Search Results - person:"Chen, Shen-Yuan"

An application of threshold cointegration to Taiwan stock index futures and spot markets

Lin, Ching-chung; Chen, Shen-yuan; Hwang, Dar-yeh - In: Review of Pacific Basin financial markets and policies 6 (2003) 3, pp. 291-304

Persistent link: https://www.econbiz.de/10001838414

Valuation of covered warrant subject to default risk

Chen, Shen-yuan - In: Review of Pacific Basin financial markets and policies 6 (2003) 1, pp. 21-44

Persistent link: https://www.econbiz.de/10001773102

Does index futures dominate index spot? : Evidence from Taiwan market

Lin, Ching-chung; Chen, Shen-yuan; Hwang, Dar-yeh; Lin, … - In: Review of Pacific Basin financial markets and policies 5 (2002) 2, pp. 255-275

Persistent link: https://www.econbiz.de/10001697447

A comparison of hedge effectiveness and price discovery between TAIFEX TAIEX index futures and SGX MSCI Taiwan index futures

Chen, Shen-yuan; Lin, Ching-chung; Chou, Pin-huang; … - In: Review of Pacific Basin financial markets and policies 5 (2002) 2, pp. 277-300

Persistent link: https://www.econbiz.de/10001697453

Price transmission effect between GDRs and their underlying stocks : evidence from Taiwan

Chen, Shen-Yuan; Chou, Li-Chuan; Yang, Chau-chen - In: Review of quantitative finance and accounting 19 (2002) 2, pp. 181-213

Persistent link: https://www.econbiz.de/10001719976

Return, volatility and short-term capital inflows : a test of "return-chasing" hypothesis in Asia-Pacific equity markets

Tu, Anthony H.; Chen, Shen-yuan - In: Review of Pacific Basin financial markets and policies 5 (2002) 3, pp. 321-342

Persistent link: https://www.econbiz.de/10001721001

Price Transmission Effect between GDRs and Their Underlying Stocks-Evidence from Taiwan

Chen, Shen-Yuan; Chou, Li-Chuan; Yang, Chau-Chen - In: Review of quantitative finance and accounting 19 (2002) 2, pp. 181-214

Persistent link: https://www.econbiz.de/10007164193

Price Transmission Effect between GDRs and Their Underlying Stocks--Evidence from Taiwan.

Chen, Shen-Yuan; Chou, Li-Chuan; Yang, Chau-Chen - In: Review of Quantitative Finance and Accounting 19 (2002) 2, pp. 181-213

In this paper we examine the price transmission effect between ADRs or GDRs and their respective underlying stocks. This linkage is investigated for Granger causality using difference form and VECM. Results reveal unidirectional causality from Taiwan's capital market to the foreign market. This...

Persistent link: https://www.econbiz.de/10005673942

Bank market structure and performance in Taiwan before and after the 1991 liberalization

Tu, Anthony H.; Chen, Shen-yuan - In: Review of Pacific Basin financial markets and policies 3 (2000) 4, pp. 475-490

Persistent link: https://www.econbiz.de/10001561951