Articles in Refereed
Journals
1.
“The
Effects of Stock Splits on Stock Liquidity” Journal of Economics and Finance, 2013, forthcoming, with
G.-C. Huang and K. Liano.
2.
“Open-Market
Stock Repurchases by Insurance Companies and Signaling” Risk Management and Insurance Review 16(1), 47-69, 2013, with
G.-C. Huang, K. Liano, and H. Manakyan.
3.
“REIT
Share Repurchase Decisions and Stock Market Liquidity” Journal of Real Estate Portfolio Management 18(1), 43-56, 2012, with G.-C. Huang and K. Liano.
4.
“Exchange
Rate Exposure: Evidence from Industry-Specific Exchange Rates” Journal International Research Journal of
Finance and Economics
84, 121-132, February 2012, with Y. A. Liu.
5.
"REIT Stock Splits
and Liquidity Changes," Journal of Real Estate Finance and Economics 43(4),
527-547, 2011, with G.-C. Huang and K. Liano.
6.
“Autocorrelation,
Return Horizons, and Momentum in Stock Returns” Journal of Economics and Finance 34(3), 284-300, July
2010.
7.
"The Operating
Performance of REITs Conducting Open-Market Repurchases," Journal of Real Estate Portfolio Management 16(1), 59-69, 2010, with G.-C. Huang and K.
Liano.
8.
"REIT Open-Market
Stock Repurchases and Profitability," Journal of Real Estate Finance and Economics 39, 439-449, November 2009, with G.-C. Huang
and K. Liano.
9.
"The Information
Content of Stock Splits," Journal of Empirical Finance 16, 557-567, September 2009, with G.-C. Huang and K. Liano.
10. "The Information Content of Multiple Stock
Splits," Financial
Review 43, 543-567, November
2008, with G.-C. Huang, K. Liano, and H. Manakyan.
11. "Determinants of Winner-Loser Effects in
National Stock Markets," Advances in Quantitative Analysis in Finance and Accounting 6, 143-158, 2008.
12. "International Momentum Effects: A
Reappraisal of Empirical Evidence," Applied Financial Economics 17, 1409-1420, 2007, with L.P. Hsueh.
13. "Permanent and Transitory Components
of Earnings, Dividends, and Stock Prices," Quarterly Review of Economics and Finance 47, 533-549, September 2007.
14.
"Dynamic Linkages
between Exchange Rates and Stock Prices: Evidence from East Asian
Countries," International Review
of Economics and Finance
16, 503-520, 2007, with R.C.W. Fok and Y.A. Liu.
15. "Do Stock Splits Signal Future
Profitability?" Review of Quantitative
Finance and Accounting
26, 347-367, 2006, with G.-C. Huang and K. Liano.
16. "Industry Momentum Strategies and
Autocorrelations in Stock Returns," Journal of Empirical Finance 11, 185-202, March 2004, with K. Liano and G.-C. Huang.
17. "Volatility and Trading Demands in Stock
Index Futures," Journal of Futures
Markets 23, 399-414, April
2003, with Y.A. Liu and H.J. Roth. Summarized by F. T. Magiera, CFA Digest 33, 101-102, August 2003.
18. "The Term Structure of Return Correlations:
The U.S. and Pacific-Basin Stock Markets," Advances in Investment Analysis and Portfolio
Management 9, 233-249, 2002, with
Y.A. Liu.
19. "Divergent Expectation and Cross
Correlation in Asian Emerging Market Closed End Country Funds," Journal of Emerging Markets 6, 52-59, Summer 2001,
with K.C. Chan and D.J. Wright.
20. “Divergent Expectation and the Asian Financial
Crisis of 1997,” Journal of Financial
Research 26, 219-238, Summer 2001, with K.C. Chan and D.J. Wright.
21. “The Term Structure of Return Correlations:
Evidence from European Stock Markets,” European Journal of Finance 7, 144-164, June 2001, with Y.A. Liu and H.J. Roth.
22. “On Market Efficiency of Asian Foreign Exchange
Rates: Evidence from a Joint Variance Ratio Test and Technical Trading Rules,” Journal of International Financial Markets,
Institutions, and Money
11, 199-214, June 2001, with C.I. Lee and Y.A. Liu.
23. “Aggregate Dividend Behavior and Permanent
Earnings Hypothesis,” Financial Review 36, 23-38, February 2001.
24. “Collateral Benefits from a Student-Managed
Investment Program at Shippensburg University,” Financial Practice and Education 10, 201-207, Fall/Winter 2000, with R.T.
Hocking, H.J. Roth, and H.K. Rim.
25. “On Exports and Economic Growth in East Asian
Countries: Linear and Nonlinear Causality Tests,” Pennsylvania Economic Review 9, 66-78, Fall 2000, with D.Y. Lee.
26. “Finance Journal Rankings: An Update,” Financial Practice and Education 10, 132-141, Spring/Summer 2000, with K.C. Chan
and R.C.W. Fok.
27. “To What Journals in Financial Research Should
Your Library Subscribe?” Journal
of Financial Education
26, 40-49, Spring 2000, with K.C. Chan and C.W. Fok.
28. “Common Stochastic Trends and Volatility in Asia
Pacific Equity Markets,” Global
Finance Journal 10, 161-172, 1999, with
Y.A. Liu and H.J. Roth.
29. “Fractional Cointegration,
Long Memory and Exchange Rate Dynamics,” International Review of Economics and Finance 8, 305-316, 1999, with Y.A. Liu.
30. “Transmission of Stock Returns and Volatility
between the U.S. and Japan: Evidence from the Stock Index Futures Markets,” Asia-Pacific Financial Markets 5, 211-225, October 1998, with L.P. Hsueh.
31. “Another Look at Commodity Price as a Policy
Target," Atlantic Economic
Journal 26, 325, September 1998,
with P. Lai. (Anthology Section)
32. “Integration of International Long-Term Interest
Rates: A Fractional Cointegration Analysis,” Financial Review 33, 213-224, August 1998, with L.P. Hsueh.
33. “International Transmission of Stock Prices
Movements: Evidence from the U.S. and Five Asian-Pacific Markets,” Journal of Economics and Finance 22, 59-69, Spring 1998, with Y.A. Liu and
J.C.P. Shieh.
34. "International Stock Market Efficiency and
Integration: A Study of Eighteen Nations,” Journal of Business Finance & Accounting 24, 803-813, June 1997, with K.C. Chan and B.E.
Gup.
35. “Market Efficiency and Cointegration:
Some Evidence in Pacific-Basin Black Exchange Markets,” Journal of Economics and Finance 21, 25-31, Spring 1997, with K.C. Chan and
L.T.W. Cheng.
36. “Mean and Volatility Spillover Effects in the
U.S. and Pacific-Basin Stock Markets: Further Evidence,” Multinational Finance Journal 1, 47-62, 1997, with Y.A. Liu.
37. “Do Currency Futures Prices Follow Random
Walks?" Journal of Empirical
Finance 4, 1-15, March 1997,
with K.C. Chan and C.-W. Fok.
38. "International Interest Rate Linkage:
Evidence from the Money Markets in the United Kingdom,” Journal of Multinational Financial Management 6, 59-71, 1996, with H.-G. Fung and W. Lee.
39. “Price Change Relations in the Foreign Exchange
Markets with Spot, Option, and Futures Contracts,” International Journal of Finance 8, 279-295, 1996, with H.K. Rim and R.T.
Hocking.
40. “An Examination of Long-Term Dependence in
Foreign Exchange Rates in Eight Pacific Basin Countries,” International Review of Economics and Finance 5, 175-185, 1996, with Y.A. Liu and K.C. Chan.
41. “The Intertemporal
Relationship Between Implied and Observed Exchange Rates,” Journal of Business Finance & Accounting 23, 1307-1317, December 1996, with R.T. Hocking
and H.K. Rim.
42. “An Examination of the Short-Term and Long-Term
Behavior of Foreign Exchange Rates,” Financial Review 31, 603-622, August 1996, with Y.A. Liu and H. Bastin.
43. “International Transmission of Stock Price
Volatility: Evidence from the U.S. and Six Pacific-Basin Markets,” Journal of Multinational Financial Management 6, 81-94, 1996, with Y.A. Liu and H.-G. Fung.
44. “On The Long-Term or Short-Term Dependence in
Stock Prices: Evidence from International Stock Markets,” Review of Quantitative Finance and Accounting 6, 181-194, March 1996, with K.V. Chow and R. Sakano.
45. “The Distribution of Currency Futures Price
Changes: A Two-Piece Mixture of Normals Approach,” International Review of Economics and Finance 4, 69-78, 1995, with K.C. Chan and C.-W. Fok.
46. “Low Dimensional Chaos in Commodity Futures
Price Index,” Review of Futures
Markets 13, 1069-1086, 1994,
with J.-R. Chiou and Y.A. Liu.
47. “A Modified R/S Analysis of Long-Term Dependence
in Currency Futures Prices,” Journal of International Financial Markets, Institutions &
Money 3, 97-113, 1994, with
Y.A. Liu and L.P. Hsueh.
48. “The Random Walk Behavior of Foreign Exchange
Rate: An Examination of Nine Pacific-Rim Countries,” Journal of Financial Studies 2, 1-16, July 1994, with Y.A. Liu and J.-R.
Chiou.
49. “An Investigation of the Empirical Distribution
of Bond Returns,” Journal
of Economics and Business
45, 159-167, May 1993, with K.C. Chan and H.K. Wu.
50. “Nonlinearities in Emerging Foreign Capital
Markets,” Journal of Business
Finance & Accounting
20, 237-248, January 1993, with S.P. Sewell, S.R. Stansell,
and I.-S. Lee.
51. “Market Efficiency and Cointegration
Tests for Foreign Currency Futures Markets,” Journal of International Financial Markets, Institutions &
Money 2, 79-89, 1992, with
K.C. Chan and B.E. Gup.
52. “An Empirical Analysis of Stock Prices in Major
Asian Markets and the U.S.,” Financial Review 27, 289-307, May 1992, with K.C. Chan and B.E. Gup. Abstract reprinted in International Society of Financial Analysts
Digest 4(3), Fall 1992.
53. “Variance Ratio Test of Foreign Exchange Rates,”
International Journal
of Finance 3, 88-116, Spring 1991,
with S. Norrbin and K. C. Chan.
54. “An Examination of Mean-Reverting Behavior of
Stock Prices in Pacific-Basin Stock Markets,” Pacific-Basin Capital Markets Research II, 333-343, February 1991, with J.-R. Chiou,
R.T. Hocking, and H.K. Rim.