Wei-Che Tsai

Oregon State University

Corvallis, OR 97331

United States

National Sun Yat-sen University - Department of Finance

No.70, Lianhai Rd., Gushan District,

Kaohsiung City

Taiwan

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

1.

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 (61,433)

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

2.

Determinants of Price Discovery in the VIX Futures Market

Journal of Empirical Finance, Forthcoming
Number of pages: 59 Posted: 23 May 2017
Yu-Lun Chen and Wei-Che Tsai
Chung Yuan Christian University - Department of Finance and Oregon State University
Downloads 214 (139,861)

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Price discovery; VIX; VIX futures; Futures basis; Information shares

3.

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 (186,758)

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VIX index; VIX futures; VIX options; Trading activity

4.

Financial Literacy and Participation in the Derivatives Markets

Journal of Banking and Finance, Forthcoming
Number of pages: 60 Posted: 16 Nov 2017
Yu-Jen Hsiao and Wei-Che Tsai
National Dong Hwa University and Oregon State University
Downloads 62 (344,592)

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Household finance; Financial literacy; Derivatives market participation

5.

Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process

Number of pages: 31 Posted: 18 May 2017
Pei-Shih Weng and Wei-Che Tsai
National Dong Hwa University and Oregon State University
Downloads 43 (405,517)

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Option Pricing; Numerical Quadrature; Jump-Diffusion Model

6.

Google Searches around Analyst Recommendation Revisions: Evidence from the Taiwan Stock Market

Number of pages: 72 Posted: 30 Aug 2017 Last Revised: 03 Dec 2018
Ming-Hung Wu and Wei-Che Tsai
Beijing Normal University, Zhuhai and Oregon State University
Downloads 35 (436,744)

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Emerging markets; Investor attention; Internet search; Information demand; Recommendation revisions.

7.

Effect of Country Governance on Bank Privatization Performance

International Review of Economics & Finance, Vol. 43, 2016
Number of pages: 41 Posted: 02 May 2017 Last Revised: 19 May 2017
Po-Hsin Ho, Chih-Yung Lin and Wei-Che Tsai
National Taipei University, Yuan Ze University and Oregon State University
Downloads 28 (468,328)

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Government-owned banks; Privatization; Country governance

8.

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 (489,443)

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VIX index; VIX options; Trading activity; Quote changes

9.

Effect of Monetary Policies on the Relationship between Advertising and Mutual Fund Flows

Number of pages: 45 Posted: 15 May 2017
Ming-Hung Wu, Wei-Che Tsai and Miao-Ling Chen
Beijing Normal University, Zhuhai, Oregon State University and National Sun Yat-sen University - Department of Finance
Downloads 16 (534,800)

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Advertising; Mutual Funds; Monetary Policy; Panel Threshold Model

10.

Do Foreign Institutional Traders Have Private Information for the Market Index?

International Review of Economics & Finance, Forthcoming
Number of pages: 56 Posted: 01 May 2017
Pei-Shih Weng and Wei-Che Tsai
National Dong Hwa University and Oregon State University
Downloads 13 (552,460)

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Foreign institutional investors; Market index futures; Private information

11.

Static Hedging and Pricing American Knock-Out Options

Journal of Derivatives, Forthcoming
Posted: 02 May 2017
Chung San-Lin, Pai-Ta Shih and Wei-Che Tsai
National Taiwan University, Department of Finance, National Taiwan University and Oregon State University

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Static hedge; American barrier options; Value-matching condition; Smooth-pasting condition

12.

Option-Implied Equity Risk and the Cross-Section of Stock Returns

Financial Analysts Journal, Forthcoming
Posted: 28 Mar 2016 Last Revised: 01 Apr 2016
Te-Feng Chen, San-Lin Chung and Wei-Che Tsai
Hong Kong Polytechnic University, National Taiwan University - Department of Finance and Oregon State University

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Idiosyncratic skewness; option-implied beta; expected stock returns; equity risk; equity options

13.

The Impact of Derivatives Hedging on Stock Market: Evidence from Taiwan Covered Warrants Market

24th Australasian Finance and Banking Conference 2011 Paper
Posted: 21 Aug 2011 Last Revised: 01 May 2017
San-Lin Chung, Wen-Ranq Liu and Wei-Che Tsai
National Taiwan University - Department of Finance, National Taiwan University and Oregon State University

Abstract:

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hedging impact, price elasticity, covered warrants, introduction effect, expiration effect

Other Papers (2)

Total Downloads: 7    Citations: 0
1.

The Information Content of Order Imbalance Volatility: Evidence From Account-Level Trading Activities on the Taiwan Futures Market

2019 Financial Markets & Corporate Governance Conference
Number of pages: 44 Posted: 31 Dec 2018 Last Revised: 28 Mar 2019
Beijing Normal University, Zhuhai, National Sun Yat-sen University, Department of Finance, Students, Oregon State University and National Dong Hwa University
Downloads 5

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Order Imbalance Volatility; Emerging Market; Information Asymmetry; Foreign Institutional Investors

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

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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