Zobrazeno 1 - 10
of 96
pro vyhledávání: '"Thomas C. Chiang"'
Autor:
Thomas C. Chiang
Publikováno v:
Quantitative Finance and Economics, Vol 7, Iss 4, Pp 538-568 (2023)
We examine the relation between stock market returns and inflation expectations using data for 20 advanced countries. Evidence reveals that a negative relation presents in each of 18 countries; the exceptions are Brazil and Russia. The uncertainty hy
Externí odkaz:
https://doaj.org/article/3ce76ba1a8cf4da09691d95479ec26e8
Autor:
Thomas C. Chiang
Publikováno v:
Quantitative Finance and Economics, Vol 4, Iss 3, Pp 430-458 (2020)
This study examines the impact of changes in economic policy uncertainty (∆EPU) on the Japanese (excess) stock return. Evidence of a negative ∆EPU coefficient implies that heightened economic policy uncertainty (EPU) will cause a decline in stock
Externí odkaz:
https://doaj.org/article/5ab5d9c1d40c42ee9764fb65e725650e
Autor:
Thomas C. Chiang
Publikováno v:
Risks, Vol 8, Iss 2, p 58 (2020)
This paper investigates dynamic correlations of stock–bond returns for different stock indices and bond maturities. Evidence in the US shows that stock–bond relations are time-varying and display a negative trend. The stock–bond correlations ar
Externí odkaz:
https://doaj.org/article/9fc455176a184cbea37fcddebac2b71c
Autor:
Thomas C. Chiang
Publikováno v:
Economies, Vol 7, Iss 1, p 7 (2019)
This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 m
Externí odkaz:
https://doaj.org/article/14baabcc3d9a4513a886f798b7883f47
Autor:
Thomas C. Chiang, Yuanqing Zhang
Publikováno v:
International Journal of Financial Studies, Vol 6, Iss 2, p 35 (2018)
This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both aggregate and
Externí odkaz:
https://doaj.org/article/873a349d2c4649a08dc2da0c23930b19
Can gold or silver be used as a hedge against policy uncertainty and COVID-19 in the Chinese market?
Autor:
Thomas C. Chiang
Publikováno v:
China Finance Review International. 12:571-600
PurposeThe purpose of this study is to present evidence as to whether the use of gold or silver can be justified as an asset to hedge against policy uncertainty and COVID-19 in the Chinese market.Design/methodology/approachBy using a GARCH model with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::02e0fac70a0abc0cd292f8ee3f5ab316
https://doi.org/10.1108/cfri-12-2021-0232
https://doi.org/10.1108/cfri-12-2021-0232
Autor:
Thomas C. Chiang
Publikováno v:
China Finance Review International. 11:474-501
PurposeThis paper investigates the impact of a change in economic policy uncertainty (ΔEPUt) and the absolute value of a change in geopolitical risk (|ΔGPRt|) on the returns of stocks, bonds and gold in the Chinese market.Design/methodology/approac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef671637f3e0e6e6199715063a81e0ff
https://doi.org/10.1108/cfri-08-2020-0115
https://doi.org/10.1108/cfri-08-2020-0115
Autor:
Thomas C. Chiang
Publikováno v:
Finance Research Letters. 53:103606
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dcec5b9a109c8bc33345267a2e478e4e
https://doi.org/10.1016/j.frl.2022.103606
https://doi.org/10.1016/j.frl.2022.103606
Autor:
Thomas C. Chiang
Publikováno v:
The Journal of Risk Finance. 21:621-657
Purpose Recent empirical studies by Antonakakis, Chatziantoniou and Filis (2013), Brogaard and Detzel (2015) and Christou et al. (2017) present evidence, which supports the notion that a rise in economic policy uncertainty (EPU) will lead to a declin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9d4311a13dec7b93f2d9d7e4960f927
https://doi.org/10.1108/jrf-10-2019-0190
https://doi.org/10.1108/jrf-10-2019-0190
Autor:
Xi Chen, Thomas C. Chiang
Publikováno v:
Advances in Pacific Basin Business, Economics and Finance ISBN: 9781800438712
This study finds evidence that a stock return is inversely correlated with downside risk, confirming a pattern of risk-aversion behavior. Evidence from testing a stock return's response to a change in economic policy uncertainty indicates a significa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6edddaa37084005cc7d6a939945fdc2c
https://doi.org/10.1108/s2514-465020210000009002
https://doi.org/10.1108/s2514-465020210000009002
