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* (2013). Global and Regional Range-based Volatility Spillover Effects. Emerging Markets Review, 14, P.1-P.10. (SSCI). NSC 98-2410-H-033-002.

2.          Yen-Hsien Lee * (2012). Non-linear Smooth Adjustments Relationship between US and Taiwanese Stock Market. Zagreb International Review of Economics & Business, 15(1), P.89-P.101. (Econlit).

3.          Yen-Hsien Lee*, Jui-Cheng Hung, Yi-Hsien Wang, 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. (Econlit). NSC 99-2410-H-033-023-MY2.

4.          Yen-Hsien Lee, Chi Tai Lin, 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, P.590-P.609. (SSCI).

5.          Yen-Hsien Lee, Hao Fang (2012). Oil and S&P 500 Markets Evidence from the Nonlinear Model. International Journal of Economics and Financial Issues, 2(3), P.272-P.280. (Econlit).

6.          Yen-Hsien Lee, Ya-Ling Huang*, Hao-Jang Yang (2012). The Asymmetric Co-integration Relationship between Crude Oil and Gold Futures. Global Journal of Business Research, 6(1), P.9-P.16. (Econlit).

7.          Yi-Hsien Wang, Jui-Cheng Hung, Yen-Hsien Lee, Chung-Chu Chuang (2012). Computing Regression Quantiles to Analysis the Relationship between Market Behavior and Political Risk. Quality & Quantity International Journal of Methodology, 46(4), P.1047-P.1055. (SSCI).

8.          Hao Fang, 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), P.126-P.140.

9.          Ya-Ling Huang, Yen-Hsien Lee * (2011). Accurately Forecasting Model for the Stochastic Volatility Data in Tourism Demand. Modern Economy, 2(5), P.823-P.829. (Econlit).

10.     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. (SSCI)

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

12.     Yen-Hsien Lee (2010) The Impact of Deregulation on Stock Market Efficiency, The International Journal of Business and Finance Research, 4, (2), 165-176. (EconLit)

13.     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. (FLI and Econlit)

14.     Yen-Hsien Lee and Tung-Yueh Pai (2010) REIT Volatility Prediction for Skew-GED Distribution of the GARCH, Expert Systems with Applications, 37(7), 4737-4741. (SCI, EI)

15.     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. (SSCI).

16.     Chi-Tai Lin and Yen-Hsien Lee (2010) The Jump-Diffusion Process for the VIX and the S&P 500 Index, African Journal of Business Management, 4(9), pp. 1761-1768. (SSCI)

17.     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. (FLI and Econlit)

18.     Chi-Tai Lin and Yen-Hsien Lee (2010) Understanding which events occur in structural breaks by re-examining the PPP hypothesis for G7 countries, International Research Journal of Finance and Economics, 51, 7-16. (EconLit)

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

20.     Yen-Hsien Lee and Chien-Liang Chiu, 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, iFirst, 1-9. (SSCI)

21.     Chien-Ming Huang and Yen-Hsien Lee (2009) The Impact of Oil Price Shocks on the REIT Market, International Research Journal of Finance and Economics, 33, 120-133. (EconLit) [NSC 97-2410-H-033 -032]

22.     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. (FLI and EconLit)

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

24.     Hung-Chun Liu, Yen-Hsien Lee and Ming-Chih Lee (2009), Forecasting China Stock Markets Volatility via GARCH Models under Skewed-GED Distribution, Journal of Money, Investment and Banking, 7 (January), 1-11. (EconLit)

25.     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. (FLI and Econlit)

26.     Jer-Shiou Chiou, Yen-Hsien Lee and Cho-Min Lin (2008) Existence of a Long-run Equilibrium between the S&P 500 and Oil Prices, International Research Journal of Finance and Economics, 21, 68-75. (EconLit)

27.     Yen-Hsien Lee, Hung-Chun Liu and Chien-Liang Chiu (2008) Nonlinear Basis Dynamics for the Brent Crude Oil Markets and Behavioral Interpretation: A STAR-GARCH Approach, International Research Journal of Finance and Economics, 14, 51-60. (EconLit)

28.     Ming-Chih Lee and Yen-Hsien Lee (2008) Do Foreign Trading Patterns Cause Abnormal Information from Taiwanese Stock Markets?, Applied Economic Letter, Vol.15, Issue, 15,1219-1224.(SSCI)

29.     Chiung Chiao Chang and Yen-Hsien Lee (2008) Asymmetric Causal Relationship between Spot and Futures in Taiwan, International Research Journal of Finance and Economics, 14, 113-121. (EconLit)

 

 

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 2012/12/27  Dr. Yen-Hsien Lee