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專任老師
高櫻芬 教授
學歷: 美國加州大學聖地牙哥分校經濟學博士
專長: 國際資本市場、市場微結構、財務時間數列分析
辦公室: 管二館838
分機: 66263
聯絡信箱 : yfgau@ncu.edu.tw
個人網頁 : http://fm.mgt.ncu.edu.tw/teacher/Yin-Feng%20Gau/

期刊論文

  1. Wu, Wen-Lin, and Yin-Feng Gau  (2016), Home Bias in Portfolio Choices: Social Learning among Partially Informed Agents, Review of Quantitative Finance and Accounting, forthcoming. 【科技部財金與會計學門會計領域ATier-2 級期刊;財務領域A- 級期刊】.
  2. Chang, Yating, and Yin-Feng Gau (2016), Information Effect of Trades Around Macroeconomic Announcements, Journal Financial Studies, forthcoming. 【TSSCI;科技部專題研究計劃補助:NSC 101-2410-H-008 -029】.
  3. Chen, Yu-Lun, Yin-Feng Gau, and Wen-Ju Liao (2016), Trading Activities and Price Discovery in Foreign Currency Futures Markets, Review of Quantitative Finance and Accounting, 46, 793-818. 【科技部財金與會計學門會計領域A Tier-2 級期刊;財務領域A- 級期刊】.
  4. Chen, Yu-Lun and Yin-Feng Gau (2015), Foreign Exchange Market Intervention and Price Discovery , Journal of The Japanese and International Economies, 38, 217-227. 【SSCI, 2014 Impact factor: 0.448,科技部經濟學門B+ 級期刊】.
  5. Chen, Yu-Lun and Yin-Feng Gau (2014), Asymmetric Responses of Ask and Bid Quotes to Information in the Foreign Exchange Market, Journal of Banking and Finance, 38, 194-204 【SSCI, 國科會財務領域A Tier-1 級期刊】.
  6. Chen, Yu-Lun, Yin-Feng Gau, Wen-Ju Liao  (2014), Trading Activities and Price Discovery in Foreign Currency Futures Markets, Review of Quantitative Finance and Accounting,  forthcoming 【國科會財務領域A- 級期刊】.
  7. Gau, Yin-Feng and Zhen-Xing Wu (2014), Order Choices under Information Asymmetry in Foreign Exchange Markets, Journal of International Financial Markets, Institutions, and Money, 30, 106-118.【SSCI, 國科會財務領域A- 級期刊】.
  8. Chen, Yulun, Yin-Feng Gau, and Ching-Yu Wang (2013), Macroeconomic Announcements and Information Asymmetry in the Foreign Exchange Market, Journal of Financial Studies, 21:3; 1-28 【TSSCI】.
  9. Chen, Ming-Hsien, Yin-Feng Gau, and Vivian W. Tai (2013), Issuer Credit Ratings and Warrant-Pricing Errors, Emerging Markets Finance and Trade, 49:S3, 35-46 【SSCI】.
  10. Chang, Ya-Kai, Yu-Lun Chen, Robin K. Chou, and Yin-Feng Gau (2013), The Effectiveness of Position Limits: Evidence from the Foreign Exchange Futures Markets, Journal of Banking and Finance, 37, 4501-4509 【SSCI, 國科會財務領域A Tier-1 級期刊】.
  11. 高櫻芬、宋昌原 (2013), 台灣期貨市場交易制度之變化對於交易量、買賣價差、與波動度的影響, 期貨與選擇權學刊, 6:1, 1-22 【TSSCI】.
  12. Gau, Yin-Feng and Wen-Ju Liao (2012), The Predictability of Excess Returns in the Emerging Bond Markets,  Applied Financial Economics, 22, 1429-1451 【國科會財務領域B+ 級期刊】.
  13. Chen, Yulun and Yin-Feng Gau, (2012), Information Shares in Foreign Currency Futures and Spot Markets, Advances in Financial Planning and Forecasting, forthcoming 【國科會財務領域B 級期刊】.
  14. Gau, Yin-Feng, Mingshu Hua, and Wenlin Wu (2010), International Asset Allocation for Incompletely Informed Investors, Journal of Financial Markets,13, 422-447 【SSCI, 國科會財務領域A Tier-1 級期刊】  .
  15. Chen, Yulun and Yin-Feng Gau (2010), News Announcements and Price Discovery in Foreign Exchange Spot and Futures Markets, Journal of Banking and Finance, 34, 1628-1636.【SSCI, 國科會財務領域A Tier-1 級期刊】.
  16. Chen, Yulun and Yin-Feng Gau (2009), Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange, Journal of Futures Markets, 29, 74-93. 【SSCI, 國科會財務領域A Tier-2 級期刊】.
  17. Lin, Chih-Ling, Ming-Chieh Wang, and Yin-Feng Gau (2007), Expected Risk and Excess Returns Predictability in Emerging Bond Markets, Applied Economics, 31, 1511-1529. [SSCI].
  18. Gau, Yin-Feng and Mingshu Hua (2007),  Intraday Exchange Rate Volatility: ARCH, News and Seasonality Effects, Quarterly Review of Economics and Finance, 47, 135-158. 【國科會財務領域A- 級期刊】.
  19. Hua, Mingshu and Yin-Feng Gau (2006), Determinants of Periodic Volatility of Intraday Exchange Rates in the Taipei FX Market, Pacific-Basin Finance Journal, 14, 193-208. 【SSCI, 國科會財務領域A Tier-2 級期刊】.
  20. Gau, Yin-Feng (2005), Dynamic Interaction of Bid and Ask Quotes in the Japanese Yen-Dollar Foreign Exchange Market, Sun Yat-Sen Management Review, 13:3, 873-896. [TSSCI}.
  21. Gau, Yin-Feng (2005), Intraday Volatility in the Taipei FX Market, Pacific-Basin Finance Journal, 13, 471-487. 【SSCI, 國科會財務領域A Tier-2 級期刊】.
  22. Gau, Yin-Feng, Kin-Fai Wong, and Wei-Ting Tang (2004), Predicting Currency Crises: The Forecasting Performance of Binomial Choice Models and Markov Switching Models,  Taiwan Banking and Finance Quarterly, 5:4, 59-76.
  23. Gau, Yin-Feng and Yii-Chen Chuang (2004), Impacts of ADR Issuing on the Expected Return and Volatility of the Underlying Stock, Quarter Review, Bank of Taiwan, 55:4, 263-276.
  24. Gau, Yin-Feng and Mingshu Hua (2004), Public Information, Private Information, Inventory Control, and Volatility of Intraday NTD/USD Exchange Rates, Applied Economics Letters, 11, 263-267. [SSCI].
  25. Gau, Yin-Feng and Ya-Ling Peng (2003), Market Microstructure of Financial Exchange Markets, Taiwan Banking and Finance Quarterly, 4:2, 103-115.
  26. Gau, Yin-Feng, and Jia-Hur Hsieh (2002), VaR and the Multivariate GARCH Model, Taiwan Economic Review, 30, 273-312 [TSSCI].
  27. Gau, Yin-Feng, and Yen-Jen Shih (2002), Changes in Exchange Rate and Firm Valuation: Evidence from the Corporations in Taiwan, Journal of Risk Management, 4, 19-46.
  28. Gau, Yin-Feng, Jen-Kuang Leu, and Chien-Fu Lin (2001), Regime Switches in Volatility - Evidence from the Taiwan Stock Returns, Review of Securities & Futures Markets, 13, 63-98. [TSSCI].
  29. Wu, Tsong-Ming, and Yin-Feng Gau (1991), Analysis of Long-run Relation Between Money and Price in Taiwan: 1907 - 1986, Taiwan Economic Review, 19:1, 23-71. [TSSCI}.

研討會

  1. Gau, Yin-Feng and Zhen-Xing Wu (2013), Order Choices under Information Asymmetry in the Foreign Exchange Markets, 2013行為財務學暨新興市場理論與實證研討會, 世新大學 [January 5, 2013]. .
  2. Gau, Yin-Feng and Wen-Ju Liao (2012), Business Cycle and Order Imbalance by Investor Type in the Futures Markets, 2012 TFA Conference, Taipei [July 6-9, 2012] ; The 20th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University [December 14-15, 2012].
  3. Chen, Yu-Lun and Yin-Feng Gau (2012), The informational role of order flow in foreign currency futures and spot markets,  2012 Asian FA conference, Taipei [July 6-9, 2012].
  4. Gau, Yin-Feng and Wenlin Wu (2012), Domestic Bias in Portfolio Choices: Social Learning among Partially Informed Agents,  2012 NTU International Conference on Finance, National Taiwan University [December 6-7, 2012]; The 20th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University [December 14-15, 2012]; 2013 TFA Conference, National Yunlin University of Science and Technology [May 31 - June 1, 2013].
  5. Chen, Yu-Lun and Yin-Feng Gau (2011), Government Intervention and Price Discovery in the Foreign Exchange Market, The 4th NCTU International Finance Conference [January 7, 2011]; The 19th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University [December 9-10, 2011]; Annual Paris Conference on Business and Social Sciences, Paris, France [July 12-13, 2012].
  6. Gau, Yin-Feng and Wen-Ju Liao (2010), Market Returns and the Trading of Individual and Institutional Investors: Evidence from the Taiwan Futures Exchange , The 23rd Australasian Finance & Banking Conference (AFBC) [December 15-17, 2010]; The 18th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University [December 17-18, 2010]; 中部財金學術聯盟暨第八屆金融市場發展研討會 [March 14-15, 2011].
  7. Chen, Yu-Lun and Yin-Feng Gau (2010), Asymmetric Responses of Ask and Bid Quotes to Information in the Foreign Exchange Market, 2010 International Symposium on Financial Engineering and Risk Management, National Taiwan University [June 10-12, 2010]; The 8th NTU International Conference on Economics, Finance and Accounting, National Taiwan University [June 21-23, 2010]; The 18th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. [December 17-18, 2010].
  8. Chen, Yu-Lun, Yin-Feng Gau, and Chin-Yu Wang (2010), Macroeconomic Announcements and Information Asymmetry in the Foreign Exchange Market, Taiwan Finance Association 2010 Annual Conference, National Chi Nan University [May 28-29, 2010]; Asia Finance Association 2011 International Conference, University of Macou, Macou [July 10-13, 2011].
  9. Gau, Yin-Feng and Shiang-Chi Luo (2010), Intraday Volatility of Exchange Rates in the Electronic Broking   System, Chinese Probability and Statistics Association 2010 Annual Conference, National Dong Hua University [May 1-2, 2010].
  10. Chen, Ming-Hsien and Yin-Feng Gau (2010), The Role of Issuers Credit Ratings in Dynamic Warrants Pricing, European Financial Management 2010 Symposium on Asian Finance, Renmin University of China, Beijing, China [April 22-24, 2010]; 2010 NTU International Conference on Finance [December 10-11, 2010].
  11. Gau, Yin-Feng, Mingshu Hua, and Wenlin Wu (2010), International Asset Allocation for Incompletely Informed Investors, 2010 行為財務學暨新興市場理論與實證研討會, 世新大學 [January 9, 2010].
  12. Chen, Yulun and Yin-Feng Gau (2009), Impacts of News Announcements to Order Flow and Price Discovery in the Foreign Exchange Market, 2009 Annual Conference of Taiwan Finance Association, National Central University [May 12-13, 2009]; 2009 Far Eastern Meeting of Econometrics Society, Singapore Management University, Singapore [August 3-5, 2009]; The 17th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. [December 11-12, 2009].
  13. Gau, Yin-Feng and Wen-Ju Liao (2008), Determinants of Emerging Market Bond Returns, The 16th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. [December 5-6, 2008]; 2009行為財務學暨新興市場理論與實證研討會, 世新大學 [January 10, 2009].
  14. Chen, Yulun and Yin-Feng Gau (2008), News Announcements and Price Discovery of FX Spot and Futures Markets, 2008 Far Eastern Meeting of Econometrics Society, Singapore Management University, Singapore [July 16-18, 2008]; The 16th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. [December 5-6, 2008].
  15. Lin, Chih-Ling, Ming-Chieh Wang, and Yin-Feng Gau (2008), Emerging Bond Market Volatility: Dynamic Interdependence and Volatility Transmission between the US and Emerging Bond Markets, Conference on Behavioral Finance and Emerging Markets, Shi-Hsin University.
  16. Chen, Yulun and Yin-Feng Gau (2007), Price Discovery in the Foreign Exchange Futures and EBS Spot Markets, Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University.
  17. Chen, Yulun and Yin-Feng Gau (2006), Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange, Conference on the Theories and Practices of the Security and Far Eastern Econometric Society Meeting, Taipei, Taiwan.
  18. Chen, Yulun and Yin-Feng Gau (2006), Tick Sizes and Relative Rates of Price Discovery in Stock, Futures, and Options Markets: Evidence from the Taiwan Stock Exchange, Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University.
  19. Gau, Yin-Feng Gau and Kai-Ting Liao (2006), Price Discovery and Exchange Rate Effects: Evidence from the Singapore and Taiwan Futures Exchanges, Conference, San Diego.
  20. Gau, Yin-Feng and Hao-Chang Sung (2005), Implied Risk Aversion and Pricing Kernel, presented in Taiwan Economic Association 2005 Conference .
  21. Kuo, Wen-Hsiu, Hsinan Hsu, and Yin-Feng Gau (2004), The Impacts of QFIIS on the Information Transmissions Between the Taiwan Stock Index Futures and Stock Index Spot, International Conference on Knowledge-based Economy and Global Management, Southern Taiwan University of Technology.
  22. Chen, Susan and Yin-Feng Gau (2003), A Multivariate GARCH in Mean Approach to Investigating the Policy Implication of Central Bank Intervention: Evidence from Taiwan, Fourth Conference on Empirical Economics, National Dong Hua University.
  23. Hua, Mingshu and Yin-Feng Gau (2003), Saturday Trading and Volatility: Evidence from the Taipei Foreign Exchange Market, , Pacific Rim Conference, Western Economic Association International, Taipei.
  24. Yang, Sheng-Yung, Yin-Feng Gau, and Ming-Hsien Chen (2003), The Informational Content of the PHLX European Currency Options Market, Pacific Rim Conference, Western Economic Association International, Taipei.
  25. Gau, Yin-Feng and Ming-Hsien Chen (2002), Forecasting Performance of Stochastic Volatility Implied in the PHLX Currency Options Market, 11th Conference on the Theories and Practices of the the Security and Financial Markets, National Sun Yat-Sen University.
  26. Gau, Yin-Feng and Mingshu Hua (2002), The Periodicity in Intraday Volatility of Exchange Rates, 2002APFA/PACAP/FMA Finance Conference, Tokyo, Japan.
  27. Gau, Yin-Feng (2002), Time-Varying Correlations and Volatilities of Stock Index Futures Returns, International Conference on Finance, National Taiwan University.
  28. Gau, Yin-Feng, and Tung-An Wu (2001), Relation between Volume and Volatility: Evidence from Taiwan Stock Market, The 2001 Annual Conference of Taiwan Economics Association.
  29. Gau, Yin-Feng (2001), Time-Varying Correlations and Volatilities of Stock Index Futures Returns, 10th Conference on the Theories and Practices of the Security and Financial Markets National Sun Yat-Sen University.
  30. Gau, Yin-Feng (2001), The Predictability of Currency Devaluation, Conference on Economics, Soochow University.
  31. Engle, Robert F., and Yin-Feng Gau (2001 ), Heteroskedastic Conditional Volatility of Exchange Rates in an Implicit Target Zone , 8th Annual Asia Pacific Finance Association Annual Conference, Bangkok.
  32. Gau, Yin-Feng (2001), The Predictability of Currency Devaluation, The 2nd Conference on International Business Studies, National Chi Nan University.
  33. Hua, Mingshu, and Yin-Feng Gau (2000), The Periodic Volatility Model of Intraday NTD/USD Exchange Rates, 9th Conference on the Theories and Practices of the the Security and Financial Markets, National Sun Yat-Sen University.
  34. Gau, Yin-Feng (2000), Heteroskedastic Volatility of Exchange Rates in an Implicit Target Zone, 2000 Conference on Asia-Pacific Financial Markets and Economies, Yuan-Ze University.
  35. Engle, Robert F., and Yin-Feng Gau (1998), Evaluation of Stochastic Volatility Models – A Case on Foreign Currency Options, 7th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University.
  36. Leu, Jen-Kuang, Yin-Feng Gau, and Chien-Fu Lin (1998), Structural Change in Conditional Variance, The Chinese Finance Association Annual Conference, National Central University.
  37. Engle, Robert F., and Yin-Feng Gau (1997), Heteroskedastic Volatility of Exchange Rates Under a Target Zone , Conference on International Business Studies, National Chi Nan University.
  38. Gau, Yin-Feng ( 2003 ), An Alternative Method of Predicting Currency Crisis, Conference on Open Economy and Macroeconomic Econometrics, Institute of Economics, Academia Sinica.
  39. Yang, Sheng-Yung, Yin-Feng Gau, and Ming-Hsien Chen ( 2002), The Informational Content of the PHLX European Currency Options Market, Third Conference on Empirical Economics, National Chi Nan University.
  40. Gau, Yin-Feng, and Yii-Chen Chuang ( 2002), Effects of ADR Issuing on the Underlying Stock, The Third Annual Conference on Empirical Economics, National Chi Nan University.
  41. Gau, Yin-Feng, Jen-Kuang Leu, and Chien-Fu Lin ( 2000), Markov-switching Autoregressive Conditional Heteroskedasticity - Evidence from Taiwan's Stock Market, The 1st Annual Conference on Empirical Economics, National Chung-Cheng University.
  42. Chen, Ming-Hsien and Yin-Feng Gau, 2004, Pricing Currency Options under Stochastic Volatility, presented in 2004 NTU International Conference on Finance. (December 20-21, 2004) and The First SETA Meeting, Institute of Economics, Academia Sinica (May 18-20, 2005) (), , .
  43. Hua, Mingshu and Yin-Feng Gau (), Determinants of Periodic Volatility of Intraday Exchange Rates in the Taipei FX Market, 2004 Asia FA/CFA/FMA Conference, Taipei.
  44. Gau, Yin-Feng and Wei-Ting Tang (), Forecasting Value-at-Risk Using the Markov-Switching ARCH Model, 2004 Far Eastern Meeting of Econometric Society, Seoul.
  45. Gau, Yin-Feng and Peng, Ya-Ling (), The Impact of Quote Frequency on the Dynamics of Quote Revisions in the Foreign Exchange Market, Conference on Contemporary Finance Research, Prudent University.

著作

  1. 1997 Heteroskedastic Volatility of Foreign Exchange Rates
  2. 1990 Analysis of Long-run Relation Between Money and Price in Taiwan

專利

研究計畫


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