Browsing by Author "Wang, KL"

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An empirical approach toward realistic modeling of capital market volatility
(2005-01-01)
Wang, NJ
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Wang, KL
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Jeng, JH
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交大名義發表
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National Chiao Tung University
This paper examines the realized integrated variance of the daily return rate series of S&P 500, Nasdaq and FTSE 100 respectively. The realized integrated variance is defined to be the statistical variance of the market index return rates within a certain time window. In stead of regarding the realized integrated variance as an empirical approximate of the latent spot volatility as formally defined in a mathematical framework, such as GARCH, we treat it as a direct "observable" volatility measure and try to model its dynamics straightforward. First, we find the volatility series is a stochastic jump-decay process rather than being all-over-the-time stationary in each market. Also, under switching bull and bear market conditions, the volatility series exhibits significantly different dynamic characteristics. Secondly, some major market structures, related to volatility mechanism, might have changed due to the hefty usage of options for hedging volatility risk after 1997.
Cost efficiency and the effect of mergers on the Taiwanese banking industry
(2004-07-01)
Peng, YH
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Wang, KL
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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 study addresses the cost efficiency, economies of scale and scope of the Taiwanese banking industry, specifically focusing on how bank mergers affect cost efficiency. Adopting stochastic frontier analysis, we employ a translog cost function for efficiency estimation. Composite error terms are used to account for managerial inefficiency and environmental effects. Empirical results suggest that economies of scale and scope exist at small and medium-sized banks. Meanwhile, government-owned or -controlled banks are the most cost efficient. Non-performing loans increase the inefficiency of the banking sector by just under 10 per cent. Further analysis reveals that bank merger activity is positively related to cost efficiency. Mergers can enhance cost efficiency, even though the number of bank employees does not decline. The banks involved in mergers are generally small and were established after the banking sector was deregulated.
Insider transfer trading of banking companies around exchange listing
(2006-04-01)
Lo, KH
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Wang, KL
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Liao, TL
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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 examines insider transfer trading of banking companies before and after their listing on the Taiwan Stock Exchange. During the pre-listing period, we uncover significantly negative abnormal returns after insiders announce their plans to transfer stocks, as well as significant price reversals following the subsequent disclosure of unfulfilled transfers. However, after listing, we observe little market response to the initial announcement, and nor is any price revision observed for partial/no transfer information. For both periods, the substantial increases in turnover provide further evidence on the flow of information from insider trading. Additionally, the propensity and profitability of insider transfers are documented. Overall, empirical results indicate that dissemination of information on insider transfer trading before listing can negatively influence the stock price, while information on insider transfers posted after listing attracts only limited attention. Consequently, the evidence is consistent with the implications associated with the managerial timing of listing decisions. (c) 2005 Elsevier Inc. All rights reserved.
Temperature dependence of Fermi level obtained by electroreflectance spectroscopy of undoped n(+)-type doped GaAs
(1997-12-29)
Huang, KM
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Wang, KL
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Wang, DP
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Huang, KF
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Huang, TC
The electroreflectance (ER) spectra of an undoped n(+)-type doped GaAs have been measured over a range of temperature from 25 to 400 K. Many Franz-Keldysh oscillations were observed above the band-gap energy, which enabled the electric field strength and, hence, also the Fermi level to be determined. The photovoltaic effect is shown to be negligible, even at the low temperature. The experiment shows that the Fermi level decreases with increasing temperature and has almost the same temperature dependence as the energy gap. It is pinned at about 0.63 of energy gap below the conduction band. (C) 1997 American Institute of Physics.