Thomas Chinan Chiang

Drexel University - Department of Finance

Marshall M. Austin Professor

32nd & Chestnut Streets

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

20

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4,240

SSRN CITATIONS
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SSRN RANKINGS

Top 9,533

in Total Papers Citations

27

CROSSREF CITATIONS

102

Scholarly Papers (20)

1.

The Dynamic Correlation between Stock and Bond Returns: Evidence from the U.S. Market

Number of pages: 43 Posted: 22 Mar 2009
Thomas Chinan Chiang and Jiandong Li
Drexel University - Department of Finance and Central University of Finance and Economics
Downloads 1,085 (23,051)
Citation 2

Abstract:

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Stock-bond correlation,Volatility, DCC model, Fed model, Credit spread

2.

The Dynamic Correlation between Stock and Bond Returns

Number of pages: 41 Posted: 19 Mar 2009
Thomas Chinan Chiang and Jiandong Li
Drexel University - Department of Finance and Central University of Finance and Economics
Downloads 532 (60,726)
Citation 1

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Stock-bond correlation, Volatility, DCC model, Fed model, Credit spread

3.

Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Countries

Journal of International Money and Finance, Vol. 26, No. 7, 2007
Number of pages: 23 Posted: 23 Nov 2008
Thomas Chinan Chiang, Bang Nam Jeon and Humin Li
Drexel University - Department of Finance, Drexel University - Department of Economics & International Business and West Chester University of Pennsylvania - School of Business and Public Affairs - Department of Economics and Finance
Downloads 456 (73,521)
Citation 15

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Financial contagion, Asian crises, Herding, Dynamic correlation coefficient, Sovereign rating

4.

Returns and Volatility Asymmetries in Global Stock Markets

Number of pages: 35 Posted: 13 Jul 2002
Thomas Chinan Chiang, Cathy W. S. Chen and Mike K. P. So
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 384 (89,944)

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Asymmetry, Threshold GARCH, Stock returns, Volatility, Bayesian Estimation

5.

Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches

Drexel College of Business Research Paper No. 2008-03
Number of pages: 43 Posted: 07 Jan 2008
Thomas Chinan Chiang, Hooi Hooi Lean and Wing-Keung Wong
Drexel University - Department of Finance, Universiti Sains Malaysia and Asia University, Department of Finance
Downloads 368 (94,548)
Citation 2

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stochastic dominance, risk, REITs, stock, fixed-income assets,

Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications

Multinational Finance Journal, Vol. 17, No. 3/4, p. 165-200, 2013
Number of pages: 36 Posted: 18 Jun 2015
Thomas Chinan Chiang, Jiandong Li, Lin Tan and Edward Nelling
Drexel University - Department of Finance, Central University of Finance and Economics, California State Polytechnic University, Pomona and Drexel University - Department of Finance
Downloads 217 (163,681)

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herding behavior, stock return dispersion, kalman filter, nonlinearity, pacific-basin markets

Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications

Multinational Finance Journal, 2013, vol. 17, no. 3/4, pp. 165-200
Number of pages: 38 Posted: 14 Jun 2013 Last Revised: 27 Nov 2014
Thomas Chinan Chiang, Jiandong Li, Lin Tan and Edward Nelling
Drexel University - Department of Finance, Central University of Finance and Economics, California State Polytechnic University, Pomona and Drexel University - Department of Finance
Downloads 148 (230,291)

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Herding behavior, Stock return dispersion, Kalman filter, Nonlinearity, Pacific-Basin markets

7.

New Evidence on the Relation between Return Volatility and Trading Volume

Number of pages: 26 Posted: 20 Jun 2010
Thomas Chinan Chiang, Zhuo Qiao and Wing-Keung Wong
Drexel University - Department of Finance, University of Macau and Asia University, Department of Finance
Downloads 270 (132,466)
Citation 8

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Return Volatility, Trading Volume, Nonlinear Granger Causality, High Frequency Data

8.

Evidence of Stock Returns and Abnormal Trading Volume: A Quantile Regression Approach

Number of pages: 33 Posted: 28 Jan 2015
Cathy W. S. Chen, Mike K. P. So and Thomas Chinan Chiang
Feng Chia University - Department of Statistics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Drexel University - Department of Finance
Downloads 228 (156,513)

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Quantile regression; Volume Asymmetric; GARCH; HP-filter; Market beta; MCMC

9.

Phase Distribution and Phase Correlation of Financial Time Series

Physical Review E, Vol. 73, 016118, 2006
Number of pages: 13 Posted: 13 Dec 2005
Ming-Chya Wu, Ming-Chang Huang, Hai-Chin Yu and Thomas Chinan Chiang
Institute of Physics, Academia Sinica, Chung Yuan Christian University, Chung Yuan Christian University and Drexel University - Department of Finance
Downloads 211 (168,412)

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Phase Distribution, High Frequency, Levy's Stable Distribution, Intraday Data

10.

Asymmetrical Responses to Stock Return News - Evidence from Global Markets Based on a Bayesian Model

Number of pages: 40 Posted: 28 May 2009
Thomas Chinan Chiang, Cathy W. S. Chen and Mike K. P. So
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 104 (299,132)

Abstract:

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Asymmetry, threshold GARCH, volatility, Bayesian model

11.

Empirical Evidence of Co-Movements between China and Global Stock Markets

26th Australasian Finance and Banking Conference 2013
Number of pages: 62 Posted: 18 Aug 2013
Thomas Chinan Chiang, Lanjun Lao and Qingfeng Xue
Drexel University - Department of Finance, Fudan University and Fudan University
Downloads 80 (352,905)

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Stock market linkages, Smooth transition, Variance premium, Conditional variance, DCC model, Comovements

12.

Downside Risk and Stock Returns: An Empirical Analysis of the Long-Run and Short-Run Dynamics from the G-7 Countries

SFB 649 Discussion Paper 2016-001, Economic Risk, Berlin
Number of pages: 53 Posted: 27 Jun 2016
Cathy Chen, Thomas Chinan Chiang and Wolfgang K. Härdle
Chung Hua University, Drexel University - Department of Finance and Blockchain Research Center
Downloads 64 (398,819)
Citation 5

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Downside risk; Value -at -Risk; Risk-return

13.

Empirical Evidence of Comovements between China and Global Stock Markets

Number of pages: 62 Posted: 25 Aug 2013
Thomas Chinan Chiang, Lanjun Lao and Qingfeng Xue
Drexel University - Department of Finance, Fudan University and Fudan University
Downloads 38 (498,833)

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14.

Asymmetric Return and Volatility Responses to Composite News from Stock Markets

Multinational Finance Journal, Vol. 11, No. 3/4, p. 179-210, 2007
Number of pages: 32 Posted: 26 Jun 2015
Thomas Chinan Chiang, Cathy W. S. Chen and Mike K. P. So
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 27 (555,992)

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asymmetry; threshold GARCH; volatility; Bayesian estimation; posterior-odds ratio

15.

Are the Combinations of Health Care Sector and T-Bill One of the Best Choices for Investment?

Number of pages: 28 Posted: 27 Jun 2019
Zhihui Lv, Amanda Chu, Thomas Chinan Chiang and Wing-Keung Wong
Northeast Normal University - KLASMOE & School of Mathematics and Statistics, affiliation not provided to SSRN, Drexel University - Department of Finance and Asia University, Department of Finance
Downloads 18 (614,498)

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Health Care Sector, T-Bill, Mean-Variance Portfolio Optimization, Mean-Risk Rules, Stochastic Dominance

16.

Should Investors Choose Both the Highest-Return and Small-Variance Assets When the Mean-Variance Rule Says No? A Study of Health Care and T-Bill in the Investment

Number of pages: 47 Posted: 08 Mar 2020
Zhihui Lv, Amanda M. Y. Chu, Thomas Chinan Chiang and Wing-Keung Wong
Northeast Normal University - KLASMOE & School of Mathematics and Statistics, affiliation not provided to SSRN, Drexel University - Department of Finance and Asia University, Department of Finance
Downloads 10 (671,437)
Citation 1

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Health care sector; T-Bill; Mean-variance portfolio optimization; Mean-risk rules; Stochastic dominance

17.

Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time‐Varying Transition Probability Models

European Financial Management, Vol. 22, Issue 5, pp. 749-796, 2016
Number of pages: 48 Posted: 22 Nov 2016
Cathy Yi‐Hsuan Chen and Thomas Chinan Chiang
University of Glasgow, Adam Smith Business School and Drexel University - Department of Finance
Downloads 0 (763,466)
Citation 1
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downside risk, Value‐at‐Risk, transition probability model, risk–return relationship

18.

Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach

Japanese Economic Review, Vol. 67, Issue 1, pp. 96-124, 2016
Number of pages: 29 Posted: 22 Feb 2016
Cathy W. S. Chen, Mike K. P. So and Thomas Chinan Chiang
Feng Chia University - Department of Statistics, Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Drexel University - Department of Finance
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19.

Liquidity and Stock Returns: Evidence from International Markets

Global Finance Journal, Vol. 26, No. 2, 2015
Posted: 03 Feb 2015
Thomas Chinan Chiang and Dazhi Zheng
Drexel University - Department of Finance and West Chester University of Pennsylvania

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Asset pricing, liquidity, Fama-French three-factor model, international stock market

20.

Statistical Properties, Dynamic Conditional Correlation, Scaling Analysis of High-Frequency Intraday Stock Returns: Evidence from Dow-Jones and Nasdaq Indices

Physica A, Vol. 8, No. 388, pp. 1555-1570, 2009, Drexel University Working Paper, 18TH Australian Banking and Finance Annual Meeting 2005 in Sydney, Eastern Finance Association 2006 Annual Meeting in Philadelphia, USA
Posted: 08 May 2006 Last Revised: 13 Aug 2009
Thomas Chinan Chiang, Hai-Chin Yu and Ming-Chya Wu
Drexel University - Department of Finance, Chung Yuan Christian University and Institute of Physics, Academia Sinica

Abstract:

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High Frequency, Probability Distribution, Financial Markets, Dynamic Conditional Correlation, Panel Data.