第三屆交通大學財務金融國際研討會 · Web viewShe-Chih Chiu, National Cheng Kung University, Taiwan Chia-Chen Liang, National Cheng Kung University, Taiwan The Effect

2023/5/6第八屆交通大學財務金融國際研討會The 8th NCTU International Finance Conference

The 8th NCTU International Finance Conference 第八屆交通大學財務金融國際研討會Conference Theme: Financial Industry and Strategies of

Developing Financial Markets會議主題：金融產業與金融市場發展之策略時間(Date)：104 年 1 月 13 日（星期二）8：30 AM --18：30 PM (8：30 AM ~18：30 PM, Tuesday, January 13, 2015)地點(Location)：國立交通大學光復校區電子與資訊研究中心 1 樓

(1st floor, Microelectronics and Information Systems Research Center, Kuang-Fu Campus, NCTU)

Program Co-Directors:Cheng-Few Lee, Rutgers University, USATian-Shyr Dai, National Chiao Tung University, Taiwan

主辦單位(Conference Organizers)：Department of Information Management and Finance, National Chiao Tung University, Taiwan 國立交通大學資訊管理與財務金融學系Foundation of Pacific Basin Financial Research and Development, Taiwan 財團法人亞太金融研究發展基金會Rutgers Business School, Rutgers University, USA 美國羅格斯大學商學院指導單位(Advisor)：Ministry of Science and Technology, Republic of China 中華民國科技部合辦單位(Conference Co-Organizers)：College of Management, National Chiao Tung University, Taiwan 國立交通大學管理學院Executive Master of Business Administration (EMBA), National Chiao Tung University, Taiwan 國立交通大學 EMBADepartment of Finance, Kainan University, Taiwan 開南大學財務金融學系College of Technology Management, National Tsing Hua University,Taiwan 國立清華大學科技管理學院Research Center for Humanities and Social Sciences, National Tsing Hua University, Taiwan 國立清華大學人文社會研究中心贊助單位(Sponsors)：Compal Electronics, INC. 仁寶電腦工業股份有限公司Cultural & Educational Foundation, Shanghai Commercial & Savings Bank, Ltd., Taiwan 上海商業儲蓄銀行文教基金會GreTai Securities Market, Taiwan 證券櫃檯買賣中心Maywufa Company Ltd., Taiwan 美吾華股份有限公司Taishin Financial Holding Co., Ltd., Taiwan 台新金控

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Taiwan Depository & Clearing Corporation 臺灣集中保管結算所Taiwan Futures Exchange 臺灣期貨交易所Taiwan Stock Exchange Corporation 臺灣證券交易所Tung Ho Steel Enterprise Corporation, Taiwan 東和鋼鐵企業股份有限公司

主辦單位聯繫方式:Tel.: (03)571-2121 Ext. 57080 Fax: (03)571-8548 (Ms. Rita Liu 劉小姐)Add.: 300 新竹市大學路 1001 號國立交通大學財務金融研究所 409REmail: [email protected]

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The 8th NCTU International Finance Conference 第八屆交通大學財務金融國際研討會~∙~ Agenda ~∙~

8:30~9:00 Registration 報到 Lobby 大廳9:00~9:05 Opening Remarks 致歡迎詞9:05~9:15 Welcome Remarks 院長致辭

International Conference Hall國際會議廳

9:15~9:30 Remarks by Honorary Guest 貴賓致詞9:30~10:15(45mins) Keynote Speech (1) 專題演講(1)

Speaker: Edward Kane, Professor of Finance, Boston College, USA 10:15~11:00(45mins)

Keynote Speech (2) 專題演講(2) Speaker: Khee Giap Tan, Chairman, Singapore National Committee for Pacific Economic Cooperation and Co-Director, Asia Competitiveness Institute at Lee Kuan Yew School of Public Policy, National University of Singapore

11:00~11:15 休息 Tea Break Lobby 大廳11:15~12:40(85mins) Panel Session I. Bank Risk Management 銀行風險管理 International

Conference Hall國際會議廳Academic Session I. Corporate Finance (A)

Conference Room 101第一會議室Academic Session II. Real Estate Finance

Conference Room 104第三會議室Academic Session III. Economics & Financial Policy

Conference Room 106第四會議室12:40~13:40 午餐 Lunch Time

Conference Room 104&106第三、四會議

室13:40~15:05(85mins) Panel Session II. 兩岸金融發展的十字路口 International

Conference Hall國際會議廳Academic Session IV. Asset Pricing & Investment Analysis

Conference Room 101第一會議室Academic Session ** Expression is faulty **. Corporate Finance

(B)Conference Room 104第三會議室

Academic Session VI. MicrostructureConference Room 106第四會議室

15:05~15:20 休息 Tea Break Lobby 大廳15:20~16:45

Academic Session VII. International Finance Conference Room 101第一會議室

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(85mins) Academic Session ** Expression is faulty **. Option & Future Market

Conference Room 104第三會議室Academic Session IX. Financial Accounting &

Corporate FinanceConference Room 106第四會議室

16:45~17:00 休息 Tea Break Lobby 大廳17:00~18:25(85mins) Academic Session X. Financial Econometrics

Conference Room 101第一會議室Academic Session XI. Investment Analysis

Conference Room 106第四會議室

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The 8th NCTU International Finance Conference ~∙~ Detailed Program ~∙~

8:30~9:00 Registration 報到9:00~9:05 Opening Remarks 致歡迎詞

Cheng-Few Lee, Distinguished Professor, Rutgers University, USA

International Conference

Hall國際會議廳

9:05~9:15Welcome Remarks 院長致辭Min-Teh Yu, Dean, College of Management, National Chiao Tung University, Taiwan

9:15~9:30Remarks by Honorary Guest 貴賓致詞Tang-Chieh Wu, Political Deputy Minister, Ministry of Finance, Taiwan(吳當傑政務次長財政部)

9:30~10:15(45 mins)

Keynote Speech (1) 專題演講(1) Evidence of Safety-Net Expansion During the Great RecessionChairperson: Min-Teh Yu, National Chiao Tung University, Taiwan

Speaker: Edward Kane, Professor of Finance, Boston College, USA

10: 15~11:00(45 mins)

Keynote Speech (2) 專題演講(2) Making ASEAN a Competitive Regional Hub for Trade, Business and Services through Inclusive DevelopmentChairperson: Huimin Chung, National Chiao Tung University, TaiwanSpeaker: Khee Giap Tan, Chairman, Singapore National Committee for Pacific Economic Cooperation and Co-Director, Asia Competitiveness Institute at Lee Kuan Yew School of Public Policy, National University of Singapore(陳企業博士新加坡太平洋經濟合作委員會主席暨新加坡國立大學李光耀公共政策學院亞洲競爭力研究所所長)

11:00~11:15 Tea Break 休息11:15~12:40(85 mins)

Panel Session ** Expression is faulty **. Bank Risk Management 銀行風險管理 Chairperson: Min-Teh Yu, Dean, College of Management, National Chiao Tung University, Taiwan (俞明德院長交大管理學院)Panelists: 1. Andy Dong, Vice President, Bank SinoPac, Taiwan(董夢雲副總經理永

豐金控結構商品開發部)2. Dar Yeh Hwang, Professor, Department of Finance, National

Taiwan University; Director, Center for the Study of Banking and FinanceNational Taiwan University, Taiwan (黃達業教授台大財金系暨台大金融研究中心主任)

3. Hsuan Min Kuo, Chief Risk Officer, Yuanta Financial Holding Co., Ltd,


Hall國際會議廳

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Taiwan (郭軒岷風控長元大金控)4. Lee-Rong Wang, Vice President and Director, Financial Research

Institute, Taiwan Academy of Banking and Finance, Taiwan (王儷容院務委員兼任金融研究所所長台灣金融研訓院)

Academic Session I. Corporate Finance (A)Chairperson: Sheng-Syan Chen, National Taiwan University, Taiwan

1. Corporate Decisions of Investment, Leverage and Dividend Payment: RevisitedCheng-Few Lee, Rutgers University, USAWoan-lih Liang, National Chiao Tung University, TaiwanYating Yang, National Chiao Tung University, Taiwan

2. Inside Debt and Cost of EquityCarl Hsin-han Shen, National Central University, TaiwanHao Zhang, Rochester Institute of Technology, USA

3. Corporate Governance, Tax Avoidance, And Firm Value: International EvidenceNan-Ting Kuo, National Central University, Taiwan

4. Why Do the Holding of Liquid Assets of U.S. Banks Decrease Over Time?I-Ju Chen, Yuan-Ze University, Taiwan

Conference Room 101第一會議室

Academic Session ** Expression is faulty **. Real Estate Finance

Chairperson: Chiuling Lu, National Taiwan University, Taiwan

1. A Simplified Approach for Valuing Annuity Reverse MortgageJow-Ran Chang, National Tsing Hua University, Taiwan Jing-Tang Tsay, National Taipei University, TaiwanLarry J. Prather, Southeastern Oklahoma State University, USAChe-Chun Lin, National Tsing Hua University, Taiwan

2. Funding Liquidity, Market Liquidity and Housing Starts Yao-Min Chiang, National Taiwan University, TaiwanJarjisu Sa-Aadu, University of Iowa, USAJames D. Shilling, DePaul University, USA

3. Are Tail Behaviors of Real Estate Investment Trusts Anomalous?

Conference Room 104第三會議室

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Evidence from Extreme Value TheoryMing-Chu Chiang, National Yunlin University of Science and Technology, TaiwanI-Chun Tsai, National University of Kaohsiung, Taiwan

4. The Choice of Organizational Form: Evidence from UK Real EstateChiuling Lu, National Taiwan University, TaiwanJohn Mao, George Washington University, USAJarjisu Sa-Aadu, University of Iowa, USA

Academic Session Ⅲ. Economics & Financial PolicyChairperson: Chuang-Chang Chang, Asian University &National Central University, Taiwan

1. Recognizing the Role of FDI and the Requirements of Institutional Reform in VietnamDo Thien Anh Tuan, Fulbright Economics Teaching Program in VietnamCao Hao Thi, Saigon Technology University, Vietnam

2. Market Liquidity, Funding Liquidity, and Hedge Fund PerformanceMahmut Ilerisoy, University of Iowa, USAJay Sa-Aadu, University of Iowa, USAAshish Tiwari, University of Iowa, USA

3. Credit Crunch and Saving Glut in Taiwan: Empirical EvidencesCheng-Few Lee, Rutgers University, USAChiung-Min Tsai, The Central Bank of China, TaiwanLie-Jane Kao, KaiNan University, Taiwan

4. Export Spillover from FDI: Evidence from Taiwan’s Electronics IndustryNaiwei Chen, Jiangxi Normal University, ChinaHo-Chyuan Chen, National Chung Cheng University, TaiwanRong-Siou Lin, National Chung Cheng University, Taiwan


12:40~13:40(60mins) Lunch Time 午餐13:40~15:05(85 mins)

Panel Session ** Expression is faulty **. 兩岸金融發展的十字路口Chairperson: Yin-Hua Yeh, National Chiao Tung University, Taiwan

(葉銀華教授交大財金所)


Hall國際會議廳

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Panelists:1. Chung Min-Min, Head, Nanjing Branch, Bank SinoPac (鍾敏敏行長永

豐銀行南京子行)2. Shen Qing, Deputy General Manager, Taipei Branch, Bank of China (沈

慶副總經理中國銀行台北分行) 3. Chung-Hua Shen, Professor, Department of Finance, National Taiwan

University (沈中華教授台大財金系)

Academic Session Ⅳ. Asset Pricing & Investment Analysis

Chairperson: Shin-Huei Wang, National Tsing Hua University, Taiwan

1. Persistence of Performance on the Mutual Fund during Pre- and Post- Financial CrisisSue-Fung Wang, National Chiao Tung University, Taiwan Yi -Cheng Shih, National Taipei University, TaiwanHui-Chun Lin, National Chiao Tung University, Taiwan

2. Multi-factor Pricing Models Do Not Price Systematic Risk Factors Uncorrelated with the Market PortfolioLie-Jane Kao, KaiNan University, TaiwanCheng-Few Lee, Rutgers University, USA

3. Alternative Alphas from Hedge Fund ETF SpeculationPeter C.L. Lin, Stevens Institute of Technology, USA

4. A Tale of Two Days and Investor SentimentKonan Chan, National Chengchi University, TaiwanChris Lien, National Chengchi University, TaiwanYanzhi Wang, National Taiwan University, Taiwan


Academic Session Ⅴ. Corporate Finance (B)Chairperson: Konan Chan, National Chengchi University, Taiwan

1. Do Corporate Cash Holdings Decrease the Impact of Tail Risk Spillovers from the Financial Sector? Evidence from EuropeWan-Chien Chiu, University of Glasgow, UKJuan Ignacio Peña, Universidad Carlos III de Madrid, SpainChih-Wei Wang, Central University of Finance and Economics, China

2. The Joint Determination of Capital Structure and Stock Rates of ReturnCheng Few Lee, Rutgers University, USA


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Tzu Tai, Rutgers University, USA

3. Government Intervention and Equity Liquidity in the Sub-prime Crisis Period: Evidence from the ETF MarketJunmao Chiu, Yuan Ze University, TaiwanHuimin Chung, National Chiao Tung University, TaiwanKunchi Tsai, National Chiao Tung University, Taiwan

4. Say-on-pay Votes and CEO CompensationChun-Hua Tang, National Sun Yat-sen University, Taiwan

Academic Session Ⅵ. Microstructure Chairperson: Robin K. Chou, National Chengchi University, Taiwan

1. Market Panic and Order Type ChoiceMatthew C. Chang, Hsuan Chuang University, TaiwanChih-Ling Tsai, University of California, Davis, USARebecca Chung-Fern Wu, National Taiwan University, TaiwanNing Zhu, Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiaotong University, China

2. Why Do Firms Issue SEOs and Increase Dividends Simultaneously? Evidence from U.S. FirmsAmy Yueh-Fang Ho, Providence University, TaiwanChih-Jen Huang, Providence University, TaiwanCheng-Yu Wu, Providence University, TaiwanMin-Teh Yu, National Chiao Tung University, Taiwan

3. Information Risk and Price ContinuationAlex YiHou Huang, National Chiao Tung Unversity, TaiwanChiao-Ming Cheng, Yuan Ze University, Taiwan

4. The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures ExchangeRobin K. Chou, National Chengchi University, TaiwanGeorge H. K. Wang, George Mason University, USAYun-Yi Wang, Feng-Chia University, Taiwan


15:05~15:20 休息 Tea Break

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15:20~16:45(85 mins)

Academic Session Ⅶ. International FinanceChairperson: Yin-Feng Gau, National Central University, Taiwan

1. The Dynamics of Renminbi Exchange Rate Convergence: Evidence from Rolling Cointegration AnalysisChun-Chie Huang, National Chi Nan University, TaiwanPei-Fen Chen, National Chi Nan University, Taiwan

2. Foreign Exchange Intervention in Asian Countries: What Determines the Odds of Success of During the Credit CrisisMei-Ching Chang, National Chengchi University, TaiwanSandy Suardi, La Trobe University, AustraliaYuanchen Chang, National Chengchi University, Taiwan

3. Home Bias in Portfolio Choices: Social Learning amongst Partially-informed AgentsWen-Lin Wu, Feng-Chia University, TaiwanYin-Feng Gau, National Central University, Taiwan

4. Are Disasters the Matters for the Japanese Exchange Rate Market?Cindy S.H. Wang, National Tsing Hua University, TaiwanShih Ti, Yu, National Tsing Hua University, TaiwanAndrew Y.M. Xie, University of Southern California, U.S.A


Academic Session Ⅷ. Option & Future Market Chairperson: Tian-Shyr Dai, National Chiao Tung University, Taiwan

1. Further Evidence on the Explanatory Power of Spot Food and Energy Prices for Futures Contracts PricesPhillip A. Cartwright, ESG Management School, FranceNatalija Riabko, FranceAgriMer, France

2. Information about Price and Volatility Jumps Inferred from Options PricesStephen J. Taylor, Lancaster University, UKChi-Feng Tzeng, National Tsing Hua University, TaiwanMartin Widdicks, University of Illinois at Urbana-Champaign, USA

3. Liquidity Providing in Arbitrage by Trader Types: Evidence from the Taiwan Index Option MarketChin-Ho Chen, National Chiao Tung University, TaiwanJunmao Chiu, Yuan Ze University, Taiwan


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Huimin Chung, National Chiao Tung University, Taiwan

4. Political Uncertainty and Credit DerivativesRui Zhong, Central University of Finance and Economics, China

5. Do Foreign Institutions Outperform in the Taiwan Options Market?William T. Lin, Tamkang University, TaiwanShih-Chuan Tsai, National Taiwan Normal University, TaiwanPeter Chiu, Tamkang University, Taiwan

Academic Session Ⅸ. Financial Accounting & Corporate FinanceChairperson: Han-Hsing Lee, National Chiao Tung University, Taiwan

1. Does IFRS Provide More Relevant Information for Evaluating Systematic Risk?Chin-Chen Chien, National Cheng Kung University, TaiwanHsuan-Chu Lin, National Cheng Kung University, TaiwanShe-Chih Chiu, National Cheng Kung University, TaiwanChia-Chen Liang, National Cheng Kung University, Taiwan

2. The Effect of ERP Systems Competences on Business Process and Organizational PerformanceSongsheng Chen, Beijing Institute of Technology, ChinaMohamed Z. Elbashir, Qatar University, QatarXiaofeng (Sheldon) Peng, University of Toledo, USADavid X Zhu, California State University, Stanislaus, USA

3. The Time Effect of Corporate DiversificationZhongda He, Central University of Finance and Economics, China

4. Can Policies Induce Corporate Investment? -A Study of Cost of CapitalDavid Sun, Kainan University, Taiwan

5. Information Disclosure, Product Market Competition, and Firm ValueLee-Hsien Pan, National Chung Cheng University, TaiwanShih-Cheng Lee, Yuan Ze University, TaiwanChien-Ting Lin, Deakin University, AustraliaKung-Cheng Ho, Yuan Ze University, Taiwan


16:45~17:00 休息 Tea Break

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17:00~18:25(85mins)

Academic Session Ⅹ. Financial Econometrics Chairperson: Shih-Ti Yu, National Tsing Hua University, Taiwan

1. Alternative Errors-in-Variables Models and Their Applications in Finance ResearchHong-Yi Chen, National Chengchi University, TaiwanAlice C. Lee, State Street Corp., USACheng-Few Lee, Rutgers University, USA

2. On the Relationship between Intraday Jumps and Trading Volume: A Nonlinear Tobit SpecificationFredj Jawadi, University of Evry & EconomiX, FranceWaël Louhichi, ESSCA School of Management, FranceAbdoulkarim Idi Cheffou, EDC Paris Business School, FranceRivo Randrianarivony, University of Rouen, France

3. The Performance of Fat Cat Portfolio with Companies Announced by TWSE and GTSM: A Stochastic Dominance AnalysisTing-Yu Lin, Feng Chia University, TaiwanTeng-Shih Wang, Feng Chia University, TaiwanChuan-Hao Hsu, Feng Chia University, Taiwan

4. Measure of Downturn Connectedness and Systemic Risk in Financial InstitutionsHui-Ching Chuang, Yuan Ze University, Taiwan

5. Measuring the Size of Market Inefficiency: Trading Systems and Price BubblesTatsuyoshi Miyakoshi, Hosei University, JapanYoshihiko Tsukuda, Tohoku University, JapanJunji Shimada, Aoyama Gakuin University, Japan


Academic Session XI. Investment AnalysisChairperson: Wen-Liang Hsieh, National Chiao Tung University, Taiwan

1. Institutional Trading and Stock Liquidity: Evidence from Taiwan Stock MarketYu-Fen Chen, Da-Yeh University, TaiwanFu-Lai Lin, Da-Yeh University, TaiwanSheng-Yung Yang, National Chung-Hsing University, Taiwan

2. A Policy-Risk Analysis of China's B-Share Discounts and Investment


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StrategiesYue Qi, Nankai University, ChinaShuo Tian, Earnest & Young Global Business Services (China) Co., Ltd., ChinaXiaofeng Peng, The University of Toledo, USAZhefeng Liu, Brock University, Canada

3. Individual Stock Options Trading and Firm performance Jun-Biao Lin, National Kaohsiung First University of Science and

Technology, TaiwanKai Lin Cheng, Taiwan Academy of Banking and Finance, Taiwan

4. Skewness on Equity Portfolio Selection: Evidence from the US Stock MarketAlex W.H. Chung, Norwich University, USARong Qi, St. John’s University, Taiwan

5. Settlement Procedures and Quality of Stock Market Emily Lin, St. John’s University, TaiwanCarl R. Chen, University of Dayton, USA

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Documents

第三屆交通大學財務金融國際研討會 · Web viewShe-Chih Chiu, National Cheng Kung University, Taiwan Chia-Chen Liang, National Cheng Kung University, Taiwan The Effect