Yaw-Huei Wang

UNSW

Sydney, NSW 2052

Australia

National Taiwan University

Professor of Finance

Department and Graduate Institute of Finance

College of Management

Taipei, 106

Taiwan

SCHOLARLY PAPERS

21

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6,803

CITATIONS
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43

Scholarly Papers (21)

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
UNSW, Faculty of Finance, Cass Business School, City University, London and Lancaster University - Department of Accounting and Finance
Downloads 1,042 (19,874)
Citation 9

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

2.
Downloads 917 ( 23,990)
Citation 22

The Euro and European Financial Market Dependence

AFA 2007 Chicago Meetings Paper, Journal of Banking and Finance, Vol. 31, No. 5, 2007
Number of pages: 34 Posted: 02 Jul 2005 Last Revised: 27 Feb 2019
Warwick Business School - Department of Finance, Lancaster University - Department of Accounting and Finance and UNSW
Downloads 707 (33,953)
Citation 22

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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
Number of pages: 34 Posted: 15 Aug 2006 Last Revised: 11 Mar 2014
UNSW, Warwick Business School - Department of Finance and Lancaster University - Department of Accounting and Finance
Downloads 210 (142,098)
Citation 22

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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 at Taiwan and UNSW
Downloads 773 (30,532)
Citation 2

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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 UNSW
Downloads 766 (30,952)
Citation 2

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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 UNSW
Downloads 509 (53,071)

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

European Financial Market Dependence: An Industry Analysis

Journal of Banking and Finance, Vol. 59, July 2015, pp. 146-163.
Number of pages: 52 Posted: 16 Mar 2010 Last Revised: 10 Jul 2015
Söhnke M. Bartram and Yaw-Huei Wang
Warwick Business School - Department of Finance and UNSW
Downloads 280 (105,939)

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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.
Number of pages: 52 Posted: 13 Jun 2011 Last Revised: 10 Jul 2015
Söhnke M. Bartram and Yaw-Huei Wang
Warwick Business School - Department of Finance and UNSW
Downloads 211 (141,447)

Abstract:

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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
National Taiwan University, Oregon State University, UNSW and National Dong Hwa University - Department of Finance
Downloads 453 (61,406)

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

8.

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 at Taiwan - Department of Finance, National Tsing Hua University - Department of Quantitative Finance and UNSW
Downloads 251 (119,467)

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

9.

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 UNSW
Downloads 239 (125,495)

Abstract:

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Option pricing, General equilibrium, SSROPM, Black-Scholes

10.

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

Finance Research Letters, Vol. 2, No. 2, pp. 75-88, 2005
Number of pages: 22 Posted: 28 Feb 2005
Söhnke M. Bartram and Yaw-Huei Wang
Warwick Business School - Department of Finance and UNSW
Downloads 228 (131,549)
Citation 5

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

11.

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 at Taiwan and UNSW
Downloads 183 (161,604)

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

12.

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 UNSW
Downloads 182 (162,388)

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

13.

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
National Taiwan University, Oregon State University, UNSW and Soochow University
Downloads 155 (186,669)

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VIX index; VIX futures; VIX options; Trading activity

14.

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
National Chengchi University, National Central University at Taiwan, UNSW and National Taiwan University - Department of Finance
Downloads 152 (189,818)
Citation 3

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Liquidity, Option price, Implied volatility curve, Hedging cost

15.

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 at Taiwan - Department of Finance, National Tsing Hua University - Department of Quantitative Finance and UNSW
Downloads 148 (194,063)

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Option volatility information, Combination trades, Informed investors

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
UNSW and Soochow University
Downloads 93 (274,980)

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

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

European Financial Management, Vol. 25, Issue 2, pp. 380-406, 2019
Number of pages: 27 Posted: 06 Mar 2019
Yaw-Huei Wang and Kuang-Chieh Yen
UNSW and Soochow University
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predictability, S&P 500 index returns, VIX term structure

17.

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
UNSW and Soochow University
Downloads 89 (280,618)

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

18.

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
National Central University at Taiwan - Department of Finance, National Tsing Hua University - Department of Quantitative Finance, National Central University at Taiwan and UNSW
Downloads 55 (365,119)

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

19.

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 at Taiwan - Department of Finance, Hunan University and UNSW
Downloads 53 (371,364)

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

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 UNSW
Downloads 24 (489,174)

Abstract:

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VIX index; VIX options; Trading activity; Quote changes

21.

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
UNSW

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

Other Papers (1)

Total Downloads: 2    Citations: 0

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 UNSW
Downloads 2

Abstract:

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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 UNSW

Abstract:

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S&P 500, Options, VIX, Trading activity