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Dr. Yaw-Huei Wang (Jeffrey) |
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Contact Office: R511, Building 2, College of Management Tel: +886-2-33661092 Fax: +886-2-83695581 E-mail: wangyh at
ntu.edu.tw Current Position |
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Professor Department of Finance |
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Education |
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2005, Ph.D. in Accounting and Finance, |
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1996, MBA in Finance, |
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1994, BA in Business Administration, |
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Research Interests |
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Derivatives |
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Financial Econometrics |
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Market Risk Management |
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Teaching |
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Undergraduate: Futures and Option Markets |
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Postgraduate: Futures and Option Markets |
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Market Risk Management |
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Financial
Time Series Analysis |
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Financial
Econometrics |
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Research |
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Publications |
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Zih-Ying Lin, Chuang-Chang Chang and Yaw-Huei
Wang (2018), "The Impacts of Asymmetric Information and Short Sales on
the Illiquidity Risk Premium in the Stock Option Market", Journal of Banking and Finance,
forthcoming. (NSC-ATier-1, SSCI) |
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Yaw-Huei
Wang and Kuang-Chieh Yen (2017), "The Information
Content of the Implied Volatility Term Structure on Future Returns", European Financial Management,
forthcoming. (NSC-ATier-2, SSCI) |
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Yen-Ming Chen and Yaw-Huei Wang (2017),
"The Asymmetric Relation between Time-Varying Risk Aversion and VIX
Index", Journal of Futures &
Options, 10(3): 45-84. (TSSCI) |
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Yaw-Huei
Wang and Kuang-Chieh Yen (2018), "The Information
Content of Option-Implied Tail Risk on the Future Returns of the Underlying
Asset", Journal of Futures Markets
38, 493-510. (NSC-ATier-2, SSCI) |
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Dian-Xuan Kao, Wei-Che Tsai, Yaw-Huei Wang and
Kuang-Chieh Yen (2018), "An Analysis on the Intraday Trading Activity of
VIX Derivatives", Journal of
Futures Markets 38, 158-174. (NSC-ATier-2, SSCI) |
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Shih-Ping Feng, Mao-Wei Hung and Yaw-Huei
Wang (2016),
"The Importance of Stock Liquidity on Option Pricing", International Review of Economics and
Finance 43, 457-467. (SSCI) |
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Yaw-Huei Wang and Yun-Yi Wang
(2016), "The Information Content of Intraday
Implied Volatility for Volatility Forecasting", Journal of Forecasting 35, 167-178. (SSCI) |
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Söhnke M. Bartram and Yaw-Huei Wang (2015), "European Financial Market Dependence: An Industry
Analysis ", Journal of Banking and Finance
59, 146-163. (NSC-ATier-1, SSCI) |
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Wei-Che
Tsai, Ying-Tzu Chiu and Yaw-Huei Wang (2015), "The Information Content of Trading Activity and Quote
Changes: Evidence from VIX Options", Journal of Futures Markets 35, 715-737. (NSC-ATier-2,
SSCI) |
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Chuang-Chang
Chang, Pei-Fang Hsieh and Yaw-Huei Wang (2015),
"Sophistication, Sentiment, and Misreaction",
Journal of Financial and Quantitative
Analysis 50(4), 1-26. (NSC-A+, SSCI) |
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Shih-Ping Feng, Mao-Wei Hung and Yaw-Huei
Wang (2014),
"Option Pricing with Stochastic Liquidity Risk: Theory and
Evidence", Journal of Financial
Markets 18, 77-95. (NSC-ATier-1, SSCI). |
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Yaw-Huei Wang (2013),
"Volatility Information in the Trading Activity of Stocks, Options and
Volatility Options", Journal of
Futures Markets 33, 752-773. (NSC-ATier-2, SSCI) |
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Chuang-Chang
Chang, Pei-Fang Hsieh,
Chih-Wei Tang and Yaw-Huei Wang (2013),
"The intraday behavior of information
misreaction across various categories of investors in the Taiwan options
market", Journal of
Financial Markets 16, 362-385. (NSC-ATier-1, SSCI) |
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Chuang-Chang
Chang, Jun-Biao Lin, Wei-Che
Tsai and Yaw-Huei Wang (2012),
"Using Richardson extrapolation techniques to price American options
with alternative stochastic processes", Review of Quantitative Finance and Accounting 39, 383-406. (NSC-A-) |
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Teng-Hao Huang and Yaw-Huei Wang (2012), "The Volatility and Density Prediction Performance of Alternative
GARCH Models", Journal of
Forecasting 31, 157- 171. (SSCI) |
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Yaw-Huei
Wang (2012), "Reply to "A
Comment on “A new simple square root option pricing model”"", Journal of Futures Markets 32, 199-202.
(NSC-ATier-2, SSCI) |
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San-Lin Chung, Wei-Che Tsai, Yaw-Huei Wang and Pei-Shih Weng (2011), "The Information Content of
the S&P 500 Index and VIX Options on the Dynamics of the S&P 500
Index", Journal of Futures Markets
31, 1170-1201. (NSC-ATier-2, SSCI) |
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Robin, K. Chou, San-Lin Chung, Yu-Jen Hsiao and Yaw-Huei Wang (2011), "The
Impact of Liquidity on Option Prices", Journal of Futures Markets 31, 1116-1141. (NSC-ATier-2,
SSCI) |
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Yaw-Huei
Wang and Yu-Jen Hsiao (2010), "The Impact of Non-trading Periods on the
Measurement of Volatility", Review
of Pacific Basin Financial Markets and Policies 13, 607-620.
(NSC-B) |
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Antonio Camara and Yaw-Huei Wang (2010), "A
New Simple Square Root Option Pricing Model", Journal of Futures Markets 30, 1007-1025. (NSC-ATier-2,
SSCI) |
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Stephen J. Taylor and Yaw-Huei
Wang (2010), "Option Prices
and Risk-neutral Densities for Currency Cross-rates", Journal of Futures Markets 30,
324-360. (NSC-ATier-2, SSCI) |
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Yaw-Huei Wang and Yun-Yi Wang (2010),
"Intraday Volatility Patterns in the Taiwan Stock Market and the Impact
on Volatility Forecasting",
Asia-Pacific Journal of Financial Studies 39, 70-89. (NSC-B+,
SSCI) |
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Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang (2010), "Information Content of
Options Trading Volume for Future Volatility: Evidence from the Taiwan
Options Market", Journal of
Banking and Finance 34, 174-183. (NSC-ATier-1, SSCI) |
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Yaw-Huei
Wang (2009), "The
Impact of Jump Dynamics on the Predictive Power of Option-Implied
Densities", Journal of Derivatives
16 (3), 9-22. (NSC-ATier-2 SSCI) |
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Antonio Camara, San-Lin Chung and Yaw-Huei Wang (2009), "Option
Implied Cost of Equity and Its Properties", Journal of Futures Markets 29, 599-629. (NSC-ATier-2,
SSCI) |
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Chuang-Chang
Chang, Ruey-Jenn Ho, Tzu-Hsiang Liao and Yaw-Huei Wang (2009), “The Analysis of Loan Guarantees with Contingent
Liability: The Barrier Option Approach”, Journal
of Financial Studies 17 (3), 73-102. (TSSCI, Written in Chinese) |
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Yaw-Huei Wang and Pei-Shih Weng
(2009), “Asymmetry and Long Memory in the Dynamics of Interest Rate
Volatility”, Journal of Futures and
Options 1(2), 109-132. |
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Chih-Chiang Hsu, Chih-Ping Tseng and Yaw-Huei
Wang (2008), "Dynamic Hedging with Futures: A Copula-based
GARCH Model", Journal of
Futures Markets 28,
1095-1116. (NSC-ATier-2, SSCI) |
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San-Lin
Chung and Yaw-Huei Wang (2008), "Bounds and Prices of Currency
Cross-Rate Options", Journal of Banking and Finance32, 631-642.
(NSC-ATier-1, SSCI) |
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Söhnke M. Bartram, Stephen J. Taylor and Yaw-Huei
Wang (2007), "The Euro and European Financial Market
Dependence", Journal of Banking and Finance
31, 1461-1481. (NSC-ATier-1, SSCI) |
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Yaw-Huei
Wang and
Chih-Chiang Hsu (2007), "Short Memory, Long Memory and Jump Dynamics in
Global Financial Markets", Journal of Financial Studies 15 (2), 43-68. (TSSCI) |
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Yaw-Huei
Wang,
Aneel Keswani and Stephen J. Taylor (2006), "The Relationships between
Sentiment, Returns and Volatility", International Journal of
Forecasting 22, 109-123. (SSCI) |
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Söhnke M. Bartram and Yaw-Huei Wang (2005),
"Another Look at the Relationship between Cross-market Correlation and
Volatility", Finance Research Letters 2, 75-88. (NSC-B+, SSCI) |
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Working Papers |
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"Implied
Volatility Spreads and Future Options Returns around Information Events and
Conditions " with Chuang-Chang Chang and Zih-Ying Lin. |
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"Optimal Portfolio Allocation with
Option-Implied Moments: A Forward-Looking Approach" with Tzu-Ying
Chen and San-Lin Chung. |
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"The
Volatility Information Implied in the Term Structure of VIX" with
Kai-Jiun Chang and Mao-Wei Hung. |
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"Additional
Volatility Component, Volatility Jumps, and the Pricing of VIX
Derivatives" with Chien-Ling Lo, Pai-Ta Shih and Min-Teh Yu. |
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"How
Is Volatility Information Generated from Trading Activities of Derivatives? " with Kuang-Chieh Yen. |
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Research Grants |
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2005 MoST Project: Revisiting the Option Bounds and Prices
of Currency Cross-rates. (1 year)
2005 MoST
Program for
Promoting Academic Excellence of Universities: Empirical Derivatives
Research. (4 years)
2006 MoST
Project: The Empirical Studies on the Option Pricing Models with Stochastic
Volatility and Jumps. (3 years)
2008 MoST
Project: A New Square Root Option Pricing Model - Theoretical and Empirical
Studies. (2 years)
2010 MoST
Project: The
Empirical Studies on the Information Content of VIX Options. (3 years)
2012 MoST
Project: The
Information Content of the Term Structures of VIX Index and Futures. (3 years)
2014 MoST
Research-leave Project: The Predictive Power of Option Implied Extreme Value
Information. (1 year visiting at Warwick Business School)
2016 MoST
Project: The
Information Content of Trading Activities across Spot and Derivatives Markets
for the Price Dynamics of the Spot Asset. (4 years)
Honors
Full scholarship for studying PhD, 1999, Ministry of Education,
Award for MoST Project
Principal Investigator, 2005-2019.
MoST Project for
Outstanding Young Scholars, 2012-2015 & 2016-2019
Professional Associations
European
Finance Association
Financial
Management Association
European
Financial Management Association
Academic Services
Associate Editor of Journal of Futures Markets since 2018/July.
Associate Editor of Journal of Futures and Options since
2011.
Guest Editor of NTU Management Review for the special
issue on Financial Engineering and Risk Management in 2011.
Guest Editor of Journal of Financial Studies for the
special issue on Financial Engineering and Risk Management in 2017.
Papers refereed for: Journal of Financial & Quantitative
Analysis, Journal of Banking &
Finance, Journal of Futures Markets, Journal of Financial Econometrics, Journal of Applied Econometrics, Journal of International Financial Markets,
Institutions & Money, Journal of
Multinational Financial Management, Financial Review, European Journal of
Finance, Pacific-Basin Finance Journal, Quarterly Review of Economics and
Finance, Journal of Financial Studies, NTU
Management Review, Review of Securities
and Futures Markets.