Using options price data on the Taiwanese stock market, we propose an options trading strategy based on the forecasting of volatility direction. The forecasting models are constructed with the incorporation of absolute returns, heterogeneous autoregressive-realized volatility (HAR-RV), and proxy...

We examine the effect of Chinese news on announcement drift and investigate its application to portfolio management, applying a linguistic analysis to extract various dimensions of the information content. Our empirical results reveal a positive (negative) relationship between news sentiment and...

We apply computational linguistic text mining (TM) analysis to extract and quantify relevant Chinese financial news in an attempt to further develop the classical early warning models of financial distress. Extending the work of Demers and Vega (2011), we propose a measure of the degree of...

Nonlinear models that include the threshold autoregressive model and the threshold cointegration model (TVECM) are applied from the behavioral finance point of view to examine the dynamics between the investor fear gauge proxied by the volatility index (<i>TVIX</i>) and the market index (<i>TAIEX</i>) in...

This note studies the long-run relationship between real estate and stock markets in the Taiwan context over the 1986Q3 to 2006Q4 period, using standard cointegration test of Johansen and Juselius (1990) and that of Engle-Granger (1987) as well as the fractional cointegration test of Geweke and...

We propose a corporate default rating process for the Taiwan Stock Market which incorporates financial ratios, corporate governance, macroeconomic variables and financial media reports. Multi-measurements of the ‘distress intensity of default-corpus’ (DIDC) using linguistic analysis are...

The power converter is one of the essential elements for effective use of renewable power sources. This paper focuses on the development of a circuit simulation model for maximum power point tracking (MPPT) evaluation of solar power that involves using different buck-boost power converter...

This paper presents the design of a fuzzy-logic-based voltage-regulated solar power maximum power point tracking (MPPT) system for applications involving hybrid power systems. The system contains a solar power system and battery as the primary and secondary power sources, respectively. The solar...