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Deregulation and liberalization of the Chinese stock market and the improvement of market efficiency

Hung, Jui-Cheng - In: The Quarterly Review of Economics and Finance 49 (2009) 3, pp. 843-857

This study employs single and multiple variance ratio tests to reexamine the weak-form efficient market hypothesis (EMH) of A- and B-shares on the Shanghai and Shenzhen exchanges in Chinese stock market. The study also examines the influence of the release of investment restriction of B-share...

Persistent link: https://www.econbiz.de/10005077744

Volatility forecasts : do volatility estimators and evaluation methods matter?

Jiang, I-Ming; Hung, Jui-Cheng; Wang, Chuan-San - In: The journal of futures markets 34 (2014) 11, pp. 1077-1094

Persistent link: https://www.econbiz.de/10010508678

Examining market efficiency for large and small-capitalization of TOPIX and FTSE stock indices

Hung, Jui-cheng; Lee, Yen-Hsien; Pai, Tung-Yueh - In: Applied financial economics 19 (2009) 7/9, pp. 735-744

This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times...

Persistent link: https://www.econbiz.de/10003842695

Jump risk of presidential election : evidence from Taiwan stock and foreign exchange markets

Hung, Jui-cheng; Jiang, Shi-jie; Chiu, Chien-liang - In: Applied economics 39 (2007) 16/18, pp. 2231-2240

Persistent link: https://www.econbiz.de/10003589802

Hedging for multi-period downside risk in the presence of jump dynamics and conditional heteroskedasticity

Lee, Ming-chih; Hung, Jui-cheng - In: Applied economics 39 (2007) 16/18, pp. 2403-2412

Persistent link: https://www.econbiz.de/10003590359

Forecasting volatility and capturing downside risk of the Taiwanese futures markets under the financial tsunami

Liu, Hung-Chun; Hung, Jui-cheng - In: Managerial finance 36 (2010) 10, pp. 860-875

Persistent link: https://www.econbiz.de/10008662545

Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns

Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173

Persistent link: https://www.econbiz.de/10009301140

Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation

Su, Jung-bin; Hung, Jui-cheng - In: Economic modelling 28 (2011) 3, pp. 1117-1130

Persistent link: https://www.econbiz.de/10009271254

A study of dynamics in market volatility indices between the US and Taiwan

Lee, Yen-Hsien; Hung, Jui-Cheng; Wang, Yi-Hsien; Huang, … - In: Investment management and financial innovations 9 (2012) 4, pp. 89-95

Persistent link: https://www.econbiz.de/10009745489

Evaluating and improving GARCH-based volatility forecasts with range-based estimators

Hung, Jui-cheng; Lou, Tien-wei; Wang, Yi-hsien; Lee, Jun-de - In: Applied economics 45 (2013) 28/30, pp. 4041-4049

Persistent link: https://www.econbiz.de/10010345765