腳下的土地、家裡的父母、身邊的兄弟姊妹、懷中的牽手、膝下的子女、沙特的存在主義


Government of the people, by the people, for the people, shall not perish from the Earth. …Abraham Lincoln (1863).


陳明憲博士

Dr. Ming-Hsien Chen

國立高雄第一科技大學

財務管理系助理教授

Assistant Professor, Department of Finance
National Kaohsiung First University of Science and Technology, Taiwan


Papers Materials          Teaching Materials           Supervised Thesis           Lecture Notes (Financial Economics)           Leisure


Tel : 886-7-6011000 ext. 4017

824, 高雄市燕巢區大學路1號, 高雄, 台灣

No.1, University Rd., Yanchao Dist.,

Kaohsiung City 824, Taiwan (R.O.C.)

Email: mhchen.bau@gmail.com;,   mhchen@nkfust.edu.tw

 

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教學教材講義

 

Useful Links (to be) 

 

論文指導

 

閒情逸致

 

財務經濟學輔助教學數位教材

 

Recommend IC之音: 周行一教授之理財觀

Education

國立政治大學財務管理學博士, Advisor Pro. Edward Chow.

Doctor of Philosophy (Finance), 2002~ 2007, National Chengchi University, Taiwan

國立暨南國際大學國際企業學碩士, Advisor Pro. Gau and Yang.

Master of Business (International Business Studies), 2000~ 2002, National Chi-Nan University, Taiwan

ROC 陸軍莒光指揮部(馬祖防衛司令部), 1994~1996(玉山、固安、獵狼)

國立中央大學資訊管理學學士

   Bachelor of Management (Management of Information Science), 1990~1994, National Central University, Taiwan

台中一中(第三類組)、南投縣立南投國中、南投縣立平和國小 、南投縣立僑興國小(民間鄉)附設幼稚園

 

Academic Experience

Macau University of Science and Technology, College of Management and Administration, Visiting Assistant Professor (2008)

南開科技大學財務金融系助理教授 (2007 ~2008)

國立暨南國際大學助教 (1996~1999)

 

Areas of Research

      Financial Market Behaviors and Portfolio Management

      Irregular High Frequency Data Analysis  

      Applied Financial Econometrics, esp. on Copula, DCC, and ACD

      Empirical Studies on Securities Pricing

      Systematic Risk Identification and Measurements

 

Researches

(A) Article

1. Tai*, Vivian W., Ming-Hsieh Chen, and Chien Hung Tseng (2015) “Return Volatility and Day Trading,” Journal of Financial Studies, 23(2), 19-54. (TSSCI) 

2. Corresponding Author, (with Vivian W. Tai), 2014, The Price Discovery of Day Trading Activities in Futures Market, Review of Derivatives Research 17 (2), pp. 217-239 (SSCI)

3. Corresponding Author, (with Yin-Feng Gau and Vivian W. Tai), 2013, Issuer Credit Ratings and Warrant-Pricing Errors, Emerging Markets Finance & Trade  49,  pp. 41–52. (SSCI)

4. Corresponding Author, (with Vivian W. Tai and Mei-Ling Lin), 2011, Unanticipated and Asymmetric Effects of TAIFEX Trading Volumes and Open Interests, Journal of Futures and Options Vol.4 No.1 pp. 69-88. (in Chinese) (TSSCI)

5. Chen, Ming-Hsien and Vivian W. Tai, Psychological Barriers and Prices Behaviour of TAIFEX Futures, Global Economy and Finance Journal 4. 2011. Pp. 1-12. (Indexed by Cabell's Directory of USA)

6. Chen, Ming-Hsien and Grace Lin, An Empirical Study of Myopic Loss Aversion on Taiwan Security, YMC Management Review, Special Issue, June, 2010.

7.周行一、李志宏、陳明憲,「我國期貨市場交易撮合制度及其對期貨交易者交易策略之影響」,臺灣期貨市場雙月刊,第七卷第一期,2005年一月。

 

(B) Conference Papers and Proceedings

1. 2014, Chen, Ming-Hsien and Chen, Ping-Chung, Chen, Measuring Currency Turmoil by SWARCH-Copula Model: Evidence from G8 Countries, May, 16, 2014, 2014中部財金學術聯盟研討會, Taichung Taiwan.

2. Vivian W. Tai, Chen, Ming-Hsien and Tseng, Chien Hung,股票波動、當沖交易與報酬,2013 International Conference of Taiwan Finance Association, May, 31, 2013, National Yunlin University of Science and Technology, Taiwan.

3. 2013, Chen, Ming-Hsien, Chen, Chin-Hao, and Vivian, W. Tai, Measuring the Equity Risk Premia by Real-time Business Cycle Variables: Evidence from G7 Countries,
The 21st SFM Conference, December, 13-14, 2013, National Sun-Yat-Sen University, Kaohsiung, Taiwan.
2013 International Conference of Taiwan Finance Association, May, 31, 2013, National Yunlin University of Science and Technology, Taiwan.

4. 2013, Chen, Ming-Hsien, and Vivian W. Tai, Credit Risk, Illiquid and Currency Turmoil to Stock Markets,
The 8th Conference on Risk, Banking and Financial Stability, September, 24-27, 2013, Bali Nusa Dua Convention Center, Indonesia.
2013 International Conference of Taiwan Finance Association, May, 31, 2013, National Yunlin University of Science and Technology, Taiwan.

5. 2013, Chen, Ming-Hsien, Chan, Chia-Hung and Vivian, W. Tai, Shocks of Trading Volumes to Options Volatility, 2013 International Conference of Taiwan Finance Association, May, 31, 2013, National Yunlin University of Science and Technology, Taiwan.

6. 2012, Chen, Ming-Hsien, Kevin J. Chen, and Vivian W. Tai, Expiration and Maturity Effects of Price Impacts: Empirical Evidence from the TAIFEX and SGX Futures Markets,
2012, The XMU-UNCC 2012 International Sympossium on Risk Management and Derivatives, June 30, 2012, Xiamen, China.
2011, The 19th Conference on Theories and Practices of Securities and Financial Markets, December, 9-10, National Sun-Yat-Sen University, Kaohsiung, Taiwan.

7 2011, Chen, Ming-Hsien and Yin-Chung Chen, Information Content of Order Types: Empirical Studies of Taiwan Futures Market, 2011 Global Business and Social Science Research Conference, 20-21 June, 2011, Beijing, China.

8. 2011, Chen, Ming-Hsien and Chia-Sheng Wei, Risk Premium Estimation Beyond Security Market Risk, 2011 Global Business and Social Science Research Conference, 20-21 June, 2011, Beijing, China.

9. 2011, Chen, Ming-Hsien and Ching-En Wu, The Relation between Security Risk Premium and US Dollar Index, 2011 Global Business and Social Science Research Conference, 20-21 June, 2011, Beijing, China.

10. 2011, Chen, Ming-Hsien, Kevin J. Chen, and Vivian W. Tai, 2011, Expiration and Maturity Effects of Price Impacts: Empirical Evidence from the TAIFEX and SGX Futures Markets, The 19th Conference on Theories and Practices of Securities and Financial Markets, National Sun Yat-Sen University, December, 2011, Kaohsiung, Taiwan.

11. 2011, Chen, Ming-Hsien and Vivian W. Tai, 2011, Psychological Barriers and Prices Behaviour of TAIFEX Futures, 2011 International Conference of Taiwan Finance Association, May, 2011, Kaohsiung, Taiwan.

12. 2011, (with Yen-Chung Chen), Information Content of Order Types: Empirical Studies of Taiwan Futures Market, 2011 Global Business and Social Science Research Conference, 20-21 June, 2011, Beijing, China

13. 2010, Chen, Ming-Hsien and Yin-Feng Gau, 「The Role of Issuers' Credit Ratings in Dynamic Warrants Pricing」,

14. 2010 the 18th Conference on the Theories and Practices of Securities and Financial Markets, National Sun Yat-sen University, Kaohsiung, Taiwan, December 17-18.

15. 2010 NTU International Conference on Finance, National Taiwan University, Taipei, Taiwan, December 10-11.

16. 2010 the European Financial Management Symposium on Asian Finance, Renmin University of China, Beijing, China, April, 22-24, 2010.

    2010 the Asian Financial Association/ FMA Annual Conference, The Hong Kong University of Science and Technology, June 29 – July 1, 2010.

17. 2010, Chen, Ming-Hsien , 「Myopic Loss Aversion Theory Applied in Taiwan Security Risk Premium」, The First China International Conference on Positive Psychology, August, 7-10, 2010, Tsinghua University, Beijing, China

18. 2009, Chen, Ming-Hsien and Yin-Feng Gau, 2009, The Role of Issuers' Credit Ratings in Dynamic Warrants Pricing, The 5th International Conference on Asian Financial Markets, Nagasaki University, December, 13-14, Katafuchi, Nagasaki, Japan.

19. 2008, Chen, Ming-Hsien and Yin-Feng Gau, Pricing Currency Options Under Stochastic Volatility and Jumps, 2008 Asian FA/FMA and Japan FA Annual Conference, Tokyo University, Yokohama, Japan, 9-11, July, 2008.

20. 2007, Chen, Ming-Hsien and Edward Chow, Who Survives and Why: an Research of Individual Traders on Taiwan Stock Market, 2007 Asian FA/FMA Annual Conference, Hong Kong Chinese University, Hong Kong, 4-7, July, 2007. (NSC-96-2922-I-004-028)

21. 2006, Chen, Ming-Hsien and Edward Chow, Time-Varying Risk, Myopic Loss Aversion and Equity Premium Puzzle in Taiwan, 2006 Asian FA/FMA Annual Conference, Auckland, New Zealand, 10-12 July, 2006. (NSC-95-2922-I-004-021), and 2006 Annual Conference of TFA on Finance, Insurance, and Real Estate, Taipei Taiwan, May, 2006.

22. 2005, Chen, Ming-Hsien and Yin-Feng Gau, Pricing Currency Options Under Stochastic Volatility,The First Symposium on Econometric Theory and Applications (SETA), Institute of Economics, Academia Sinica, Taipei, May 18-20, 2005.

23. 2004, Chen, Ming-Hsien and Yin-Feng Gau, Pricing Currency Options Under Stochastic Volatility, The 2004 NTU International Conference on Finance, Taipei, December 20-21, 2004, National Taiwan University.

24. 2003, Yang, Sheng-Yung, Yin-Feng Gau, and Ming-Hsien Chen, Forecasting Performance of Stochastic Volatility Implied in the PHLX Currency Options Market, 2003, Pacific Rim Conference, Western Economic Association International, Taipei.

25. 2002, Yang, Sheng-Yung, Yin-Feng Gau, and Ming-Hsien Chen, 2002, 11th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University.

26. 2002, Yang, Sheng-Yung, Yin-Feng Gau, and Ming-Hsien Chen, 2002, 「The Informational Content of the PHLX European Currency Options Market」, 3rd Conference on Empirical Economics, National Chi Nan University.

 
(C) Thesis
1.Chen, Ming-Hsien, 2007, How and Why Individual Investors Quit?, Ph.D. Dissertation, Department of Finance, National Chengchi University

2.Chen, Ming-Hsien, 2002, The Predictive Power of Implied Stochastic Volatility in PHLX Currency Options Market, Thesis, Department of International Business Studies, National Chi-Nan University

 
 

Projects

1. 計畫主持人:

「Psychological Barriers Effects and Unexpected Shocks on Ultra-high Frequency Transactions in TAIFEX Futures Market」

    100年度行政院國科會計畫(NSC 100-2410-H-327 -007-),20110801-20120731。

「成交量、價差與交易時距對日內股票報酬之資訊內涵:關連性與預測性研究」,

    99年度行政院國科會計畫(NSC 99-2410-H-327 -014-),20100801-20110731。

「權證訂價誤差與發行券商造市功能之研究」,98年度行政院國科會計畫(NSC 98-2410-H-327 -022-),20090801-20100731

「鑫永銓」公司的動態外匯避險動機、績效評估與避險標準程序的建立,教育部產學合作計畫,2007-2008

「老年化社會對台灣資本市場權益溢酬的影響」,南開科技校內行研究計畫,2006 -2007

2. 研究人員:

    「我國市場盤中個股競價究應採集合競價或逐筆交易暨不同競價方式最適引進委託種類之建議」,證交所研究計畫,2007-2008,(計畫主持人:李志宏教授)

    「我國證券投資人交易行為與證券市場發展之研究」,證交所委託研究計畫,2005-2008,計畫主持人:周行一教授、李志宏教授

    「我國期貨市場交易撮合制度及其對期貨交易者交易策略之影響」,台灣期貨交易所委託計畫,20043

    「結算風險與跨市場集中結算機構研究」,台灣證券集中保管公司委託計畫,2002年。
    「跨市場集中結算機制下交易所與集中結算機構關係及風險管理架構」,台灣證券集中保管公司委託計畫,2002年。

 

 
Honors

1.廈門大學王亞南經濟學院演講 題目:Pricing Currency Options Under Stochastic Volatility and Jumps

2. Financial Support for International Conference Paper Presentation, National Science Council, Taiwan, 2007, (NSC-96-2922-I-004-028), (amount: 28,000) Who Survives and Why: an Research of Individual Traders on Taiwan Stock Market, 2007 Asian FA/FMA Annual Conference, Hong Kong Chinese University, Hong Kong, 4-7, July, 2007

3. Financial Support for International Conference Paper Presentation, National Science Council, Taiwan, 2006, (NSC-95-2922-I-004-021), (amount: 30,000) Time-Varying Risk, Myopic Loss Aversion and Equity Premium Puzzle in Taiwan, 2006 Asian FA/FMA Annual Conference, Auckland, New Zealand, 10-12 July, 2006

4. Excellent Master Thesis Award, National Science Council, Taiwan, 2002,中華民國行政院國家科學委員會九十一學年度碩士論文獎

5. Excellent Master Thesis Award, National Competition of Master Thesis in Management, Taiwan, 2002中華民國管理科學會九十一學年度碩士論文獎

6. 10th Research Scholarship of Fubon Cultural and Educational Foundation, 2002 ,第十屆富邦金融研究獎學金

7. Honorary Member of the Phi-Tau-Phi Scholastic Honor Society中華民國斐陶斐榮譽學會榮譽會員

8. Scholarship of Education Ministry, Department of Finance, National Cheng Chi University, 2001-2006.