Browsing by Author "Wang, Kehluh"

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Default correlation at the sovereign level: evidence from some Latin American markets
(2011)
Chen, Yi-Hsuan
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Wang, Kehluh
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Tu, Anthony H.
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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
Using the eruption of Argentina debt crisis in 2001 as a natural experiment, we investigated the correlated default at the sovereign level for some Latin American countries. Daily closing market quotes for sovereign Credit Default Swaps (CDS) of Argentina, Brazil, Mexico and Venezuela were obtained from CreditTrade database. Using copula approach, we observed increased dependences among sovereign CDS markets during the crisis period. Their dependence structures were found to be asymmetric. Moreover, the degree of credit contagion was related to the creditworthiness of the country. This study also discussed the implications of these findings for policymakers.
Futures mispricing, order imbalance, and short-selling constraints
(2013-01-01)
Lin, Emily
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Lee, Cheng-Few
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Wang, Kehluh
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管理科學系
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資訊管理與財務金融系註：原資管所+財金所
The aim of the research is to determine how the lifting of price restrictions on short sales and security-lending sales affects market efficiency, liquidity and arbitrage opportunities. The study examines trading behaviors of large and small traders separated by their transaction costs and shows the lifting of price restrictions strengthens the correlation between extreme order imbalance and extreme mispricing. Also, autocorrelations of the underpricing and overpricing persist longer, in particular for big traders, and so do those of buy-side and sell-side order imbalances. However, the outcomes for the post-lifting market efficiency are mixed. This paper provides evidence that lifting price restrictions enhances informed trading and the lead-lag relationship between mispricing and order imbalance in the cash and futures markets. (C) 2012 Elsevier Inc. All rights reserved.
Mutual Fund Performance Evaluation System Using Fast Adaptive Neural Network Classifier
(2008)
Wang, Kehluh
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Huang, Szuwei
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Chen, Yi-Hsuan
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交大名義發表
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National Chiao Tung University
Application of financial information systems requires instant and fast response for continually changing market conditions. The purpose of this paper is to construct a mutual fund performance evaluation model utilizing the fast adaptive neural network classifier (FANNC), and to compare our results with those from a backpropagation neural networks (BPN) model. In our experiment, the FANNC approach requires much less time than the BPN approach to evaluate mutual fund performance. RMS is also superior for FANNC. These results hold for both classification problems and for prediction problems, making FANNC ideal for financial applications which require massive volumes of data and routine updates.
Pricing American Asian options with higher moments in the underlying distribution
(2009-01-01)
Lo, Keno-Hsin
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Wang, Kehluh
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Hsu, Ming-Feng
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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
We develop a modified Edgeworth binomial model with higher moment considereation for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, Our algorithm is as precise as that of Chalasani et it. [P. Chalasani., S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, Our estimates can work better than those in Chalasani et al. 111. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined biomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] and are very similar to the benchmarks in Hull and White [J. Hull A. White, Efficient procedures for valuing European Our modified and American path-dependent options. J. Derivatives I (Fall) (1993) 21-31]. The numerical analysis shows that Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution. (C) 2008 Elsevier B.V. All rights reserved.
Pricing European Asian options with skewness and kurtosis in the underlying distribution
(2008-06-01)
Lo, Keng-Hsin
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Wang, Kehluh
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Hsu, Ming-Feng
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
Numerical valuation model is extended for European Asian options while considering the higher moments of the underlying asset return distribution. The Edgeworth binomial lattice is applied and the lower and upper bounds of the option value are calculated. That the error bound in pricing Asian options from the Edgeworth binomial model is smaller than the error bound model by Chalasani et al. is shown. The approach is used to price the average rate currency option with different skewness and kurtosis. The numerical results show that this approach can effectively deal with the higher moments of the underlying distribution and provide better estimates of option value compared with various studies in literature. (c) 2008 Wiley Periodicals, Inc.
The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach
(2011-10-01)
Wang, Kehluh
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Chen, Yi-Hsuan
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Huang, Szu-Wei
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
The purpose of this paper is to study the dependence structures between the Chinese market and other major world markets, a reflection of China's increasing integration into the global economy. We used time-varying copula models to show that conditional copulas outperform both unconditional copulas and conventional GARCH models. We consistently found the Chinese market to have the highest levels of dependence, as well as the greatest variability in dependence, with markets in Japan and the Pacific. Our results provide investors interested in the Chinese market with more timely suggestions for portfolio diversification, risk management, and international asset allocation than those derived from static models. (C) 2010 Elsevier Inc. All rights reserved.
The Level and Stability of Institutional Ownership and Firm Performance: Evidence from Taiwan
(2014-03-01)
Hsu, Ming-Feng
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Wang, Kehluh
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交大名義發表
;
資訊管理與財務金融系註：原資管所+財金所
;
National Chiao Tung University
The purpose of this paper is to investigate the influence of shareholding stability of institutional investors on firm performance. We analyze 647 sample companies listed in the Taiwan Stock Exchange from 2005 to 2009 using the coefficient of variance of institutional holding proportion as the measure for ownership stability. The empirical results show that increasing stability of institutional holdings is related to better firm performance. The low-risk and younger firms with higher CEO incentive compensation, larger insider holdings, and higher growth usually have better performance. Furthermore, when the long-term institutional shareholdings, particularly of foreign institutions, are higher, the firm performance is better.
The pricing of deposit insurance considering bankruptcy costs and closure policies
(2009-10-01)
Hwang, Dar-Yeh
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Shie, Fu-Shuen
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Wang, Kehluh
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Lin, Jung-Chu
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資訊管理與財務金融系註：原資管所+財金所
The paper aims to study the pricing issue of deposit insurance with explicit consideration of bankruptcy costs and closure policies. Full coverage from deposit insurance is imposed by many regulators to stabilize the banking system in the current financial crisis, despite of the potential moral hazard problems. We argue that bankruptcy cost is an important factor in pricing deposit insurance, especially when the insured institution is insolvent. Applying the isomorphic relationship between deposit insurance and put option, we first derive a closed-form solution for the pricing model with bankruptcy costs and closure policies. Then, we modify the barrier option approach to price the deposit insurance in which the bankruptcy cost is set as a function of asset return volatility and more realistic closure policies considering possible forbearance can be accounted for. The properties of the models are supported by numerical simulations and are consistent with the risk-based pricing scheme. (C) 2009 Elsevier B.V. All rights reserved.
Using fast adaptive neural network classifier for mutual fund performance evaluation
(2010-08-01)
Wang, Kehluh
;
Huang, Szuwei
;
資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
Application of financial information systems requires instant and fast response for continually changing market conditions. The purpose of this paper is to construct a mutual fund performance evaluation model utilizing the fast adaptive neural network classifier (FANNC), and to compare its performance in classification and forecasting with those from a backpropagation neural network (BPN) model. FANNC is a newly-developed model which combines features of adaptive resonance theory and field theory. In our experiment, the FANNC approach requires much less time than the BPN approach to evaluate mutual fund performance. RMS is also superior for FANNC. These results hold for both classification problems and for prediction problems, making FANNC ideal for financial applications which require massive volumes of data and routine updates. Consequently, an on-line evaluation system can be established to provide real-time mutual fund performance for investors. (C) 2010 Elsevier Ltd. All rights reserved.