Dr. Yaw-Huei Wang (Jeffrey)

 

Contact

Office: R511, Building 2,

College of Management

Tel:  +886-2-33661092

Fax: +886-2-83695581

E-mail:  wangyh at ntu.edu.tw

 

Current Position

 

    Professor

    Department of Finance

    National Taiwan University

 

 

Education

 

    2005, Ph.D. in Accounting and Finance, Lancaster University, UK

 

    1996, MBA in Finance, National Taiwan University, Taiwan

 

    1994, BA in Business Administration, Tunghai University, Taiwan

 

 

Research Interests

 

    Derivatives

 

    Financial Econometrics

 

    Market Risk Management

 

 

Teaching

 

    Undergraduate: Futures and Option Markets

 

    Postgraduate:    Futures and Option Markets

 

 

Market Risk Management

 

Financial Time Series Analysis

 

Financial Econometrics

 

Research

  Publications

Zih-Ying Lin, Chuang-Chang Chang and Yaw-Huei Wang (2018), "The Impacts of Asymmetric Information and Short Sales on the Illiquidity Risk Premium in the Stock Option Market", Journal of Banking and Finance, forthcoming. (NSC-ATier-1, SSCI)

 

Yaw-Huei Wang and Kuang-Chieh Yen (2017), "The Information Content of the Implied Volatility Term Structure on Future Returns", European Financial Management, forthcoming. (NSC-ATier-2, SSCI)

 

Yen-Ming Chen and Yaw-Huei Wang (2017), "The Asymmetric Relation between Time-Varying Risk Aversion and VIX Index", Journal of Futures & Options, 10(3): 45-84. (TSSCI)

 

Yaw-Huei Wang and Kuang-Chieh Yen (2018), "The Information Content of Option-Implied Tail Risk on the Future Returns of the Underlying Asset", Journal of Futures Markets 38, 493-510. (NSC-ATier-2, SSCI)

 

Dian-Xuan Kao, Wei-Che Tsai, Yaw-Huei Wang and Kuang-Chieh Yen (2018), "An Analysis on the Intraday Trading Activity of VIX Derivatives", Journal of Futures Markets 38, 158-174. (NSC-ATier-2, SSCI)

 

Shih-Ping Feng, Mao-Wei Hung and Yaw-Huei Wang (2016), "The Importance of Stock Liquidity on Option Pricing", International Review of Economics and Finance 43, 457-467. (SSCI)

 

Yaw-Huei Wang and Yun-Yi Wang (2016), "The Information Content of Intraday Implied Volatility for Volatility Forecasting", Journal of Forecasting 35, 167-178. (SSCI)

Söhnke M. Bartram and Yaw-Huei Wang (2015), "European Financial Market Dependence: An Industry Analysis ", Journal of Banking and Finance 59, 146-163. (NSC-ATier-1, SSCI)

Wei-Che Tsai, Ying-Tzu Chiu and Yaw-Huei Wang (2015), "The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options", Journal of Futures Markets 35, 715-737. (NSC-ATier-2, SSCI)

Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang (2015), "Sophistication, Sentiment, and Misreaction", Journal of Financial and Quantitative Analysis 50(4), 1-26. (NSC-A+, SSCI)

Shih-Ping Feng, Mao-Wei Hung and Yaw-Huei Wang (2014), "Option Pricing with Stochastic Liquidity Risk: Theory and Evidence", Journal of Financial Markets 18, 77-95. (NSC-ATier-1, SSCI).

Yaw-Huei Wang (2013), "Volatility Information in the Trading Activity of Stocks, Options and Volatility Options", Journal of Futures Markets 33, 752-773. (NSC-ATier-2, SSCI)

Chuang-Chang Chang, Pei-Fang Hsieh, Chih-Wei Tang and Yaw-Huei Wang (2013), "The intraday behavior of information misreaction across various categories of investors in the Taiwan options market", Journal of Financial Markets 16, 362-385. (NSC-ATier-1, SSCI)

Chuang-Chang Chang, Jun-Biao Lin, Wei-Che Tsai and Yaw-Huei Wang (2012), "Using Richardson extrapolation techniques to price American options with alternative stochastic processes", Review of Quantitative Finance and Accounting 39, 383-406. (NSC-A-)

Teng-Hao Huang and Yaw-Huei Wang (2012), "The Volatility and Density Prediction Performance of Alternative GARCH Models", Journal of Forecasting 31, 157- 171. (SSCI)

Yaw-Huei Wang (2012), "Reply to "A Comment on “A new simple square root option pricing model”"", Journal of Futures Markets 32, 199-202. (NSC-ATier-2, SSCI)

San-Lin Chung, Wei-Che Tsai, Yaw-Huei Wang and Pei-Shih Weng (2011), "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 31, 1170-1201. (NSC-ATier-2, SSCI)

Robin, K. Chou, San-Lin Chung, Yu-Jen Hsiao and Yaw-Huei Wang (2011), "The Impact of Liquidity on Option Prices", Journal of Futures Markets 31, 1116-1141. (NSC-ATier-2, SSCI)

Yaw-Huei Wang and Yu-Jen Hsiao (2010), "The Impact of Non-trading Periods on the Measurement of Volatility", Review of Pacific Basin Financial Markets and Policies 13, 607-620. (NSC-B)

Antonio Camara and Yaw-Huei Wang (2010), "A New Simple Square Root Option Pricing Model", Journal of Futures Markets 30, 1007-1025. (NSC-ATier-2, SSCI)

Stephen J. Taylor and Yaw-Huei Wang (2010), "Option Prices and Risk-neutral Densities for Currency Cross-rates", Journal of Futures Markets 30, 324-360. (NSC-ATier-2, SSCI)

Yaw-Huei Wang and Yun-Yi Wang (2010), "Intraday Volatility Patterns in the Taiwan Stock Market and the Impact on Volatility Forecasting", Asia-Pacific Journal of Financial Studies 39, 70-89. (NSC-B+, SSCI)

Chuang-Chang Chang, Pei-Fang Hsieh and Yaw-Huei Wang (2010), "Information Content of Options Trading Volume for Future Volatility: Evidence from the Taiwan Options Market", Journal of Banking and Finance 34, 174-183. (NSC-ATier-1, SSCI)

Yaw-Huei Wang (2009), "The Impact of Jump Dynamics on the Predictive Power of Option-Implied Densities", Journal of Derivatives 16 (3), 9-22. (NSC-ATier-2 SSCI)

Antonio Camara, San-Lin Chung and Yaw-Huei Wang (2009), "Option Implied Cost of Equity and Its Properties", Journal of Futures Markets 29, 599-629. (NSC-ATier-2, SSCI)

Chuang-Chang Chang, Ruey-Jenn Ho, Tzu-Hsiang Liao and Yaw-Huei Wang (2009),The Analysis of Loan Guarantees with Contingent Liability: The Barrier Option Approach”, Journal of Financial Studies 17 (3), 73-102. (TSSCI, Written in Chinese)

Yaw-Huei Wang and Pei-Shih Weng (2009), “Asymmetry and Long Memory in the Dynamics of Interest Rate Volatility”, Journal of Futures and Options 1(2), 109-132.

Chih-Chiang Hsu, Chih-Ping Tseng and Yaw-Huei Wang (2008), "Dynamic Hedging with Futures: A Copula-based GARCH Model", Journal of Futures Markets 28, 1095-1116. (NSC-ATier-2, SSCI)

San-Lin Chung and Yaw-Huei Wang (2008), "Bounds and Prices of Currency Cross-Rate Options", Journal of Banking and Finance32, 631-642. (NSC-ATier-1, SSCI)

Söhnke M. Bartram, Stephen J. Taylor and Yaw-Huei Wang (2007), "The Euro and European Financial Market Dependence", Journal of Banking and Finance 31, 1461-1481. (NSC-ATier-1, SSCI)

Yaw-Huei Wang and Chih-Chiang Hsu (2007), "Short Memory, Long Memory and Jump Dynamics in Global Financial Markets", Journal of Financial Studies 15 (2), 43-68. (TSSCI)

Yaw-Huei Wang, Aneel Keswani and Stephen J. Taylor (2006), "The Relationships between Sentiment, Returns and Volatility", International Journal of Forecasting 22, 109-123. (SSCI)

Söhnke M. Bartram and Yaw-Huei Wang (2005),  "Another Look at the Relationship between Cross-market Correlation and Volatility", Finance Research Letters 2, 75-88. (NSC-B+, SSCI)

  Working Papers

"Implied Volatility Spreads and Future Options Returns around Information Events and Conditions " with Chuang-Chang Chang and Zih-Ying Lin.

"Optimal Portfolio Allocation with Option-Implied Moments: A Forward-Looking Approach" with Tzu-Ying Chen and San-Lin Chung.

"The Volatility Information Implied in the Term Structure of VIX" with Kai-Jiun Chang and Mao-Wei Hung.

"Additional Volatility Component, Volatility Jumps, and the Pricing of VIX Derivatives" with Chien-Ling Lo, Pai-Ta Shih and Min-Teh Yu.

"How Is Volatility Information Generated from Trading Activities of Derivatives? " with Kuang-Chieh Yen.

 

 Research Grants

2005 MoST Project: Revisiting the Option Bounds and Prices of Currency Cross-rates. (1 year)

2005 MoST Program for Promoting Academic Excellence of Universities: Empirical Derivatives Research. (4 years)

2006 MoST Project: The Empirical Studies on the Option Pricing Models with Stochastic Volatility and Jumps. (3 years)

2008 MoST Project: A New Square Root Option Pricing Model - Theoretical and Empirical Studies. (2 years)

2010 MoST Project: The Empirical Studies on the Information Content of VIX Options. (3 years)

2012 MoST Project: The Information Content of the Term Structures of VIX Index and Futures. (3 years)

2014 MoST Research-leave Project: The Predictive Power of Option Implied Extreme Value Information. (1 year visiting at Warwick Business School)

2016 MoST Project: The Information Content of Trading Activities across Spot and Derivatives Markets for the Price Dynamics of the Spot Asset. (4 years)

 

Honors

Full scholarship for studying PhD, 1999, Ministry of Education, Taiwan.

Award for MoST Project Principal Investigator, 2005-2019.

MoST Project for Outstanding Young Scholars, 2012-2015 & 2016-2019

 

Professional Associations

European Finance Association

Financial Management Association

European Financial Management Association

Taiwan Finance Association

Taiwan Econometrics Association

 

Academic Services

Associate Editor of Journal of Futures Markets since 2018/July.

Associate Editor of Journal of Futures and Options since 2011.

Guest Editor of NTU Management Review for the special issue on Financial Engineering and Risk Management in 2011.

Guest Editor of Journal of Financial Studies for the special issue on Financial Engineering and Risk Management in 2017.

Papers refereed for: Journal of Financial & Quantitative Analysis, Journal of Banking & Finance, Journal of Futures Markets, Journal of Financial Econometrics, Journal of Applied Econometrics, Journal of International Financial Markets, Institutions & Money, Journal of Multinational Financial Management, Financial Review, European Journal of Finance, Pacific-Basin Finance Journal, Quarterly Review of Economics and Finance, Journal of Financial Studies, NTU Management Review, Review of Securities and Futures Markets.