Thomas Chinan Chiang

Drexel University - Department of Finance

Marshall M. Austin Professor

32nd & Chestnut Streets

Philadelphia, PA 19104

United States

  • Drexel University - Department of Finance

    • Email
    • Tel: 215-895-1745
SCHOLARLY PAPERS

19

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48

CROSSREF CITATIONS

100

Scholarly Papers (19)

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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 1,172 (31,717)
Citation 2

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

2.

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

Downloads 570 (83,588)
Citation 10

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 382 (133,646)
Citation 1

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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 188 (274,126)

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

3.

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 569 (83,767)
Citation 1

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

4.

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 493 (100,059)
Citation 29

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

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 413 (123,353)
Citation 2

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

6.

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 401 (127,567)

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

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 296 (177,242)
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 274 (191,963)
Citation 1

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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 233 (225,225)

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

10.

Inflation Risk and Stock Returns: Evidence from Us Aggregate and Sectoral Markets

Number of pages: 46 Posted: 02 Aug 2022
Thomas Chinan Chiang
Drexel University - Department of Finance
Downloads 140 (351,791)

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stock return, inflation, monetary policy uncertainty, proxy effect, Fisher hypothesis, equity market volatility

11.

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 114 (410,501)

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Asymmetry, threshold GARCH, volatility, Bayesian model

12.

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 97 (459,871)

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

13.

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 Karl Härdle
Chung Hua University, Drexel University - Department of Finance and Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 88 (489,282)
Citation 5

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

14.

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 50 (658,271)

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15.

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 46 (681,983)
Citation 2

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

16.

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 46 (681,983)

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

17.

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 41 (714,118)

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

18.

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

19.

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.