We examine abnormal changes in Credit Default Swaps (CDS) spreads in one country in response to credit rating shocks in another, and observe that negative shocks prompt more extreme reactions in the CDS market than do positive events. We find stronger contagion effects for non-event countries located in the same geographic region with economic development levels similar to those of the event country. This greater contagion effect is also observed in non-event countries with stock market dynamics that are highly correlated to those of the event country. Finally, the credit contagion effect is weaker for non-event countries with better macroeconomic performance and political governance.
Impacts of implied volatility on stock price realized jumps
(2016-12)
Huang, Alex YiHou
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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
This paper investigates the impact of ex ante implied volatility on stock price realized jumps. In particular, it examines how the different behaviors of informed and noise traders affect stock price jumps. We find that ex ante implied volatility interacts with the level of information quality for a stock when leading realized jumps, and that the direction of the relation changes across the states of the business cycle. We also document an, asymmetric impact from ex ante implied volatility on price jumps across stocks with different degrees of information-based trading activity. (C) 2016 Elsevier B.V. All rights reserved.
Investor Attention and Stock Price Movement
(2019-07-03)
Cheng, Chiao-Ming
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Huang, Alex YiHou
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Hu, Ming-Che
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交大名義發表
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資訊管理與財務金融系註：原資管所+財金所
Prior studies have documented that information presence (absence) leads to price continuation (reversal) when a stock price experiences extreme shock. The authors investigate whether the level of investor attention have an impact on stock price dynamics following the shock. They show that when shocks are not accompanied by new information, the price generally reverses, and the magnitude of the reversal is stronger for stocks with lower degree of investor attention. The asymmetric effect on the magnitude of reversal is stronger for stock with higher return volatility. In addition, for the price shocks accompanied by new information, stock price would continue for a short run, and such continuation is statistically significant and stronger when investors are optimistic toward to the stocks.
Value at risk estimation by threshold stochastic volatility model
(2015-01-01)
Huang, Alex YiHou
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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
This article proposes a threshold stochastic volatility model that generates volatility forecasts specifically designed for value at risk (VaR) estimation. The method incorporates extreme downside shocks by modelling left-tail returns separately from other returns. Left-tail returns are generated with a t-distributional process based on the historically observed conditional excess kurtosis. This specification allows VaR estimates to be generated with extreme downside impacts, yet remains empirically widely applicable. This article applies the model to daily returns of seven major stock indices over a 22-year period and compares its forecasts to those of several other forecasting methods. Based on back-testing outcomes and likelihood ratio tests, the new model provides reliable estimates and outperforms others.