| |
| |
 Publications:
|
(A) Refereed Journal Papers (學術期刊論文) |
1. |
Su, Yong-chern, Ku, Hung-en and Han-ching Huang, 2012, “Investment Bank Reputation in Primary and Secondary Market Makings”, Banks and Bank Systems (EconLit), Accepted.
|
| 2. |
Su, Yong-chern, Lin, Yu-shin and Han-ching Huang, 2012, “Commercial Banking in Investment Banking Underwriting: Certification Effect or Conflicts of Interest”, International Research Journal of Applied Finance (EconLit), Accepted.
|
| 3. |
Su, Yong-chern, Huang, Han-ching and Yi-shou Chen, 2012, “Price Behaviors, Dynamics and Contrariness between TAIMEX and SIMEX”, International Research journal of Finance and Economics (EconLit), Accepted.
|
| 4. |
Su, Yong-chern, Wu, Yuan-jay and Han-ching Huang, 2012, ‘Transmissions in International Cross-listings’, International Research Journal of Applied Finance (EconLit), Accepted.
|
| 5. |
Su, Yong-chern, Huang, Han-ching and James che-min Lin, 2012, “Information Asymmetry and Return-Volume Relation – A Time Varying Model Based upon Order Imbalance and Individual stock”, International Research Journal of Finance and Economics (EconLit), Accepted.
|
| 6. |
Su, Yong-chern, Ni, He-hua and Han-ching Huang, 2012. “Certification announcement Effect of Financial Holding Company --- A GARCH Event Study”, Banks and Bank systems (EconLit), Accepted.
|
| 7. |
Su, Yong-chern, Han, Ting-chan and Han-ching Huang, 2012, “Tender Offer Strategies in Investment Banking”, International Research Journal of Applied Finance (EconLit), Accepted.
|
| 8. |
Su, Yong-chern, Huang, Han-ching and Shiue-fang Lin, 2011, “Dynamic Relations between Order Imbalance, Volatility and Return of Top Gainers”, Applied Economics (SSCI, 台大優良期刊), Volume 44, 1509-1519.
|
| 9. |
Su, Yong-chern, Huang, Han-ching and Inman Cheng, 2011, “Dynamic Causality Relation between ADR and Underlying Stock”, International Research Journal of Finance and Economics (Econlit), Issue 77, 6-17.
|
| 10. |
Su, Yong-chern, Lin, Yunzu and Han-ching Huang, 2011, “GJR-GARCH Model in Value-at-Risk of Financial Holdings”, Applied Financial economics (EconLit), Volume 21, 1819-1829.
|
| 11. |
Su, Yong-chern, Huang Han-ching and Yungching Chen, 2011, “Intraday Return-Order Imbalance Relation in Cross-Listings between NYSE and TSX”, International Research Journal of Finance and Economics (Econlit), Issue 76, 84-88.
|
| 12. |
Su, Yong-chern, Huang, Han-ching and Po-hsin Kuo, 2011, “Dynamic Relations between Order Imbalance, Volatility and Return of Top Losers”, International Research Journal of Finance and Economics (Econlit), Issue 73, 7-18.
|
| 13. |
Su, Yong-chern, Kao, Ling-chin and Peiwen chen, 2011, “NA-GARCH Modeling Value-at-Risk of Financial Holdings”, Banks and Bank Systems (EconLit), Volume 6, Issue 2, 78-98.
|
| 14. |
Su, Yong-chern, Lin, Chihsien and Peiwen Chen, 2011, “Asymmetric GARCH Value at Risk of QQQQ”, International Research Journal of Finance and Economics (EconLit), Issue 65, 112-123.
|
| 15. |
Su, Yong-chern, Huang, Han-ching and Ming-wei Hsu, 2010, “Convergence to Market Efficiency of Top Gainers”, Journal of Banking and Finance (SSCI, 台大傑出期刊, NSC-A), Volume 34, 2230-2237.
|
| 16. |
Su, Yong-chern, Chou, Mingchin and Peiwen Chen, 2010, “Intraday Return-Order Imbalance Relation in NASDAQ Hedging Top Gainers”, International Research Journal of Finance and Economics (Econlit), Issue 56, 68-75.
|
| 17. |
Su, Yong-chern, Chen, Hailan and Peiwen Chen, 2010, “AV-GARCHM Model in Value-at-Risk of Financial Holdings in Taiwan”, Bank and Banking Systems (Econlit), Volume 5, 129-136.
|
| 18. |
Su, Yong-chern, Chang, Kailin and Peiwen Chen, 2010, “Do Return and Volatility Series Share the Same Drive in Closed-form GARCH Option Pricing Model?’ International Research Journal of Finance and Economics (Econlit), Volume 45, 80-93.
|
| 19. |
Su, Yong-chern, Huang, Han-ching and Chien-chang chiu, 2010, “Profitability and Causality of Order Imbalance Based Trading strategy in Hedge Stocks’, Investment Management and Financial Innovations (Econlit),Volume 7, Issue 1, 14-23.
|
| 20. |
Su, Yong-chern, Shen, Chahui and Peiwen Chen, 2010, “Intraday Return-Order Imbalance Dynamics in NASDAQ Speculative Top Gainers”, The Empirical Economics Letters (Econlit), Volume 9, Issue 3, 301-311.
|
| 21. |
Su, Yong-chern, Chen, Ming-da and Han-ching Huang, 2010, “An Application of Closed-Form GARCH Option Pricing Model on FTSE 100 Option and Volatility”, Applied Financial Economics (FLI, Econlit), Volume 20, 899-910.
|
| 22. |
Su, Yong-chern, Wang, Serena and Han-ching Huang, 2010, “Modeling Value at Risk of Financial Holding Company: Time Varying vs. Traditional Models”, Bank and Banking System (Econlit), Volume 5, Issue 1, 76-86.
|
| 23. |
Su, Yong-chern, Huang, Han-ching and Ju-ching Lin, 2009, “Price-Volume Relation in a Time Varying Model with Censored and Camouflage Effects”, The Empirical Economics Letter (Econlit),volume 8, Issue 2, 208-214.
|
| 24. |
Su, Yong-chern, Tseng, Weiling and Peiwen Chen, 2009, “Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Highs”, Applied Economics Letters (SSCI),volume 16,863-869.
|
| 25. |
Su, Yong-chern, Hu, Shing-yang, Huang, Han-ching and Jun-kwei Hsieh, 2009, “Intraday Causality between Order Imbalance and Return of Speculative Top Gainers”, Investment Management and Financial Innovations (Econlit), Volume 6, Issue 1, 130-136.
|
| 26. |
Su, Yong-chern, Lee, Fu-Yin and Peiwen Chen, 2009, “Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Lows”, The Empirical Economics Letters (Econlit),volume 8, 379-386.
|
| 27. |
Su, Yong-chern and Han-ching Huang, 2008, “Dynamic Causality between Intraday Return and Order Imbalance in NASDAQ Speculative Top Gainers”, Applied Financial Economics (FLI, Econlit),volume 18, 1489-1500.
|
| 28. |
Su, Yong-chern and Han-ching Huang, 2006, “Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Lows”, Investment Management and Financial Innovations (Econlit), Volume 3, 107-116.
|
| 29. |
Wu, chunchi and Yong-chern Su, 1998, “Dynamic Relations among International Stock Markets”, International Review of Economics and Finance (SSCI), Volume 7 No. 1, 63-84.
|
| 30. |
Wang, Ma-Ju and Yong-chern Su, 1998, “The Causality between Taiwan Stock Return and Macroeconomic Variables: Two-Equation VAR Nested Tests,” (in Chinese) Review of Securities and Futures markets (證券市場發展季刊)(TSSCI), Volume 10, No. 3, 65-96.
|
| 31. |
Su Yong-chern, 1997, “Conditional and Unconditional Causality Relations between Taiwan and International Capital Markets,” NTU Management Review (臺大管理論叢)(TSSCI), Volume 8, No. 2, 165-189.
|
| 32. |
Su Yong-chern and Jey-shi Tsai, 1996, “Volatility and Return Spillovers Among Asian Emerging Markets,” Review of Securities and Futures Markets (證券市場發展季刊)(TSSCI), Volume 8, No. 1, 67-88.
|
| 33. |
Wu, chunchi and Yong-chern Su, 1996, “The Integration of International Capital Markets”, Advance in Pacific Basin Business, Economics, and Einance (FLI). Volume 2, 159-182.
|
| |
(B) International Conference Papers (國際研討會論文) |
1. |
Su, Yong-chern, Huang, Han-ching and Sheng-jung Wu, 2012, “Bank Stock and option tramsmissions in Financial Crisis”, 20th Annual Conference on Pacific Basin Finance, Economics, Accounting and management, New Jersey, USA.
|
| 2. |
Su, Yong-chern, Tsui Jentien and Peiwen Chen, 2012, “Asymmetric GARCH Value-at-Risk on MSCI in Finance Crisis”, 20th Annual Conference on Pacific Basin Finance, Economics, Accounting and management, New Jersey, USA.
|
| 3. |
Su, Yong-chern, Chang, Ya-lan and Han-ching Huang, 2011, “Price-Volume Relation --- QFII Order Imbalance in Time Varying Model”, Global Accounting, Finance and Economics Conference, Melbourne, Austrialia.
|
| 4. |
Su, Yong-chern, Chiang, Hui-ching and Han-ching Huang, 2011, “Modeling Value-at-Risk of Financial Holdings --- A comparison of Symmetric and Asymmetric GARCH Models”, Asia-Pacific Business Research Conference, Kuala Lumpur, Malaysia.
|
| 5. |
Su, Yong-chern, Huang, Han-ching and Chia-li Lin, 2011, “Spillover efficiency between Investment and Commercial Banks in Financial Crisis”, Asian-Pacific Business research conference, Kuala Lumpur, Malaysia.
|
| 6. |
Su, Yong-chern, Lin, Yu-shin and Han-ching Huang, 2011, “Commercial Banks in Investment Banking Underwriting: Certification Effect or Conflict of Interest”, 4th International Business and Social Science Research Conference, Dubai, UAE.
|
| 7. |
Su, Yong-chern, Huang, Han-ching and Wen-chen Chang, 2011, “Financial Policy Announcement Efficiency in Financial Crisis”, World Business and Economics Research Conference, Auckland, New Zealand.
|
| 8. |
Su, Yong-chern, Huang, Han-ching and Tze-yi Lin, 2011, “Commercial Bank Spillover Efficiency in Financial Crisis”, World Business and Economics Research Conference, Auckland, New Zealand.
|
| 9. |
Su, Yong-chern, Ku, Hung-en and Han-ching, huang, 2011, “Investment Bank Reputation in Primary and Secondary Market Makings”, Annual Hawaii International Business Research Conference, Hawaii, USA.
|
| 10. |
Su, Yong-chern, Huang, Shu-ting and Han-ching Huang, 2011, “Direct and Indirect Barriers in International Cross-listings”, 15th International Business Research Conference, Sydney, Australia.
|
| 11. |
Su, Yong-chern, Ni, He-hwa and Han-ching Huang, 2011, “Certification Announcement Effect of Financial Holding Company --- A GARCH Event Study”, Global Business and Social Science Research Conference, Beijing, China.
|
| 12. |
Su, Yong-chern, James Che-min Lin and Han-ching Huang, 2011, “Information Asymmetry and Return-Volume Relation – A Time Varying Model Based upon Order imbalance and Individual Stock”, Third Annual American Business Research Conference, Long Island, New York, USA.
|
| 13. |
Su, Yong-chern, Han, Ting-chan and Han-ching Huang, 2011, “Tender Offer Strategy in Investment Banking”, 4th Biennial International Business, Banking and Finance Conference, St. Augustine, Trinidad.
|
| 14. |
Su, Yong-chern, Lin, June-ann and Han-ching Huang, 2011, “Information transmissions and Dynamic Relations among Financial Markets in Asian Financial Crisis”, Regulations, Capital Markets and Financial Institutions: The Post Crisis Era, Chania, Greece.
|
| 15. |
Su, Yong-chern, Chen, Yi-shou and Han-ching Huang, 2011, “Price Behaviors, Dynamics and Contrariness between TAIMEX and SIMEX”, Academy of Business Research Conference, Atlantic City, USA.
|
| 16. |
Su, Yong-chern, Wu, Yuan-jay and Han-ching Huang,2011, “Transmissions in International Cross-listings”. Third Annual American Business Research Conference, Long Island, New York, USA.
|
| 17. |
Su, Yong-chern, Huang, Han-ching and Su-shin King, 2011, “Investment Bank Market Efficiency in Financial Crisis”, 9th International Conference on Corporate Governance - Corporate Governance: Coping with Financial Crisis”, Birmingham, UK.
|
| 18. |
Su, Yong-chern, Huang Han-ching and Hsin-ying Wang, 2011, “Convergence to Self-tender Market Efficiency”, Applied Financial Economics Conference, Samos, Greece.
|
| 19. |
Su, Yong-chern, Huang Han-ching and Hsuanying Wang, 2011, “convergence to Seasoned Equity Offering Market Efficiency”, SIBR Conference on Interdisciplinary Business and Economics Research, Bangkok, Tailand.
|
| 20. |
Su, Yong-chern, Huang, Han-ching and Ming-Wei Hsu, 2010, “Convergence to Market Efficiency of Top Gainers”, 2010 NTU Conference on Finance, Taipei, Taiwan.
|
| 21. |
Su, Yong-chern, Huang, Han-ching and Yao-Hsuan Chang, 2010, “Convergence to Leverage Buyout Market efficiency”, Business and Social Science Research Conference, Dubai, UAE.
|
| 22. |
Su, Yong-chern and Han-ching Huang, 2010, “Intraday Time Varying and Feedback Relations between Return and Order Imbalance”, International Conference on accounting and Information Technology, Chia-Yi, Taiwan.
|
| 23. |
Su, Yong-chern, Huang, Hang-ching and Chun-E Shih, 2010, “Convergence to Spin-off Market Efficiency”, International Conference on Accounting and Information Technology, Chia-Yi, Taiwan.
|
| 24. |
Su, Yong-chern,Huang, Hang-ching and Yi-chun Liu, 2010, “Tender Offer Market Efficiency”, The 18th Conference on Pacific Basin Finance, Economics, Accounting, Business and nanagement, Beijing, China.
|
| 25. |
Su, Yong-chern, Chen, Yihua and Peiwen Chen, 2010, “Initial Return, Order Imbalance and Volatility of IPO”. The 17th Annual Global Finance Conference, Poznan, Poland.
|
| 26. |
Su, Yong-chern, Huang Hanching and Shiue-fang Lin, 2010, “Dynamic Relations between Order Imbalance, Volatility and Return of Top Gainers”, The Annual International Conference on Accounting, Business, Leadership and Information Management, New Orleans, USA.
|
| 27. |
Su, Yong-chern, Huang Hangching and Yen-tzu Chen, 2010, “Dynamic Intraday Relations between Order Imbalance, Volatility and Return of Jump Losers”, Finance and Corporate Governance Conference, Melbourne, Australia.
|
| 28. |
Su, Yong-chern, Yu, Hsintien and Peiwen Chen, 2010, “Liquidity on GARCH Option Pricing Error”, International Conference on Quantitative Methods in Money, Banking, Finance and Insurance (ICQMBFI), Andhra Pradesh, India.
|
| 29. |
Su, Yong-chern, Huang, Hang-ching and Ching-wan Wen, 2010, “Intraday Dynamics between Order Imbalance, Volatility and Return of Jump Gainers”, 12th International Business Research Conference, Dubai, United Arab Emirates.
|
| 30. |
Su, Yong-chern, Huang, Hang-ching and Chun-chi Shi, 2010, “Convergence to Market Efficiency of Top Losers”, International Conference on Quantative Methods in Money, Banking, Finance and Insurance, Andhra Pradesh, India.
|
| 31. |
Su, Yong-chern, Lin Chihsien and Peiwen Chen,2010,Asymmetric GARCH Value-at-Risk of QQQQ”, The 8th International Conference on Corporate Governance, London,U.K..
|
| 32. |
Su, Yong-chern and Hangching Huang, 2009, Intraday Return-Order Imbalance Relation in NASDAQ Speculative New Highs”, International Academcy of Business and Economics, Las Vegas, USA.
|
| 33. |
Su, Yong-chern, Huang, Hangching and Mingyu Yang, 2009, Convergence to Market Efficiency of NASDAQ Hedging Stock,The Behavioural perspectives on the Financial Crisis Conference, Case Business School, UK.
|
| 34. |
Su, Yong-chern, Chow, Shihting and Peiwen Chen, 2009, Asymmetric GARCH Value at Risk of DIA, Annual American Business Research Conference, New York, USA.
|
| 35. |
Su, Yong-chern, Huang, Hangching and Chienchang Chiu, 2009, Profitability and Causality of Order Imbalance Based Trading Strategy in Hedge Stocks, The International Conference on Industrial Globalization and Technology Innovation, Xian, China.
|
| 36. |
Su, Yong-chern, Lien Hsini and Peiwen Chen, 2009, Asymmetric GARCH Value at Risk of SPY, 17th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management, and 3rd International Conference on Business in Asia(iCBA), University of the Tai Chamber of Commerce, Bangkok, Thailand.
|
| 37. |
Su, Yong-chern, Chen, Peishin and Peiwen Chen, 2009, Cross Return, Volatility and Order Imbalance in International Cross-listings, Annual Conference on “Money, Economy and Management”, Imperial College, London, UK.
|
| 38. |
Su, Yong-chern, Chang, Kai-ming and Hangching Huang, 2009, liquidity of Financial Options on GARCH Option Pricing, International Symposium on Finance and Accounting, ISFA, Kuala Lumpur, Malaysia.
|
| 39. |
Su, Yong-chern, Huang, Hangching, Ko, Po-Hsin and Peiwen Chen, 2008, Dynamic Relations between Order Imbalance, Volatility and Return of Top Losers, 2008 NTU International Conference on Finance, National Taiwan University, Taipei, Taiwan.
|
| 40. |
Su, Yong-chern, Hsu Chunsin and Peiwen Chen, 2008, Threshold GARCH Model in Value-at-Risk of Financial Holdings in Taiwan, Annual London Conference on “Money, Economy and Management”, Imperial College, London, U.K..
|
| 41. |
Su, Yong-chern, Chen, Yungching and Hangching Huang, 2008, Intraday Return-Order Imbalance Relation in Cross-listing between NYSE and TSX, 6th INFINITI Conference on International Finance, Trinity College, Dublin, Great Britain.
|
| 42. |
Su, Yong-chern, Chen, Hailan and Peiwen Chen, 2008, AV-GARCHM Model in Value-at-Risk of Financial Holdings in Taiwan, 15th Annual Global Finance Association Conference, Hangzhou, China.
|
| 43. |
Su, Yong-chern, Tseng, Weiling and Peiwen Chen, 2008, Intraday Return-Order Imbalance Relation in NADSDAQ Speculative New Highs, MDIS2008 International Conference on Market Development and Investment Strategies, ShenZhen, China.
|
| 44. |
Su, Yong-chern, Kao, Ling-chin and Peiwen Chen, 2008, NA-GARCH Modeling Value-at-risk of Financial Holdings, MDIS2008 International Conference on Market Development and Investment Strategies, ShenZhen, China.
|
| 45. |
Su, Yong-chern, Chou, Mingchin and Peiwen Chen, 2008, Intraday Return-Order Imbalance Relation in NASDAQ Hedging Top Gainers, Modeling and Managing Ultra-high Frequency Data: An International Conference, Perth Australia.
|
| 46. |
Su, Yong-chern, Chen Min-da and Hangching Huang, 2007, An Application of Closed-Form GARCH Option Pricing Model on FTSE Option and Volatility”, The 16th European Financial Management Association Conference, Vienna, Austria.
|
| 47. |
Su, Yong-chern, Shen, Chiahui and Peiwen Chen, 2007, Intraday Return-Order Imbalance Dynamics in NASDAQ Speculative Top Gainers”, Global Academy of Business and Economic Research Conference, Houston, USA.
|
| 48. |
Su, Yong-chern, Lin Yunzu and Hangching Huang, 2007, GJR-GARCH Model in Value at Risk of Financial Holdings, Global Academy of Business and Economic Research Conference, Houston, USA.
|
| 49. |
Su, Yong-chern and Hangching Huang, 2006, Time Varying GARCH and Nested Causality Relations between Intraday Return and Order Imbalance in NASDAQ-100 Component Stocks, 2006 NTU International Conference on Finance, Taipei, Taiwan.
|
| 50. |
Su, Yong-chern and Hangching Huang, 2006, Causal Relation between Return and Order Imbalance in NASDAQ Speculative New Highs, Annual conference of International Academy of Business and Economics, Las Vegas, USA.
|
| 51. |
Su, Yong-chern and Ju-ching, Lin, 2005, Price-Volume Relation in a Time Varying Model with Censored and Camouflage Effects, The 2005 China International Conference in Finance, Kunming, China.
|
| 52. |
Su, Yong-chern and Inman Cheng, 2005, Dynamic Causality Relation Between ADR and Underlying Stock, The 12th Annual Conference of the Multinational Finance Society, Athens, Greece.
|
| 53. |
Su, Yong-chern and Hanching Huang, 2004, Information Asymmetry and Volume-Return Relation- A Time Varying Model Based on Order Imbalance of Individual Stock, The 2004 NTU International Conference on Finance, Taipei, Taiwan.
|
| 54. |
Su, Yong-chern and Chun-ping Fong, 2004, Pricing TAIEX Options Based on Heston-Nandi Closed-Form GARCH Model, The Asian Association of Derivatives Inaugural Conference, Busan, Korea.
|
| 55. |
Su, Yong-chern and Ying-hong Yu, 2004, Information Asymmetries in Volume-Return and Volume-Volatility Relations: Spanned by a Time-Varying, Individual Stock, and Brokerage Houses Basis, The 12th Security and Futures Market Conference, Kaohsiung, Taiwan.
|
| 56. |
Su Yong-chern and Serena Wang, 2004, Modeling Value at Risk of Financial Holding Companies: GARCH vs. Traditional Models, Conference on Financial Policy and Financial Engineering, Taipei, Taiwan.
|
| 57. |
Su, Yong-chern and Jey-shi Tsai, 1995, Volatility and Return Spillovers Among Asian Emerging Markets, Managing in Emerging Markets Conference, Syracuse, New York, USA.
|
| 58. |
Su, Yong-chern, 1994, Causality Relations Among International Capital Markets, The First NTU International Conference in Finance, Taipei, Taiwan.
|
| 59. |
Wu, Chunchi and Yong-chern Su, 1994, The Integration of International Capital Markets, Second Conference on Pacific Basin Business, Economics and Finance, Hong Kong, Hong Kong.
|
| 60. |
Su, Yong-chern, 1994, Conditional and Unconditional Causality Relations between Taiwan and International Capital Markets, The Second Annual Multinational Finance Conference, New Jersey, USA.
|
| 61. |
Wu, Chunchi and Yong-chern Su, 1994, Dynamic Relations among International Stock Markets, Six Annual PACAP Finance Conference, Jarkarta, Indonesia.
|
(C) Books (專書) |
| 1. |
Su, Yong-chern, 2009, Investment Banking, Second Edition,Shin Lou, Taipei. |
| 2. |
Su, Yong-Chern, 2006, Investment Banking投資銀行學, Chinese Edition, Shin Lou, Taipei. |
|
|
|
