Dr. Yen-Hsien Lee

 

Associate Professor

Department of Finance

 

Chung Yuan Christian University

No. 200, Chung Pei Rd., Chung Li, Taiwan 32023, R.O.C.

Tel: +886-3-2655711

Fax: +886-3-2655749

 

Email: yh@cycu.edu.tw

Website: https://mail.cycu.edu.tw/yh/

 

 
3156

 

 

 

EDUCATION


 

POSITIONS HELD


  • Full-time Associate Professor, Department of Finance, Chung Yuan Christian University, Chungli, Taiwan. (2011/08- Now)
  • Full-time Assistant Professor, Department of Finance, Chung Yuan Christian University, Chungli, Taiwan. (2008/08- 2011/7)
  • Full-time Instructor, Department of Finance, Vanung University, Chungli, Taiwan. (2006/08- 2008/07)
  • Adjunct Instructor, Department of Finance, Tamkang University, (2005/08- 2008/02)
  • Adjunct Instructor, Department of International Business, China University of Technology. (2005/08- 2006/02)
  • Adjunct Instructor, Department of Finance, Vanung University. ( 2005/08- 2006/02)

 

CURRENT RESEARCH AND INTERESTS


  • Financial Risk Management
  • Financial Econometrics
  • Time-Series Analysis

 

TEACHING


u  Financial Econometrics Analysis

u  Financial Risk Management

u  Application Software in Finance

u  Seminar in Financial Engineering

 

PUBLICATIONS


1.          Yen-Hsien Lee and David K. Wang*, Information Content of Investor Trading Behavior: Evidence from Taiwan Index Options Market, Pacific-Basin Finance Journal, accepted.

2.          Chung-Hua Shen, Yen Hsien Lee, Meng-Wen Wu* and Na Guo Dagong, (2016) Does housing boom lead to credit boom or is it the other way around?, International Review of Economics & Finance, Volume 42, 349–367.

3.          Yen-Hsien Lee*, (2015) Does the US Fear Gauge Influence the Investor Fear Gauge in Emerging Markets?, Journal of Emerging Market Finance, 14, 197-209.

4.          Tsang-Yao Chang, Hao Fang* and Yen-Hsien Lee, (2015) Nonlinear Adjustment to the Long-run Equilibrium between REITs and Stock Indices in Japan and Singapore, Romanian Journal of Economic Forecasting- XVIII (3), 27-38.

5.          Yen-Hsien Lee*, (2014), What Jump Effects are Implicit in Nikkei 225 Returns and the Change in the Volatility Index Japan?, Investment Analysts Journal, 80, 71-78.

6.          Yen-Hsien Lee*, (2014) Day-of-the-week and jump effects in international investment sentiment indices, Investment Management and Financial Innovations, 11(4), 60-68.

7.          Yen-Hsien Lee, Alan L. Tucker*, David K. Wang and Hsin-Ting Pao, (2014) Global contagion of market sentiment during the US subprime crisis, Global Finance Journal, 25 (1), 17-26.

8.          Yen-Hsien Lee, Hao Fang*, and Wei-Fan Su, (2014) The Effectiveness of Portfolio Diversification and the Dynamic Relationship between Stock and Currency Markets in an Emerging Eastern Europe, Finance A Uver-Czech Journal of Economics and Finance, 64 (4), 296-311. 

9.          Yen-Hsien Lee*, (2014) An International Analysis on REITs and Stock Portfolio Management based on the Dynamic Conditional Correlation Models, Financial Markets and Portfolio Management, 28 (2), 165-180. 2012-5-29. 

10.     Hao Fang, Yang-Cheng Lu, Hwey-Yun Yau, Yen-Hsien Lee*, (2013) Stock Characteristics Herded by Foreign Investors with Higher Abnormal Returns in the Taiwan Stock Market, Romanian Journal of Economic Forecasting, 16(4), 232-245. 

11.     Hao Fang and Yen-Hsien Lee*, (2013) Are the Global REIT Markets Efficient by A New Approach? Panoeconomicus, 60, Issue 6, Pages: 791-812.

12.     Yen-Hsien Lee* (2013), Global and Regional Range-based Volatility Spillover Effects, Emerging Markets Review, 14, 1-10.

13.     Yen-Hsien Lee*, Jui-Cheng Hung, Yi-Hsien Wang and Jin-Yan Huang (2012), A Study of Dynamics in Market Volatility Indices between US and Taiwan, Investment Management and Financial Innovations, 9(4), 95-101.

14.     Yen-Hsien Lee, Chi Tai Lin and Shu-Mei Chiang, (2012) Exploring Forecast Error and the Informational Content of Implied Volatility in the Taiwan Market, Asia-Pacific Journal of Financial Studies, 41, 590-609.  

15.     Yi-Hsien Wang, Jui-Cheng Hung, Yen-Hsien Lee and Chung-Chu Chuang (2012) "Computing Regression Quantiles to Analysis the Relationship between Market Behavior and Political Risk," Quality & Quantity: International Journal of Methodology, Vol. 46, No. 4, pp. 1047-1055.

16.     Yen-Hsien Lee*, (2011) A Dynamic Correlation Analysis in International Investor Sentiments, International Journal of Finance, 23(4), 7018-7033.

17.     Hao Fang and Yen-Hsien Lee* (2011) Impact of the sub-prime financial crisis on stock index returns for high- and low-risk countries via CDS indices, Investment Management and Financial Innovations, 8(4), 126-140.

18.     Yen-Hsien Lee* and Chien-Liang Chiu (2011) Arbitrage Behavior in the Exchange Rates of Taiwan and Japan: Applying the Smooth Transition Vector Error Correction Model with GJR-GARCH and Spillover Volatility, Applied Economics, 43, 13-15, 1935-1943. 

19.     Yen-Hsien Lee and Jer-Shiou Chiou* (2011) Oil sensitivity and its asymmetric impact on the stock market, Energy, 36, 168-174.

20.     Shu-Mei Chiang, Yen-Hsien Lee*, Shin-Mei Su and Yi-Pin Tzou (2010) Efficiency tests of foreign exchange markets for four Asian Countries, Research in International Business and Finance, 24, 284-294.

21.     Cho-Min Lin*, Yen-Hsien Lee and Chien-Liang Chiu (2010) Friends or Enemies? Foreign Investors in Taiwan, Applied Economics Letter,17, 10, 977-982. 

22.     Yen-Hsien Lee* and Hung-Luen Ou (2010) The Day of the Week Effect and Value-at-Risk in Real Estate Investment Trusts, Journal of Real Estate Portfolio Management, 16, 1, 21-28.

23.     Yen-Hsien Lee* and Chien-Liang Chiu, (2010) Nonlinear Adjustment of Short-term Deviations Impacts on the US Real Estate Market, Applied Economics Letter, 17, 6, 597 - 603. .

24.     Yen-Hsien Lee*, Hsu-Ning Hu and Jer-Shiou Chiou, (2010) Jump Dynamic with Structural Breaks for Crude Oil Price, Energy Economics, 32, 343-350, 32(2), 343-350. 

25.     Jui-Cheng Hung, Yen-Hsien Lee* and Tung-Yueh Pai, (2009) Examining Market Efficiency for Large- and Small-capitalization of TOPIX and FTSE Stock Indices, Applied Financial Economics, 19, 735-744.

26.     Chiou, Jer-Shiou and Yen-Hsien Lee (2009), Jump Dynamics and Volatility: Oil and the Stock Markets, Energy, 34, 788-798.

27.     Cho-Min Lin, Yen-Hsien Lee* and Chien-Liang Chiu (2009) Structural Changes in Foreign Investors' Trading Behavior and the Corresponding Impact on Taiwan's Stock Market, Research in International Business and Finance, vol. 23, issue 1, 78-89.

 

 

CONFERENCE PRESENTATIONS


 

1.          Yen-Hsien Lee (Feb., 2012) The Correlation Analysis on International Volatility Indices during Financial Crisis, The 12th Annual International Business Research Conference (IBR). Jacksonville, Florida, United States. [NSC 99-2811-H-033-004]

2.          Yen-Hsien Lee and Jin-Yan Huang (Jun, 2011), Does the U.S. Investor Sentiment Influence on Taiwan Investor? 2011 International Conference on International Symposium on Finance and Accounting. Bangkok, Thailand. (7/4-6, 2011) [NSC 99-2410-H-033 -023 -MY2]

3.          Yen-Hsien Lee and Chia-Hong Chiang (Jan., 2011), Threshold Co-Integration Relationship between Social Responsibility and Stock Index, CIBMP’s annual conference on Innovations in Business and Management, London, United Kingdom. (1/26-27, 2010) [NSC 99-2410-H-033 -023 -MY2]

4.          Yen-Hsien Lee, Tung-Yueh Pai and Ping-Chen Lin (Jan., 2011), Different Investors’ Time-Related Anomalies in Taiwan Stock Index Future Market, International Conference on Asia Pacific Business Innovation and Technology Management, Bali, Indonesia. (1/23-25, 2010) [NSC 99-2410-H-033 -023 -MY2]

5.          Chien-Liang Chiu, Yen-Hsien Lee and Ya-Hui Lin (Jan., 2011), The Information Content of Net Buying Pressure in Taiwan Option Market, International Conference on Asia Pacific Business Innovation and Technology Management, Bali, Indonesia. (1/23-25, 2010)  [NSC 99-2410-H-033 -023 -MY2]

6.          Yen-Hsien Lee (Jul., 2010). Range-based Volatility Spillover. The 7th BAI 2010 International Conference on Business and Information. Japan: Kitakyushu.

7.          Ya-Ling Huang and Yen-Hsien Lee (Jul., 2010). Forecasting Medical Tourism Demand in Asian Country with the Adaptive Alpha in Grey Model. The 7th BAI 2010 International Conference on Business and Information. Japan: Kitakyushu.

8.          Chien-Liang Chiu, Yen-Hsien Lee and Chien-Han Hung (Jan., 2010), Measuring Performance and Corporate Governance of Taiwan Biotechnological Industry application of DEA and TOBIT regression, International Conference on Asia Pacific Business Innovation and Technology Management, Cebu: Philippines.(1/24-26,2010)

9.          Chien-Liang Chiu, Yen-Hsien Lee and Yi-Ping Chien (Jan., 2010) The Impact of Presidential Election on the Trading Durations of Trader on Taiwan Futures Market, International Conference on Asia Pacific Business Innovation and Technology Management, Cebu: Philippines. (1/24-26,2010)

10.     Yen-Hsien Lee and Ya-Ling Huang (Aug., 2009). Applying GARCH Model with Monthly Effect on Tourism Demand Forecasting in China. The 3th ICIGTI 2009 The International Conference on Industrial globalization and Technology Innovation. Xian: China.

11.     Yen-Hsien Lee, Chien-Ming Huang and Hsin-Mei Su (Jul., 2009). The Effectiveness of Monetary Policy on Real Estate Investment Trusts Market. The 6th BAI 2009 International Conference on Business and Information. Malaysia: Kuala Lumpur.

12.     Chien-Liang Chiu, Yen-Hsien Lee and Hung-Luen Ou (Jul., 2009). The Day of the Week Effect in Real Estate Investment Trusts – Based GARCH, GARCH-LEVEL and CARR Models. The 6th BAI 2009 International Conference on Business and Information. Malaysia: Kuala Lumpur.

13.     Tung-Yueh Pai and Yen-Hsien Lee (Jul., 2009). REITs Volatility Prediction for Skew-GED Distribution of the GARCH Model. 2009 International Conference on International Symposium on Finance and Accounting. Malaysia: Kuala Lumpur.

 

 

 

COPYRIGHT ã 2016  Dr. Yen-Hsien Lee