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

  • Oregon State University

  • National Sun Yat-sen University - Department of Finance

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 43,883

SSRN RANKINGS

Top 43,883

in Total Papers Downloads

1,322

SSRN CITATIONS
Rank 41,285

SSRN RANKINGS

Top 41,285

in Total Papers Citations

17

CROSSREF CITATIONS

1

Scholarly Papers (14)

Actions:
Email selected abstracts
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
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 478 (75,400)
Citation 3

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 300 (127,997)
Citation 4

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
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 185 (204,428)

Abstract:

Loading...

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 113 (302,515)
Citation 7

Abstract:

Loading...

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 62 (433,344)
Citation 1

Abstract:

Loading...

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 Campus and Oregon State University
Downloads 49 (482,574)

Abstract:

Loading...

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

7.

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 40 (522,801)
Citation 1

Abstract:

Loading...

VIX index; VIX options; Trading activity; Quote changes

8.

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 39 (527,662)
Citation 1

Abstract:

Loading...

Government-owned banks; Privatization; Country governance

9.

The Effects of US Macroeconomic Surprises on the Term Structure of Emerging-market Sovereign Credit Default Swaps

Number of pages: 54 Posted: 18 Feb 2021
Chi Yin, Junmao Chiu, Yu-Jen Hsiao, 建文 湯 and Wei-Che Tsai
National Sun Yat-sen University, National Sun Yat-sen University-Department of Finance, National Dong Hwa University, affiliation not provided to SSRN and Oregon State University
Downloads 23 (620,130)

Abstract:

Loading...

Credit default swaps, Term structur, Spillover effect, Financial crisis.

10.

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 17 (662,665)

Abstract:

Loading...

Advertising; Mutual Funds; Monetary Policy; Panel Threshold Model

11.

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 16 (669,944)

Abstract:

Loading...

Foreign institutional investors; Market index futures; Private information

12.

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

13.

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

14.

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: 11
Actions:
Email selected abstracts
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
Ming-Hung Wu, Hong-Gia Huang, Wei-Che Tsai and Pei-Shih Weng
Beijing Normal University - Zhuhai Campus, National Sun Yat-sen University, Department of Finance, Students, Oregon State University and National Dong Hwa University
Downloads 7

Abstract:

Loading...

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

2.

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

Downloads 4 (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 4

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