Vice President, Wei-Che Tsai, Ph.D.

Overview

Education

Current Positions

Referred Journal Papers

1. “Media Sentiment and VIX Futures Returns: Evidence from Textual Analysis of News, Blogs, and Online Discussions,” (with Wu M.H., C.Y. Chen, N.W. Cheng), Journal of Futures Markets, forthcoming. (行政院國科會財務學門A_Tier-2級國際期刊)
2. “Exploring the role of crude oil futures in portfolio diversification, ” (with C. Hsu), Journal of Multinational Financial Management, Volume 79, 100917, September 2025.
3. “Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis,” (with C. Hsu), North American Journal of Economics and Finance, Volume 80, 102475, September 2025.
4. C.F. Tseng), “Hedging and Non-Hedging Trading Activities of Warrant Issuers – An Empirical Study from the Taiwan Market,” (with H.G. Huang, J.H. Chang,期貨與選擇權學刊 18, 1-48, 2025. (Lead article)
5. “Carbon emissions and litigation risk,” (with C. Huang, Z. Feng, Sharon Yang), Finance Research Letters, Volume 80, June 2025, 107407.
6. “The Disposition Effect on Partially Informed Short Sellers,” (with H. Chiu, L. Lin), Pacific-Basin Finance Journal, Volume 87, October 2024, 102479 . (行政院國科會財務學門A_Tier-2級國際期刊)
7. “Trading activity of VIX futures and options around FOMC announcements,” (with H. Huang, J. Yang), International Review of Financial Analysis, Volume 94, July 2024.
8. “Financial Literacy and Robo-Advisor Adoption: Evidence from Taiwan,”(with M. Choo, Y. Hsaio, S. Yang),管理評論, Volume 42, Pages 19-42, October 2023. (TSSCI)
9.  “Global financial crisis, funding constraints, and liquidity of VIX futures,” (with J. Chiu, D. Lien), Pacific-Basin Finance Journal, Volume 80, 102101, September 2023. (行政院國科會財務學門A_Tier-2級國際期刊)
10. “Overnight returns and investor sentiment: Further evidence from the Taiwan stock market,” (with H. Zhang, P. Wang, P. Tsai), Pacific-Basin Finance Journal, Volume 80, 102093, September 2023. (行政院國科會財務學門A_Tier-2級國際期刊)
11. “Intraday momentum in the VIX futures market,” (with H. Huang, P. Weng, J. Yang), Journal of Banking & Finance, Volume 148, 106746, March 2023. (行政院國科會財務學門A_Tier-1級國際期刊)
12. “Option implied riskiness and risk-taking incentives of executive compensation,” (with C. Lu, Carl Shen, P. Shih), Review of Quantitative Finance and Accounting, Volume 60, Pages 1143-1160, 2023. (行政院國科會財務學門A_Tier-2級國際期刊)
13. “US Macroeconomic Surprises and the Emerging-market Sovereign CDS Market,” (with J. Chiu, Y. Chi), European Financial Management, Volume 29(2), Pages 549-587, March 2023. (行政院國科會財務學門A_Tier-2級國際期刊)
14. “以基本面分析強化社會責任投資績效,” (with Choo M.R., Sharon S. Yang, Y. Chi), 證券市場發展季刊, Volume 33(3), Pages 1-42, September 2021. (TSSCI)
15. “Effects of investor attention in China’s commodity futures markets,” (with Wu M.H., P.S. Weng, D.Y. Li), Journal of Futures Markets, Volume 41(8), Pages 1315-1332, August 2021. (行政院國科會財務學門A_Tier-2級國際期刊)
16. “Do Put Warrants Unwind Short-Sale Restrictions? Further Evidence from the Taiwan Stock Exchange,” (with Y.W. Chuang, P.S. Weng, Y. Chi), Journal of Futures Markets, Volume 41(3), Pages 325-348, March 2021. (行政院國科會財務學門A_Tier-2級國際期刊)
17. “Volatility of Order Imbalance of Institutional Traders and Expected Asset Returns: Evidence from Taiwan,” (with H.G. Huang, P.S. Weng, M.H. Wu), Journal of Financial Markets, Volume 52, Pages 100546, January 2021. (行政院國科會財務學門A_Tier-1級國際期刊)
18. “The Impact of Weather on Order Submissions and Trading Performance,” (with Y.W. Chuang, P.S. Weng), Pacific-Basin Finance Journal, Volume 64, Pages 101456, December 2020. (行政院國科會財務學門A_Tier-2級國際期刊)
19. “Price Delay and Post-earnings Announcement Drift Anomalies: The Role of Option-implied Betas,” (with H.C. Ho), North American Journal of Economics and Finance, Volume 54,100804, November 2020.
20. “The Impact of Net Buying Pressure on VIX Option Prices,” (with Y.W. Chuang, M.H. Wu), Journal of Futures Markets 40, 209-227, 2020. (行政院國科會財務學門A_Tier-2級國際期刊)
21. “Do Foreign Institutional Traders Have Private Information for the Market Index? The Aspect of Market Microstructure,” (with P.S. Weng), International Review of Economics and Finance 55, 308-323, 2018.
22. “Private Benefits of Control and Bank Loan Contracts,” (with C.Y. Lin, I. Hasan and L. Tuan), Journal of Corporate Finance 49, 324-343, 2018. (行政院國科會財務學門A_Tier-1級國際期刊)
23. “Financial Literacy and Participation in the Derivatives Markets,” (with Y.J. Hsiao), Journal of Banking and Finance 88, 15-29, 2018. (行政院國科會財務學門A_Tier-1級國際期刊)
24. “An Analysis on the Intraday Trading Activity of VIX Derivatives,” (with D.X. Kao, Y.H. Wang and K.C. Yen), Journal of Futures Markets 38, 158-174, 2018. (行政院國科會財務學門A_Tier-2級國際期刊)
25. “Determinants of Price Discovery in the VIX Futures Market,” (with Y.L. Chen), Journal of Empirical Finance 43, 59-73, 2017. (行政院國科會財務學門A_Tier-1級國際期刊)
26. “An Empirical Analysis of the Dynamic Probability of Informed Institutional Trading: Evidence from the Taiwan Futures Exchange,” (with P.S. Weng, M.H. Wu, M.L. Chen), Journal of Futures Markets 37, 865-891, 2017. (Lead article) (行政院國科會財務學門A_Tier-2級國際期刊)
27. “The Association between Three Major Institutional Holding and Firm Capital Structure on the Taiwan Stock Market,” (with W.C. Chen, P.S. Weng), 管理學報 34, 307-329, 2017. (TSSCI)
28. “Option-Implied Equity Risk and the Cross-Section of Stock Returns,” (with T.F. Chen, S.L. Chung), Financial Analysts Journal 72, 42-55, December 2016. (行政院國科會財務學門A_Tier-1級國際期刊)
29. “Effect of Monetary Policies on the Relationship between Advertising and Mutual Fund Flows,” (with M.H. Wu, M.L. Chen), Asia-Pacific Journal of Financial Studies 45, 673-704, October 2016. (Lead article)
30. “Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process,” (with P.S. Weng), 期貨與選擇權學刊 8, 1-43, 2015. (Lead article)
31. “Effect of Country Governance on Bank Privatization Performance,” (with P.H. Ho, C.Y. Lin), International Review of Economics and Finance 43, 3-18, May 2016.
32. “The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options,” (with Y.T. Chiu, Y.H. Wang), Journal of Futures Markets 35, 715-737, 2015. (行政院國科會財務學門A_Tier-2級國際期刊)
33. “The Benefits of Firms Holding Bank Shares on Bank Loans: Evidence from the Global Financial Crisis,” (with C.Y. Lin, Y.W. Chuang, Y.X. Wu), 中山管理評論 23, 563-590, 2015. (TSSCI)
34. “Improved Method for Static Replication under the CEV Model,” Finance Research Letters 11, 194-202, 2014. (Sole Author)
35. “The Impact of Derivatives Hedging on the Stock Market: Evidence from Taiwan’s Covered Warrants Market,” (with S.L. Chung, W.R. Liu), Journal of Banking and Finance 42, 123-133, 2014. (行政院國科會財務學門A_Tier-1級國際期刊)
36. “Static Hedging and Pricing American Knock-out Options,” (with S.-L. Chung and P.-T. Shih), Journal of Derivatives 20, 7-21, 2013. (行政院國科會財務學門A_Tier-2級國際期刊)
37. “Static Hedging and Pricing American Knock-in Put Options,” (with S.-L. Chung and P.-T. Shih), Journal of Banking and Finance 37, 191-205, 2013. (行政院國科會財務學門A_Tier-1級國際期刊)
38. “Using Richardson Extrapolation Techniques to Price American Options with Alternative Stochastic Processes,” (with C.-C. Chang, J.-B. Lin and Y.-H. Wang), Review of Quantitative Finance and Accounting 39, 383-406, 2012. (行政院國科會財務學門A_Tier-2級國際期刊)
39. “Applying Recurrent Event Analysis to Understand the Causes of Changes in Firm Credit Ratings,” (with Y.-S. Chen, C.-Y. Lin and P.-H. Ho), Applied Financial Economics 22, 977-988, 2012.
40. “The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index,” (with S.-L. Chung, Y.-H. Wang and P.-S. Weng), Journal of Futures Markets 31, 1170-1201, 2011. (行政院國科會財務學門A_Tier-2級國際期刊)
41. “Can Fund Investors Benefit from Momentum and Herding Strategies in Taiwan Market?” (with T.-S. Lee, S.-C. Huang and J.-F. Lin), 管理學報 28, 191-218, 2011.
42. “A Modified Static Hedging Method for Continuous Barrier Options,” (with S.-L. Chung and P.-T. Shih), Journal of Futures Markets 30, 1150-1166, 2010. (行政院國科會財務學門A_Tier-2級國際期刊)