姓名:高櫻芬Yin-Feng Gau

職稱:教授

到校年月:

辦公室:管二館

傳真:(03) 4252961

聯絡電話:(03) 4227151 ext. 66263

Emailyfgau@ncu.edu.tw


 

【學歷】

  University of California, San Diego, Department of Economics博士

  國立台灣大學 經濟學研究所 碩士

  國立台灣大學 經濟學系 學士

 

【經歷】

  國立中央大學財務金融學系 副教授

  國立暨南國際大學國際企業學系 副教授

  國立暨南國際大學國際企業學系 助理教授

  加州大學聖地牙哥分校 (UCSD) 經濟學系 客座助理教授

 

【論文著作】Publications 

 

(A) 期刊論文 Refereed Journal Publications

 

2006-2010

  1. Gau, Yin-Feng, Mingshu Hua, and Wenlin Wu, 2010, “International Asset Allocation for Incompletely Informed Investors", Journal of Financial Markets, 13, 422-447, (SSCI, 2009 Impact factor: 1.281, 國科會財務類A- 級期刊)

  2.  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, 2009 Impact factor: 1.908, 國科會財務類A 級期刊; 國科會專題研究計劃補助:NSC NSC97-2410-H-008-061)

  3.  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, 2009 Impact factor: 1.908, 國科會財務類A-級期刊;國科會專題研究計劃補助:NSC94-2415-H-260-001)

  4.  Lin, Chih-Ling, Ming-Chieh Wang, and Yin-Feng Gau, 2007, “Expected Risk and Excess Returns Predictability in Emerging Bond Markets”, Applied Economics, 39, 1511-1529, (EconLit, SSCI, 2007 Impact factor: 0.294)

  5.  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, (EconLit, 國科會財務類B+ 級期刊)

  6.  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, 國科會財務類A- 級期刊)

  7.  

     

    2005年以前

     

  8. 高櫻芬2005,「外匯市場的買價與賣價的動態調整過程:以日圓/美元市場為例」,《中山管理評論》,第十三卷第三期,873-896 (TSSCI; 國科會專題研究計劃補助:NSC91-2416-H-260-007)

  9.  Gau, Yin-Feng, 2005, “Intraday Volatility in the Taipei FX Market”, Pacific-Basin Finance Journal, 13, 471-487, (SSCI, 國科會財務類A- 級期刊)

  10. 高櫻芬、黃健輝、湯偉廷,2004,「預測匯率危機的可能性:馬可夫轉換模型與二元選擇模型的預測能力之比較」,《台灣金融財務季刊》5:459-76.【有審稿制度】

  11. 高櫻芬、莊奕真,2004,「美國存託憑證的發行對於標的股預期報酬與波動的影響-台灣與日本上市公司之實證研究」,《台灣銀行季刊》55:4263-276.

  12.  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, 263-266, (SSCI)

  13. 高櫻芬、彭雅玲,2003,「外匯交易市場之市場微結構」,《台灣金融財務季刊》4:2103-115.【有審稿制度】

  14. 高櫻芬、謝家和,2002,「涉險值之衡量:多變量 GARCH 模型之應用」,《經濟論文叢刊》30273-312. (TSSCI)

  15. 高櫻芬、施衍礽,2002,「公司價值與匯率變動之間的關係:台灣上市公司之實證研究」,《風險管理學報》419-46.【有審稿制度】

  16. 高櫻芬、呂仁廣、林建甫,2001,「變異數結構改變的 SWARCH 模型估計:台灣股價報酬之實證研究」,《證券市場發展季刊》1363-97. (TSSCI)

  17. 吳聰敏、高櫻芬,1991,「台灣貨幣與物價長期關係之研究:1907 - 1988年」,《經濟論文叢刊》1923-71. (TSSCI)

(B) 研討會論文 Selected Conference Presentations

 

2006-2010

  1. Chen, Yu-Lun and Yin-Feng Gau, 2010, “Government Intervention and Price Discovery in the Foreign Exchange Market”, The 4th NCTU International Finance Conference [January 7, 2011].

  2. Gau, Yin-Feng Wen-Ju Liao, 2010, “Market Returns and the Trading of Individual and Institutional Investors: Evidence from the Taiwan Futures Exchange”, The 18th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. [December 17-18, 2010].

  3. 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].

  4. 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].

  5. Gau, Yin-Feng and Shiang-Chi Luo, 2010, “Intraday Volatility of Exchange Rates in the Electronic Borking System”, Chinese Probability and Statistics Association 2010 Annual Conference, National Dong Hua University [May 1-2, 2010].

  6. 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].

  7. Gau, Yin-Feng, Mingshu Hua, and Wenlin Wu, 2009, “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].

  8. 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].

  9. 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]. (國科會專題研究計劃補助:NSC96-2415-H-260-002-MY2)

  10. 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]. (國科會計畫補助: NSC 97-2410-H-008-061)

  11. Chen, Ming-Hsien and Yin-Feng Gau, 2008, “Pricing Currency Option with Stochastic Volatility and Jumps,” Asian FA-NFA 2008 International Conference, Yokohama, Japan. [July 6-9, 2008]. (國科會專題研究計劃補助: NSC 93-2415-H-260-001)

  12. 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”, 2008行為財務學暨新興市場理論與實證研討會,世新大學 [January 5, 2008] ; Taiwan Finance Association 2008 Annual Conference, Dong Hua University, Hua-Lien [June 20-21, 2008]. (國科會專題研究計劃補助: NSC96-2415-H-260-002-MY2)

  13. Chen, Yulun and Yin-Feng Gau, 2007, “Price Discovery in the Foreign Exchange Futures and EBS Spot Markets”, The 15th Conference on the Theories and Practices of the Security and Financial Markets, National Sun Yat-Sen University. [December 14-15, 2007]

  14. 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. [December 2006]; Far Eastern Econometric Society Meeting, Taipei, Taiwan. [July 11 - July 13, 2007]. (國科會專題研究計劃補助: NSC94-2415-H-260-001)

  15. Gau, Yin-Feng Gau and Kai-Ting Liao, 2006, “Price Discovery and Exchange Rate Effects: Evidence from the Singapore and Taiwan Futures Exchanges”, WEAI 2006 Conference, San Diego. [June 30-July 3, 2006]

  16.  

    2005年以前

     

  17. Gau, Yin-Feng and Hao-Chang Sung, 2005, “Implied Risk Aversion and Pricing Kernel”, presented in Taiwan Economic Association 2005 Conference. [December 11, 2005]

  18. 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] (國科會專題研究計劃補助: NSC93-2415-H-260-001)

  19. 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. [October 28, 2004]

  20. Hua, Mingshu and Yin-Feng Gau, 2004, “Determinants of Periodic Volatility of Intraday Exchange Rates in the Taipei FX Market”, 2004 Asia FA/CFA/FMA Conference, Taipei. [July 12-14, 2004]

  21. Gau, Yin-Feng and Wei-Ting Tang, 2004, “Forecasting Value-at-Risk Using the Markov-Switching ARCH Model”, 2004 Far Eastern Meeting of Econometric Society, Seoul. [June30 - July 2, 2004](獲國科會出席國際學術會議之補助 )

  22. 高櫻芬,2003,「另一種預測匯率危機的方法」,2003開放經濟與總體計量會議,中央研究院經濟研究所與行政院主計處。(國科會專題研究計劃補助:NSC-89-2415-H-260-003)

  23. 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.

  24. 高櫻芬、彭雅玲,2003,「外匯交易量與買賣報價之動態交互關係」,2003現代財務論壇學術研討會,靜宜大學. (國科會專題研究計劃補助:NSC-91-2416-H-260-007)

  25. 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.

  26. 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.

  27. Gau, Yin-Feng and Mingshu Hua, 2002, “The Periodicity in Intraday Volatility of Exchange Rates”, 2002 APFA/PACAP/FMA Finance Conference, Tokyo, Japan. (獲國科會出席國際學術會議之補助 )

  28. Gau, Yin-Feng, 2002, “Time-Varying Correlations and Volatilities of Stock Index Futures Returns”, International Conference on Finance, National Taiwan University; 10th Conference on the Theories and Practices of the Security and Financial Markets National Sun Yat-Sen University. (國科會專題研究計劃補助: NSC-89-2415-H-260-010)

  29. 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; Pacific Rim Conference, Western Economic Association International, Taipei.

  30. 高櫻芬、莊奕真,2002,「美國存託憑證的發行與交易對於股票之預期報酬與波動的影響」,第三屆全國實證經濟學論文研討會,國立暨南大學。

  31. 高櫻芬、吳東安,2001,「股價波動與交易量之關係:台灣股市之實證分析」,台灣經濟學會2001年年會。

  32. 高櫻芬,2001,「貨幣貶值危機之可預測性」,第二屆國際企業管理研討會,國立暨南大學; 2001東吳經濟學術研討會,東吳大學。(國科會專題研究計劃補助:NSC-89-2415-H-260-003)

  33. 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.

  34. 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.

  35. 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.

  36. 高櫻芬、呂仁廣、林建甫,2000,「變異數結構變動的SWARCH 模型估計:台灣股價報酬之實證研究」,第一屆全國實證經濟學論文研討會,國立中正大學。

  37. 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.

  38. 呂仁廣、高櫻芬、林建甫,1998,「條件變異數結構變動的SWARCH 模型估計」,台灣財務學會1998年年會,國立中央大學。

  39. 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.

(C) 專書及專書論文 Book

  1.  Gau, Yin-Feng, 1997, Heteroskedastic Volatility of Foreign Exchange Rates, Ph.D. dissertation, Department of Economics, University of California, San Diego. 【蔣經國文教基金會博士論文獎學金】

  2. 高櫻芬,1990,《台灣地區貨幣與物價長期關係之研究》,碩士論文,國立臺灣大學經濟學研究所。【台灣經濟學會1990年度碩士論文獎】

(D) 技術報告及其他 Working Papers

  1. Engle, Robert F., and Yin-Feng Gau, 1997, “Conditional Volatility of Exchange Rates under a Target Zone,” Department of Economics, Working Paper 97-06, University of California at San Diego. EconLit

(E) 研究計畫報告

 

2006-2010

  1. 高櫻芬,「新興股票市場的波動性與連動性」,國家科學委員會,民國九十九年。(NSC 96-2415-H-008-011-MY2)

  2. 高櫻芬,「總體經濟宣告對於EBS 即期外匯市場之價格發現的影響」,國家科學委員會,民國九十八年。(NSC 97-2410-H-008 -061)

  3. 高櫻芬,「中央銀行干預對新台幣兌美元匯率與市場交易量的影響」,國家科學委員會,民國九十七年。(NSC-95-2415-H-260-003)

  4. 高櫻芬,「選擇權交易之資訊含量」,國家科學委員會,民國九十六年。(NSC-94-2415-H-260-001)

  5. 高櫻芬,「隱含波動性與實現波動性」,國家科學委員會,民國九十五年。(NSC-93-2415-H-260-001)

  6.  

    2005年以前

     

  7. 高櫻芬,「股票報酬波動與交易量之動態關係」,國家科學委員會,民國九十四年。(NSC-92-2416-H-260-007)

  8. 高櫻芬,「外匯市場之報價頻率與買價賣價之動態」,國家科學委員會,民國九十二年。(NSC-91-2416-H-260-007)

  9. 高櫻芬,「股票指數期貨市場之連動與波動」,國家科學委員會,民國九十一年。(NSC-89-2415-H-260-010)

  10. 高櫻芬,「貨幣金融危機之可預測性」,國家科學委員會,民國八十九年。( NSC-89-2415-H-260-003)

  11. 高櫻芬,「股價波動與漲跌幅限制:台灣股票市場之實證分析」,國家科學委員會,民國八十九年。( NSC-88-2415-H-260-003)