2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
The 8th NCTU International Finance Conference
第八屆交通大學財務金融國際研討會
Conference Theme: Financial Industry and Strategies of
Developing Financial Markets
會議主題：金融產業與金融市場發展之策略
時間(Date)：104 年 1 月 13 日（星期二）8：30 AM --18：30 PM
(8：30 AM ~18：30 PM, Tuesday, January 13, 2015)
地點(Location)：國立交通大學光復校區電子與資訊研究中心 1 樓
(1st floor, Microelectronics and Information Systems Research
Center, Kuang-Fu Campus, NCTU)
Program Co-Directors:
Cheng-Few Lee, Rutgers University, USA
Tian-Shyr Dai, National Chiao Tung University, Taiwan
主辦單位(Conference Organizers)：
Department of Information Management and Finance, National Chiao Tung
University, Taiwan 國立交通大學資訊管理與財務金融學系
Foundation of Pacific Basin Financial Research and Development, Taiwan
財團法人亞太金融研究發展基金會
Rutgers Business School, Rutgers University, USA 美國羅格斯大學商學院
指導單位(Advisor)：
Ministry of Science and Technology, Republic of China 中華民國科技部
合辦單位(Conference Co-Organizers)：
College of Management, National Chiao Tung University, Taiwan 國立交通大學管
理學院
Executive Master of Business Administration (EMBA), National Chiao Tung
University, Taiwan 國立交通大學EMBA
Department of Finance, Kainan University, Taiwan 開南大學財務金融學系
College of Technology Management, National Tsing Hua University,Taiwan 國立清
華大學科技管理學院
Research Center for Humanities and Social Sciences, National Tsing Hua University,
Taiwan 國立清華大學人文社會研究中心
贊助單位(Sponsors)：
Compal Electronics, INC. 仁寶電腦工業股份有限公司
Cultural & Educational Foundation, Shanghai Commercial & Savings Bank, Ltd.,
Taiwan 上海商業儲蓄銀行文教基金會
GreTai Securities Market, Taiwan 證券櫃檯買賣中心
Maywufa Company Ltd., Taiwan 美吾華股份有限公司
Taishin Financial Holding Co., Ltd., Taiwan 台新金控
Taiwan Depository & Clearing Corporation 臺灣集中保管結算所
Taiwan Futures Exchange 臺灣期貨交易所
Taiwan Stock Exchange Corporation 臺灣證券交易所
Tung Ho Steel Enterprise Corporation, Taiwan 東和鋼鐵企業股份有限公司
1
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
主辦單位聯繫方式:
Tel.: (03)571-2121 Ext. 57080 Fax: (03)571-8548 (Ms. Rita Liu 劉小姐)
Add.: 300 新竹市大學路 1001 號 國立交通大學財務金融研究所 409R
Email: cflee@mail.nctu.edu.tw
2
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
The 8th NCTU International Finance Conference
第八屆交通大學財務金融國際研討會
~∙~ Agenda ~∙~
8:30~9:00
Registration 報到
9:00~9:05
Opening Remarks 致歡迎詞
9:05~9:15
Welcome Remarks 院長致辭
9:15~9:30
Remarks by Honorary Guest 貴賓致詞
9:30~10:15
(45mins)
Keynote Speech (1) 專題演講(1)
Speaker: Edward Kane, Professor of Finance, Boston College, USA
10:15~11:00
(45mins)
Keynote Speech (2) 專題演講(2)
Speaker: Khee Giap Tan, Chairman, Singapore National Committee
for Pacific Economic Cooperation and Co-Director, Asia
Competitiveness Institute at Lee Kuan Yew School of Public Policy,
National University of Singapore
國際會議廳
11:00~11:15
休息 Tea Break
Lobby 大廳
11:15~12:40
(85mins)
Panel Session I.
Lobby 大廳
Bank Risk Management 銀行風險管理
Academic Session I.
Corporate Finance (A)
Academic Session II.
Real Estate Finance
Academic Session III.
12:40~13:40
13:40~15:05
(85mins)
Economics & Financial Policy
International
Conference Hall
國際會議廳
Conference Room 101
第一會議室
Conference Room 104
第三會議室
Conference Room 106
第四會議室
Conference Room
104&106
午餐 Lunch Time
Panel Session II.
International
Conference Hall
第三、四會議室
兩岸金融發展的十字路口
Academic Session IV.
Academic Session V.
Academic Session VI.
15:05~15:20
休息 Tea Break
15:20~16:45
(85mins)
Academic Session VII.
Asset Pricing & Investment Analysis
Corporate Finance (B)
Microstructure
國際會議廳
Conference Room 101
第一會議室
Conference Room 104
第三會議室
Conference Room 106
第四會議室
Lobby 大廳
International Finance
Academic Session VIII. Option & Future Market
Academic Session IX.
International
Conference Hall
Financial Accounting &
Corporate Finance
Conference Room 101
第一會議室
Conference Room 104
第三會議室
Conference Room 106
第四會議室
3
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
16:45~17:00
休息 Tea Break
17:00~18:25
(85mins)
Academic Session X.
Academic Session XI.
Lobby 大廳
Financial Econometrics
Investment Analysis
Conference Room 101
第一會議室
Conference Room 106
第四會議室
4
Information Systems Research Center 1F,
Kuang-Fu Campus, National Chiao Tung University)
Conference Location: 國立交通大學光復校區電
子與資訊研究中心 1 樓(Microelectronics and
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
2016/2/8
5
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
The 8th NCTU International Finance Conference
~∙~ Detailed Program ~∙~
8:30~9:00
9:00~9:05
Registration 報到
Opening Remarks 致歡迎詞
Cheng-Few Lee, Distinguished Professor, Rutgers University, USA
Welcome Remarks 院長致辭
9:05~9:15
Min-Teh Yu, Dean, College of Management, National Chiao Tung
University, Taiwan
Remarks by Honorary Guest 貴賓致詞
9:15~9:30
9:30~10:15
(45 mins)
Tang-Chieh Wu, Political Deputy Minister, Ministry of Finance, Taiwan
(吳當傑政務次長 財政部)
Keynote Speech (1) 專題演講(1)
Evidence of Safety-Net Expansion During the Great Recession
Chairperson: Min-Teh Yu, National Chiao Tung University, Taiwan
Speaker: Edward Kane, Professor of Finance, Boston College, USA
International
Conference
Hall
國際
會議廳
Keynote Speech (2) 專題演講(2)
Making ASEAN a Competitive Regional Hub for Trade,
Business and Services through Inclusive Development
10: 15~11:00
(45 mins)
Chairperson: Huimin Chung, National Chiao Tung University, Taiwan
Speaker: Khee Giap Tan, Chairman, Singapore National Committee for
Pacific Economic Cooperation and Co-Director, Asia Competitiveness
Institute at Lee Kuan Yew School of Public Policy, National University of
Singapore(陳企業博士 新加坡太平洋經濟合作委員會主席暨新加坡國立
大學李光耀公共政策學院亞洲競爭力研究所所長)
11:00~11:15
Tea Break 休息
11:15~12:40
(85 mins)
Panel Session I. Bank Risk Management 銀行風險管理
Chairperson: Min-Teh Yu, Dean, College of Management, National Chiao
Tung University, Taiwan (俞明德院長 交大管理學院)
Panelists:
1. Andy Dong, Vice President, Bank SinoPac, Taiwan(董夢雲副總經理 永
豐金控結構商品開發部)
2. Dar Yeh Hwang, Professor, Department of Finance, National
Taiwan University; Director, Center for the Study of Banking and Finance
National Taiwan University, Taiwan (黃達業教授 台大財金系暨台大金
融研究中心主任)
3. Hsuan Min Kuo, Chief Risk Officer, Yuanta Financial Holding Co., Ltd,
Taiwan (郭軒岷風控長 元大金控)
4. Lee-Rong Wang, Vice President and Director, Financial Research
Institute, Taiwan Academy of Banking and Finance, Taiwan (王儷容院
務委員兼任金融研究所所長 台灣金融研訓院)
6
International
Conference
Hall
國際
會議廳
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
Academic Session I. Corporate Finance (A)
Chairperson: Sheng-Syan Chen, National Taiwan University, Taiwan
1. Corporate Decisions of Investment, Leverage and Dividend Payment:
Revisited
Cheng-Few Lee, Rutgers University, USA
Woan-lih Liang, National Chiao Tung University, Taiwan
Yating Yang, National Chiao Tung University, Taiwan
Conference
Room 101
2. Inside Debt and Cost of Equity
第一
會議室
Carl Hsin-han Shen, National Central University, Taiwan
Hao Zhang, Rochester Institute of Technology, USA
3. Corporate Governance, Tax Avoidance, And Firm Value: International
Evidence
Nan-Ting Kuo, National Central University, Taiwan
4. Why Do the Holding of Liquid Assets of U.S. Banks Decrease Over Time?
I-Ju Chen, Yuan-Ze University, Taiwan
Academic Session II. Real Estate Finance
Chairperson: Chiuling Lu, National Taiwan University, Taiwan
1. A Simplified Approach for Valuing Annuity Reverse Mortgage
Jow-Ran Chang, National Tsing Hua University, Taiwan
Jing-Tang Tsay, National Taipei University, Taiwan
Larry J. Prather, Southeastern Oklahoma State University, USA
Che-Chun Lin, National Tsing Hua University, Taiwan
Conference
Room 104
2. Funding Liquidity, Market Liquidity and Housing Starts
Yao-Min Chiang, National Taiwan University, Taiwan
Jarjisu Sa-Aadu, University of Iowa, USA
James D. Shilling, DePaul University, USA
第三會
議室
3. Are Tail Behaviors of Real Estate Investment Trusts Anomalous?
Evidence from Extreme Value Theory
Ming-Chu Chiang, National Yunlin University of Science and Technology,
Taiwan
I-Chun Tsai, National University of Kaohsiung, Taiwan
4. The Choice of Organizational Form: Evidence from UK Real Estate
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2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
Chiuling Lu, National Taiwan University, Taiwan
John Mao, George Washington University, USA
Jarjisu Sa-Aadu, University of Iowa, USA
Academic Session Ⅲ. Economics & Financial Policy
Chairperson: Chuang-Chang Chang, Asian University &National Central
University, Taiwan
1. Recognizing the Role of FDI and the Requirements of Institutional
Reform in Vietnam
Do Thien Anh Tuan, Fulbright Economics Teaching Program in Vietnam
Cao Hao Thi, Saigon Technology University, Vietnam
2. Market Liquidity, Funding Liquidity, and Hedge Fund Performance
Mahmut Ilerisoy, University of Iowa, USA
Jay Sa-Aadu, University of Iowa, USA
Ashish Tiwari, University of Iowa, USA
Conference
Room 106
第四會
議室
3. Credit Crunch and Saving Glut in Taiwan: Empirical Evidences
Cheng-Few Lee, Rutgers University, USA
Chiung-Min Tsai, The Central Bank of China, Taiwan
Lie-Jane Kao, KaiNan University, Taiwan
4. Export Spillover from FDI: Evidence from Taiwan’s Electronics Industry
Naiwei Chen, Jiangxi Normal University, China
Ho-Chyuan Chen, National Chung Cheng University, Taiwan
Rong-Siou Lin, National Chung Cheng University, Taiwan
12:40~13:40
(60mins)
13:40~15:05
(85 mins)
Lunch Time 午餐
Panel Session II. 兩岸金融發展的十字路口
Chairperson: Yin-Hua Yeh, National Chiao Tung University, Taiwan
(葉銀華教授 交大財金所)
Panelists:
1. Chung Min-Min, Head, Nanjing Branch, Bank SinoPac (鍾敏敏行長 永
豐銀行南京子行)
2. Shen Qing, Deputy General Manager, Taipei Branch, Bank of China (沈
慶副總經理 中國銀行台北分行)
3. Chung-Hua Shen, Professor, Department of Finance, National Taiwan
University (沈中華教授 台大財金系)
International
Conference
Hall
國際
會議廳
Conference
Room 101
Academic Session Ⅳ. Asset Pricing & Investment
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2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
第一
會議室
Analysis
Chairperson: Shin-Huei Wang, National Tsing Hua University, Taiwan
1. Persistence of Performance on the Mutual Fund during Pre- and PostFinancial Crisis
Sue-Fung Wang, National Chiao Tung University, Taiwan
Yi -Cheng Shih, National Taipei University, Taiwan
Hui-Chun Lin, National Chiao Tung University, Taiwan
2. Multi-factor Pricing Models Do Not Price Systematic Risk Factors
Uncorrelated with the Market Portfolio
Lie-Jane Kao, KaiNan University, Taiwan
Cheng-Few Lee, Rutgers University, USA
3. Alternative Alphas from Hedge Fund ETF Speculation
Peter C.L. Lin, Stevens Institute of Technology, USA
4. A Tale of Two Days and Investor Sentiment
Konan Chan, National Chengchi University, Taiwan
Chris Lien, National Chengchi University, Taiwan
Yanzhi Wang, National Taiwan University, Taiwan
Academic Session Ⅴ. Corporate Finance (B)
Chairperson: Konan Chan, National Chengchi University, Taiwan
1. Do Corporate Cash Holdings Decrease the Impact of Tail Risk Spillovers
from the Financial Sector? Evidence from Europe
Wan-Chien Chiu, University of Glasgow, UK
Juan Ignacio Peña, Universidad Carlos III de Madrid, Spain
Chih-Wei Wang, Central University of Finance and Economics, China
2. The Joint Determination of Capital Structure and Stock Rates of Return
Cheng Few Lee, Rutgers University, USA
Tzu Tai, Rutgers University, USA
3. Government Intervention and Equity Liquidity in the Sub-prime Crisis
Period: Evidence from the ETF Market
Junmao Chiu, Yuan Ze University, Taiwan
Huimin Chung, National Chiao Tung University, Taiwan
Kunchi Tsai, National Chiao Tung University, Taiwan
4. Say-on-pay Votes and CEO Compensation
9
Conference
Room 104
第三
會議室
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
Chun-Hua Tang, National Sun Yat-sen University, Taiwan
Academic Session Ⅵ. Microstructure
Chairperson: Robin K. Chou, National Chengchi University, Taiwan
1. Market Panic and Order Type Choice
Matthew C. Chang, Hsuan Chuang University, Taiwan
Chih-Ling Tsai, University of California, Davis, USA
Rebecca Chung-Fern Wu, National Taiwan University, Taiwan
Ning Zhu, Shanghai Advanced Institute of Finance (SAIF), Shanghai
Jiaotong University, China
2. Why Do Firms Issue SEOs and Increase Dividends Simultaneously?
Evidence from U.S. Firms
Amy Yueh-Fang Ho, Providence University, Taiwan
Chih-Jen Huang, Providence University, Taiwan
Cheng-Yu Wu, Providence University, Taiwan
Min-Teh Yu, National Chiao Tung University, Taiwan
Conference
Room 106
第四
會議室
3. Information Risk and Price Continuation
Alex YiHou Huang, National Chiao Tung Unversity, Taiwan
Chiao-Ming Cheng, Yuan Ze University, Taiwan
4. The Effects of Margin Changes on the Composition of Traders and
Market Liquidity: Evidence from the Taiwan Futures Exchange
Robin K. Chou, National Chengchi University, Taiwan
George H. K. Wang, George Mason University, USA
Yun-Yi Wang, Feng-Chia University, Taiwan
15:05~15:20
休息 Tea Break
15:20~16:45
(85 mins)
Academic Session Ⅶ. International Finance
Chairperson: Yin-Feng Gau, National Central University, Taiwan
1. The Dynamics of Renminbi Exchange Rate Convergence: Evidence from
Rolling Cointegration Analysis
Chun-Chie Huang, National Chi Nan University, Taiwan
Pei-Fen Chen, National Chi Nan University, Taiwan
2. Foreign Exchange Intervention in Asian Countries: What Determines the
Odds of Success of During the Credit Crisis
10
Conference
Room 101
第一會
議室
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
Mei-Ching Chang, National Chengchi University, Taiwan
Sandy Suardi, La Trobe University, Australia
Yuanchen Chang, National Chengchi University, Taiwan
3. Home Bias in Portfolio Choices: Social Learning amongst
Partially-informed Agents
Wen-Lin Wu, Feng-Chia University, Taiwan
Yin-Feng Gau, National Central University, Taiwan
4. Are Disasters the Matters for the Japanese Exchange Rate Market?
Cindy S.H. Wang, National Tsing Hua University, Taiwan
Shih Ti, Yu, National Tsing Hua University, Taiwan
Andrew Y.M. Xie, University of Southern California, U.S.A
Academic Session Ⅷ. Option & Future Market
Chairperson: Tian-Shyr Dai, National Chiao Tung University, Taiwan
1. Further Evidence on the Explanatory Power of Spot Food and Energy
Prices for Futures Contracts Prices
Phillip A. Cartwright, ESG Management School, France
Natalija Riabko, FranceAgriMer, France
2. Information about Price and Volatility Jumps Inferred from Options
Prices
Stephen J. Taylor, Lancaster University, UK
Chi-Feng Tzeng, National Tsing Hua University, Taiwan
Martin Widdicks, University of Illinois at Urbana-Champaign, USA
Conference
Room 104
第三會
議室
3. Liquidity Providing in Arbitrage by Trader Types: Evidence from the
Taiwan Index Option Market
Chin-Ho Chen, National Chiao Tung University, Taiwan
Junmao Chiu, Yuan Ze University, Taiwan
Huimin Chung, National Chiao Tung University, Taiwan
4. Political Uncertainty and Credit Derivatives
Rui Zhong, Central University of Finance and Economics, China
5. Do Foreign Institutions Outperform in the Taiwan Options Market?
William T. Lin, Tamkang University, Taiwan
Shih-Chuan Tsai, National Taiwan Normal University, Taiwan
Peter Chiu, Tamkang University, Taiwan
11
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
Academic Session Ⅸ.
Finance
Financial Accounting & Corporate
Chairperson: Han-Hsing Lee, National Chiao Tung University, Taiwan
1. Does IFRS Provide More Relevant Information for Evaluating Systematic
Risk?
Chin-Chen Chien, National Cheng Kung University, Taiwan
Hsuan-Chu Lin, National Cheng Kung University, Taiwan
She-Chih Chiu, National Cheng Kung University, Taiwan
Chia-Chen Liang, National Cheng Kung University, Taiwan
2. The Effect of ERP Systems Competences on Business Process and
Organizational Performance
Songsheng Chen, Beijing Institute of Technology, China
Mohamed Z. Elbashir, Qatar University, Qatar
Xiaofeng (Sheldon) Peng, University of Toledo, USA
David X Zhu, California State University, Stanislaus, USA
Conference
Room 106
第四會
議室
3. The Time Effect of Corporate Diversification
Zhongda He, Central University of Finance and Economics, China
4. Can Policies Induce Corporate Investment? -A Study of Cost of Capital
David Sun, Kainan University, Taiwan
5. Information Disclosure, Product Market Competition, and Firm Value
Lee-Hsien Pan, National Chung Cheng University, Taiwan
Shih-Cheng Lee, Yuan Ze University, Taiwan
Chien-Ting Lin, Deakin University, Australia
Kung-Cheng Ho, Yuan Ze University, Taiwan
16:45~17:00
休息 Tea Break
17:00~18:25
(85mins)
Academic Session Ⅹ. Financial Econometrics
Chairperson: Shih-Ti Yu, National Tsing Hua University, Taiwan
1. Alternative Errors-in-Variables Models and Their Applications in Finance
Conference
Room 101
Research
Hong-Yi Chen, National Chengchi University, Taiwan
Alice C. Lee, State Street Corp., USA
Cheng-Few Lee, Rutgers University, USA
第一會
議室
2. On the Relationship between Intraday Jumps and Trading Volume: A
Nonlinear Tobit Specification
12
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
Fredj Jawadi, University of Evry & EconomiX, France
Waël Louhichi, ESSCA School of Management, France
Abdoulkarim Idi Cheffou, EDC Paris Business School, France
Rivo Randrianarivony, University of Rouen, France
3. The Performance of Fat Cat Portfolio with Companies Announced by
TWSE and GTSM: A Stochastic Dominance Analysis
Ting-Yu Lin, Feng Chia University, Taiwan
Teng-Shih Wang, Feng Chia University, Taiwan
Chuan-Hao Hsu, Feng Chia University, Taiwan
4. Measure of Downturn Connectedness and Systemic Risk in Financial
Institutions
Hui-Ching Chuang, Yuan Ze University, Taiwan
5. Measuring the Size of Market Inefficiency: Trading Systems and Price
Bubbles
Tatsuyoshi Miyakoshi, Hosei University, Japan
Yoshihiko Tsukuda, Tohoku University, Japan
Junji Shimada, Aoyama Gakuin University, Japan
Academic Session XI. Investment Analysis
Chairperson: Wen-Liang Hsieh, National Chiao Tung University, Taiwan
1. Institutional Trading and Stock Liquidity: Evidence from Taiwan Stock
Market
Yu-Fen Chen, Da-Yeh University, Taiwan
Fu-Lai Lin, Da-Yeh University, Taiwan
Sheng-Yung Yang, National Chung-Hsing University, Taiwan
2. A Policy-Risk Analysis of China's B-Share Discounts and Investment
Strategies
Yue Qi, Nankai University, China
Shuo Tian, Earnest & Young Global Business Services (China) Co., Ltd.,
China
Xiaofeng Peng, The University of Toledo, USA
Zhefeng Liu, Brock University, Canada
3. Individual Stock Options Trading and Firm performance
Jun-Biao Lin, National Kaohsiung First University of Science and
Technology, Taiwan
Kai Lin Cheng, Taiwan Academy of Banking and Finance, Taiwan
13
Conference
Room 106
第四
會議室
2016/2/8
第八屆交通大學財務金融國際研討會
The 8th NCTU International Finance Conference
4. Skewness on Equity Portfolio Selection: Evidence from the US Stock
Market
Alex W.H. Chung, Norwich University, USA
Rong Qi, St. John’s University, Taiwan
5. Settlement Procedures and Quality of Stock Market
Emily Lin, St. John’s University, Taiwan
Carl R. Chen, University of Dayton, USA
14