Yaw-Huei Wang

National Taiwan University

Professor of Finance

Department and Graduate Institute of Finance

College of Management

Taipei, 106

Taiwan

UNSW

Sydney, NSW 2052

Australia

  • National Taiwan University

    • Email
    • Tel: +886233661092
    • Fax: +886283695581

  • UNSW

SCHOLARLY PAPERS

22

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Top 15,669

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54

Scholarly Papers (22)

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1.

The Relationships between Sentiment, Returns and Volatility

EFMA 2004 Basel Meetings Paper, Cass Business School Research Paper, International Journal of Forecasting, Vol. 21, No. 1, 2006
Number of pages: 34 Posted: 12 May 2004 Last Revised: 27 Feb 2019
Yaw-Huei Wang, Aneel Keswani and Stephen J. Taylor
National Taiwan University, Faculty of Finance, Cass Business School, City University, London and Lancaster University - Department of Accounting and Finance
Downloads 1,253 (36,044)
Citation 18

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Causality, Investor Surveys, Market based sentiment measures, Realized volatility, Stock index returns

2.

The Euro and European Financial Market Dependence

Downloads 1,104 (43,414)
Citation 9

The Euro and European Financial Market Dependence

AFA 2007 Chicago Meetings Paper, Journal of Banking and Finance, Vol. 31, No. 5, 2007, WBS Finance Group Research Paper No. 45
Number of pages: 34 Posted: 02 Jul 2005 Last Revised: 23 Dec 2019
Söhnke M. Bartram, Stephen J. Taylor and Yaw-Huei Wang
University of Warwick, Lancaster University - Department of Accounting and Finance and National Taiwan University
Downloads 809 (65,767)
Citation 5

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Euro, financial markets, dependence, co-movement, copula, GARCH, international finance, integration

The Euro and European Financial Market Dependence

Journal of Banking and Finance, Vol. 51, No. 5, pp. 1461-1481, May 2007, WBS Finance Group Research Paper No. 67
Number of pages: 34 Posted: 15 Aug 2006 Last Revised: 23 Dec 2019
Yaw-Huei Wang, Söhnke M. Bartram and Stephen J. Taylor
National Taiwan University, University of Warwick and Lancaster University - Department of Accounting and Finance
Downloads 295 (222,204)
Citation 4

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Euro, international finance, dependence, copula, GARCH

3.

Dynamic Hedging with Futures: A Copula-Based GARCH Model

Journal of Futures Markets, Forthcoming
Number of pages: 34 Posted: 15 Jan 2008
Chih-Chiang Hsu, Chih-Ping Tseng and Yaw-Huei Wang
National Central University at Taiwan - Department of Economics, National Central University and National Taiwan University
Downloads 1,029 (48,056)
Citation 4

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Futures, Hedging, GARCH, Copula

4.

Option Prices and Risk-Neutral Densities for Currency Cross-Rates

Journal of Futures Markets, 30(4):324-360, EFA 2004 Maastricht Meetings Paper No. 2157
Number of pages: 50 Posted: 09 Mar 2004 Last Revised: 27 Feb 2019
Stephen J. Taylor and Yaw-Huei Wang
Lancaster University - Department of Accounting and Finance and National Taiwan University
Downloads 854 (62,105)
Citation 1

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Option pricing, density estimation, exchange rates, cross-rate, copulas

5.

Option Implied Cost of Equity and Its Properties

Journal of Futures Markets, 29(7):599-629 .
Number of pages: 41 Posted: 05 Mar 2008 Last Revised: 23 Feb 2019
Antonio Camara, San-Lin Chung and Yaw-Huei Wang
Oklahoma State University, Stillwater - College of Business Administration, National Taiwan University - Department of Finance and National Taiwan University
Downloads 632 (91,994)

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Cost of capital, Capital bugdeting, Fama/Franch three-factor model, Equilibrium option prices, Black-Scholes

6.

European Financial Market Dependence: An Industry Analysis

Downloads 626 (93,079)
Citation 3

European Financial Market Dependence: An Industry Analysis

Journal of Banking and Finance, Vol. 59, July 2015, pp. 146-163., WBS Finance Group Research Paper No. 137
Number of pages: 52 Posted: 16 Mar 2010 Last Revised: 23 Dec 2019
Söhnke M. Bartram and Yaw-Huei Wang
University of Warwick and National Taiwan University
Downloads 350 (184,461)
Citation 2

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Euro, International finance, Financial Markets, Dependence, Integration, Copula, GARCH

European Financial Market Dependence: An Industry Analysis

Journal of Banking and Finance, Vol. 59, July 2015, pp. 146-163., WBS Finance Group Research Paper No. 165
Number of pages: 52 Posted: 13 Jun 2011 Last Revised: 26 Dec 2019
Söhnke M. Bartram and Yaw-Huei Wang
University of Warwick and National Taiwan University
Downloads 276 (238,276)
Citation 1

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Euro, International finance, Financial Markets, Dependence, Integration, Copula, GARCH

7.

The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index

Journal of Futures Markets
Number of pages: 45 Posted: 20 Nov 2010 Last Revised: 01 Oct 2013
Chung San-Lin, Wei-Che Tsai, Yaw-Huei Wang and Pei-Shih (Pace) Weng
National Taiwan University, Oregon State University, National Taiwan University and National Dong Hwa University - Department of Finance
Downloads 583 (101,985)
Citation 6

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VIX options, Index options, Put-call parity, Implied volatility, Implied density.

8.

A New Simple Square Root Option Pricing Model

Journal of Futures Markets, Forthcoming.
Number of pages: 26 Posted: 27 Aug 2008 Last Revised: 19 Jan 2010
Antonio Camara and Yaw-Huei Wang
Oklahoma State University, Stillwater - College of Business Administration and National Taiwan University
Downloads 381 (169,449)

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Option pricing, General equilibrium, SSROPM, Black-Scholes

9.

Another Look at the Relationship between Cross-Market Correlation and Volatility

Finance Research Letters, Vol. 2, No. 2, pp. 75-88, 2005, WBS Finance Group Research Paper No. 38
Number of pages: 22 Posted: 28 Feb 2005
Söhnke M. Bartram and Yaw-Huei Wang
University of Warwick and National Taiwan University
Downloads 317 (207,244)

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Contagion, correlation, co-movement, dependence, volatility, simulation

10.

Sophistication, Sentiment, and Misreaction

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 46 Posted: 19 Nov 2013
Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang
National Central University - Department of Finance, National Tsing Hua University - Department of Quantitative Finance and National Taiwan University
Downloads 316 (207,959)
Citation 3

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Options; Misreaction; Model-free implied volatility; Investor sophistication; Investor sentiment.

11.

The Impact of Liquidity on Option Prices

Journal of Futures Markets 31(12):1116-1141.
Number of pages: 42 Posted: 17 Mar 2010 Last Revised: 23 Feb 2019
Robin K. Chou, Yu-Jen Hsiao, Yaw-Huei Wang and San-Lin Chung
National Chengchi University, National Central University, National Taiwan University and National Taiwan University - Department of Finance
Downloads 299 (220,730)
Citation 2

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Liquidity, Option price, Implied volatility curve, Hedging cost

12.

An Analysis on the Intraday Trading Activity of VIX Derivatives

Journal of Futures Markets, Forthcoming
Number of pages: 42 Posted: 02 May 2017 Last Revised: 09 Dec 2017
Dian-Xuan Kao, Wei-Che Tsai, Yaw-Huei Wang and Kuang-Chieh Yen
National Taiwan University, Oregon State University, National Taiwan University and Soochow University, Taiwan
Downloads 279 (238,177)

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VIX index; VIX futures; VIX options; Trading activity

13.

The Volatility and Density Prediction Performance of Alternative GARCH Models

Journal of Forecasting 31(2):157-171.
Number of pages: 28 Posted: 24 Aug 2007 Last Revised: 27 Feb 2019
Teng-Hao Huang and Yaw-Huei Wang
National Central University and National Taiwan University
Downloads 235 (281,919)
Citation 1

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GARCH, Model fitting, Volatility forecasting, Density prediction, Jumps

14.

Information Content of Options Trading Volume for Future Volatility: Evidence from the Taiwan Options Market

21st Australasian Finance and Banking Conference 2008 Paper, Journal of Banking and Finance, Vol. 34, No. 1, 2010
Number of pages: 42 Posted: 11 Jul 2008 Last Revised: 19 Oct 2012
Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang
National Central University - Department of Finance, National Tsing Hua University - Department of Quantitative Finance and National Taiwan University
Downloads 223 (296,653)
Citation 1

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Option volatility information, Combination trades, Informed investors

15.

Bounds and Prices of Currency Cross-Rate Options

Journal of Banking and Finance, Vol. 32, No. 5, 2008
Number of pages: 32 Posted: 18 Feb 2006 Last Revised: 27 Feb 2019
Chung San-Lin and Yaw-Huei Wang
National Taiwan University and National Taiwan University
Downloads 220 (300,551)
Citation 3

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Option pricing, option bounds, exchange rates, cross-rate, correlation, copulas

16.

The Information Content of Option-Implied Tail Risk on the Future Returns of the Underlying Asset

Journal of Futures Markets, Forthcoming
Number of pages: 46 Posted: 31 May 2017 Last Revised: 09 Dec 2017
Yaw-Huei Wang and Kuang-Chieh Yen
National Taiwan University and Soochow University, Taiwan
Downloads 190 (344,908)
Citation 1

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Tail measures, S&P 500, VIX, Options, Extreme value theory.

17.

The Information Content of the Implied Volatility Term Structure on Future Returns

European Financial Management, Forthcoming
Number of pages: 50 Posted: 20 Aug 2014 Last Revised: 09 Dec 2017
Yaw-Huei Wang and Kuang-Chieh Yen
National Taiwan University and Soochow University, Taiwan
Downloads 182 (358,642)
Citation 1

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VIX term structure, Predictability, S&P 500 index returns

18.

Implied Volatility Spreads and Future Options Returns Around Information Events and Conditions

Number of pages: 45 Posted: 10 Jan 2018
Chuang-Chang Chang, Zih-Ying Lin and Yaw-Huei Wang
National Central University - Department of Finance, Hunan University and National Taiwan University
Downloads 144 (438,377)

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Volatility spreads; Option returns; Earnings announcements; Investor sentiment; Investor learning

19.

The Intraday Behavior of Information Misreaction Across Various Categories of Investors in the Taiwan Options Market

Journal of Financial Markets, Forthcoming
Number of pages: 38 Posted: 17 Aug 2011 Last Revised: 02 Oct 2012
Chuang-Chang Chang, Pei-Fang Hsieh, Tang Chih-Wei and Yaw-Huei Wang
National Central University - Department of Finance, National Tsing Hua University - Department of Quantitative Finance, National Central University and National Taiwan University
Downloads 92 (616,560)

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Options, Misreaction, Stochastic volatility, Model-free implied variance, Investors

20.

The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options

Journal of Futures Markets (2014)
Number of pages: 56 Posted: 02 May 2017 Last Revised: 09 Dec 2017
Wei-Che Tsai, Ying-Tzu Chiu and Yaw-Huei Wang
Oregon State University, National Taiwan University and National Taiwan University
Downloads 90 (620,825)
Citation 1

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VIX index; VIX options; Trading activity; Quote changes

21.

VIX Derivatives: Valuation Models and Empirical Evidence

Pacific-Basin Finance Journal, Vol. 53, 2019
Number of pages: 47 Posted: 20 Mar 2023
Chien-Ling Lo, Pai-Ta Shih, Yaw-Huei Wang and Min‐Teh Yu
National Taipei University - College of Business, National Taiwan University, National Taiwan University and National Tsing Hua University
Downloads 48 (877,295)

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VIX derivatives; Variance components; Variance jump; Affine model

22.

The Impact of Jump Dynamics on the Predictive Power of Option-implied Densities

Journal of Derivatives, Vol. 16, No. 3, pp. 9-22, January 2009, https://doi.org/10.3905/JOD.2009.16.3.009
Posted: 27 Feb 2007 Last Revised: 21 May 2019
Yaw-Huei Wang
National Taiwan University

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Density prediction, stochastic volatility, jumps, risk-neutral, real-world

Other Papers (1)

Total Downloads: 33
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1.

The Informational Association between the S&P 500 Index and VIX Options Markets

Downloads 33 (171,223)

The Informational Association between the S&P 500 Index and VIX Options Markets

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 38 Posted: 06 Sep 2012 Last Revised: 22 Jan 2013
Dian-Xuan Kao, Wei-Che Tsai and Yaw-Huei Wang
National Taiwan University, Oregon State University and National Taiwan University
Downloads 33

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S&P 500 Index Options, VIX Options, Trading activity

The Informational Association between the S&P 500 Index and VIX Options Markets

25th Australasian Finance and Banking Conference 2012
Posted: 28 Aug 2012 Last Revised: 01 Oct 2013
Dian-Xuan Kao, Wei-Che Tsai and Yaw-Huei Wang
National Taiwan University, Oregon State University and National Taiwan University

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S&P 500, Options, VIX, Trading activity