This is the 22nd Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management which was held in Aichi University, Nagoya, Japan on September 4 to September 5, 2014. The first conference was held at Rutgers University in 1993. Since then, the conference has been held in Hong...

We use square root stochastic volatility with or without jump model to study the heteroskedasticity and jump behavior of the Thai Baht. Bayesian factor is used to evaluate the explanatory power of competing model. It turns out that the square root stochastic volatility model with independent...

No abstract received.

No abstract received.

This study investigates whether there is a "China-concept factor", a common variation of stock returns, for firms that are listed in Taiwan stock markets and have real investments in China. We employ a methodology similar to that used by Lamont et al. (2001) in examining whether there is a...

No abstract received.

No abstract received.

No abstract received.

No abstract received.

In this essay, we empirically test the Constant–Elasticity-of-Variance (CEV) option pricing model by Cox (1975, 1996) and Cox and Ross (1976), and compare the performances of the CEV and alternative option pricing models, mainly the stochastic volatility model, in terms of European option...