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

18

DOWNLOADS
Rank 39,494

SSRN RANKINGS

Top 39,494

in Total Papers Downloads

2,300

SSRN CITATIONS
Rank 31,255

SSRN RANKINGS

Top 31,255

in Total Papers Citations

32

CROSSREF CITATIONS

1

Scholarly Papers (18)

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, National Taiwan University and National Dong Hwa University - Department of Finance
Downloads 559 (89,506)
Citation 5

Abstract:

Loading...

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 418 (127,042)
Citation 7

Abstract:

Loading...

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, National Taiwan University and Soochow University, Taiwan
Downloads 235 (233,782)

Abstract:

Loading...

VIX index; VIX futures; VIX options; Trading activity

4.

Global Financial Crisis, Funding Constraints, and Liquidity of VIX Futures

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 59 Posted: 29 Jul 2023 Last Revised: 31 Jul 2023
Junmao Chiu, Donald D. Lien and Wei-Che Tsai
National Sun Yat-sen University - Department of Finance, University of Texas at San Antonio - College of Business - Department of Economics and Oregon State University
Downloads 174 (307,759)

Abstract:

Loading...

VIX; Liquidity; Global financial crisis; Funding constraints

5.

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 170 (313,916)
Citation 15

Abstract:

Loading...

Household finance; Financial literacy; Derivatives market participation

6.

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 129 (393,047)
Citation 1

Abstract:

Loading...

Option Pricing; Numerical Quadrature; Jump-Diffusion Model

7.

The Impact of ESG Ratings on Bank Lending: Evidence from Taiwan

Number of pages: 51 Posted: 02 Sep 2023
Wei-Che Tsai, Brand fong and Ching-Wen Hsu
Oregon State University, National Sun Yat-Sen University and National Sun Yat-sen University
Downloads 113 (434,021)

Abstract:

Loading...

esg, Bank lending decisions, Mandatory CSR reports.

8.

Trading Activity of VIX Futures and Options Around FOMC Announcements

Number of pages: 43 Posted: 02 Sep 2023
Hong-Gia Huang, Wei-Che Tsai and J. Jimmy Yang
Tunghai University, Oregon State University and Oregon State University
Downloads 105 (457,966)

Abstract:

Loading...

VIX, VIX futures, VIX options, Informed trading activity, FOMC announcements

9.

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 Campus and Oregon State University
Downloads 80 (545,649)

Abstract:

Loading...

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

10.

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 75 (566,147)
Citation 1

Abstract:

Loading...

VIX index; VIX options; Trading activity; Quote changes

11.

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 Central University - Department of Finance, National Yang Ming Chiao Tung University and Oregon State University
Downloads 60 (636,595)
Citation 2

Abstract:

Loading...

Government-owned banks; Privatization; Country governance

12.

Effect of Board Financial Expertise on Corporate Social Responsibility Disclosure: Evidence from Taiwan

Number of pages: 54 Posted: 20 Oct 2023
Brand fong, Wei-Che Tsai and Christine Kung
National Sun Yat-Sen University, Oregon State University and National Sun Yat-sen University
Downloads 52 (680,893)

Abstract:

Loading...

Corporate social responsibility, Financial expertise, Information disclosure. Corporate governance

13.

Need-for-Hedge: How Does Put Warrant Short-Sell Hedging Intensity Affect Equity Lending Market Dynamics?

Number of pages: 36 Posted: 20 Sep 2021 Last Revised: 16 Nov 2022
Pallab Dey, Wei-Che Tsai and Peter L. Swan
University of New South Wales (UNSW), UNSW Business School, Oregon State University and University of New South Wales (UNSW Sydney
Downloads 44 (730,763)

Abstract:

Loading...

Short Selling, Hedging, Put Warrants, Securities Lending

14.

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 Campus, Oregon State University and National Sun Yat-sen University - Department of Finance
Downloads 43 (737,366)

Abstract:

Loading...

Advertising; Mutual Funds; Monetary Policy; Panel Threshold Model

15.

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 43 (737,366)

Abstract:

Loading...

Foreign institutional investors; Market index futures; Private information

16.

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

Abstract:

Loading...

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

17.

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

Financial Analysts Journal, Forthcoming
Posted: 28 Mar 2016 Last Revised: 24 Apr 2021
Te-Feng Chen, San-Lin Chung and Wei-Che Tsai
Hong Kong Polytechnic University, National Taiwan University - Department of Finance and Oregon State University

Abstract:

Loading...

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

18.

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:

Loading...

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

Other Papers (2)

Total Downloads: 86
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 Campus, National Sun Yat-sen University, Department of Finance, Students, Oregon State University and National Dong Hwa University
Downloads 61

Abstract:

Loading...

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 National Taiwan University
Downloads 25

Abstract:

Loading...

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

Abstract:

Loading...

S&P 500, Options, VIX, Trading activity