Chu-Sheng Tai

Texas Southern University - Department of Accounting and Finance

Professor of Finance

United States

SCHOLARLY PAPERS

15

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Scholarly Papers (15)

1.

Market Integration and Contagion: Evidence From Asian Emerging Stock and Foreign Exchange Markets

Emerging Markets Review, Vol. 8, No. 4, Pages 264-283, 2007
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Market integration, Contagion, Currency risk, Multivariate GARCH-in-Mean

2.

Are Fama-French and Momentum Factors Really Priced?

Journal of Multinational Financial Management, Vol. 13, No. 4-5, Pages 359-384, 2003
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Pricing anomaly, ICAPM, Time-varying risk premium, Multivariate GARCH-M

3.

Can Bank Be a Source of Contagion During the 1997 Asian Crisis?

Journal of Banking and Finance, Vol. 28, No. 2, Pages 399-421, 2004
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Bank; Contagion; Spillover; Risk premium; Multivariate GARCH-M

4.

Can Currency Risk Be a Source of Risk Premium in Explaining Forward Premium Puzzle? Evidence from Asia-Pacific Forward Exchange Markets

Journal of International Financial Markets, Institutions and Money, Vol. 13, No. 4, Pages 291-311, 2003
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Forward premium puzzle, Currency risk premium, Multivariate GARCH

5.

Time-Varying Market, Interest Rate, and Exchange Rate Risk Premia in the U.S. Commercial Bank Stock Returns

Journal of Multinational Financial Management, Vol. 10, No. 3-4, Pages 397-420, 2000
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Bank stock returns; Multivariate GARCH-M; Time-varying risk premium

6.

Time-Varying Risk Premia in Foreign Exchange and Equity Markets: Evidence From Asia–Pacific Countries

Journal of Multinational Financial Management, Vol. 9, No. 3-4, Pages 291-316, 1999
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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International asset pricing; Uncovered interest parity; Foreign exchange risk premium

7.

Contagion: Evidence From International Banking Industry

Journal of Multinational Financial Management, Vol. 14, No. 4-5, Pages 353-368, 2004
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Bank, Contagion, Fama-French factors, Multivariate GARCH-M

8.

Market Integration and Currency Risk in Asian Emerging Markets

Research in International Business and Finance, Volume 21, Issue 1, Pages 98-117, 2007
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Market integration, Currency risk, Asset pricing, Multivariate GARCH-M

9.

Asymmetric Currency Exposure of US Bank Stock Returns

Journal of Multinational Financial Management, Volume 15, Issues 4–5, Pages 455-472, 2005
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Asymmetric currency exposure, Bank, Multivariate GARCH

10.

Looking for Risk Premium and Contagion in Asia-Pacific Foreign Exchange Markets

International Review of Financial Analysis, Volume 13, Issue 4, Pages 381- 409, 2004
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Contagion, Spillover, Time-varying risk premium, Multivariate GARCH-M

11.

A Multivariate GARCH in Mean Approach to Testing Uncovered Interest Parity: Evidence From Asia-Pacific Foreign Exchange Markets

The Quarterly Review of Economics and Finance, Volume 41, Issue 4, Pages 441-460, Winter 2001.
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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UIP, Time-varying risk premium, CAPM, Multivariate GARCH-M

12.

Asymmetric Currency Exposure and Currency Risk Pricing

International Review of Financial Analysis, Volume 17, Issue 4, Pages 647-663, September 2008.
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Time-varying currency risk premium, Asymmetric currency exposure, Multivariate GARCH-M

13.

Looking for Contagion in Currency Futures Markets

The Journal of Futures Markets, Volume 23, Issue10, Pages 957-988, 2003
Posted: 28 Feb 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Currency futures, Contagion, Risk premium, Multivariate GARCH-M

14.

International Diversification During Financial Crises

Managerial Finance, Volume 44, Issue 12, 1434-1445, 2018
Posted: 30 Sep 2019
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Diversification, Asymmetric multivariate GARCH-M, International asset pricing

15.

Foreign Exchange Risk and Risk Exposure in the Japanese Stock Market

Managerial Finance, Vol. 36 Issue: 6, 511 - 524, 2010
Posted: 30 Sep 2019
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Asset Pricing; Foreign Exchange Risk; Risk Exposure; Multivariate Factor GARCH

Other Papers (2)

Total Downloads: 0
1.

How important is global industry shock in explaining the relative performance of global industries?

Managerial Finance, Vol. 37 No. 5, pp. 474-481, 2011
Posted: 19 Sep 2012 Last Revised: 02 Jan 2021
Chu-Sheng Tai and Zahid Iqbal
Texas Southern University - Department of Accounting and Finance and affiliation not provided to SSRN

Abstract:

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Globalization, Exchange Rates, US, Japan

2.

Can Investor Sentiment Be a Channel of Contagion During the 1997 Asian Crisis? Evidence from Closed-End Country Funds

Journal of Accounting and Finance, Volume 14, Issue 6, Page 142-170, 2014
Posted: 30 Aug 2009 Last Revised: 02 Jan 2021
Chu-Sheng Tai
Texas Southern University - Department of Accounting and Finance

Abstract:

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Country Funds, Contagion, Risk premium, Multivariate GARCH-M