Prof. Thomas Chinan Chiang

Prof. Thomas Chinan Chiang

Drexel University, USA

Marshall M. Austin Chair Professor



1981 Ph.D., Pennsylvania State University, Financial Economics

1973 M.A., Universityof Hawaii, Economics

1967 B.A., National Chung-Hsing University


  1. Chiang, Thomas C., Dazhi Zheng, 2010. An empirical analysis of herd behavior in global stock markets, Journal of Banking and Finance, 34(8), August, 1911-1921.
  2. Chiang, Thomas, C., Zhuo Qiao and Wing-Keung Wong, 2010. New evidence on the relation between return volatility and trading, Journal of Forecasting, 29(5), August, 502-515.
  3. Chiang, Thomas C., Jiandong Li., Lin Tan, 2010. Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis, Global Finance Journal, 21(1), 111-124.
  4. Qiao, Zhuo, Thomas C. Chiang, Wing-Keung Wong, 2008. Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market, Journal of International Financial Markets, Institutions & Money 18(5), December, 425-437.
  5. Chiang, Thomas, C., Hooi Hooi Lean, and Wing-Keung Wong, 2008, Do REITs outperform stocks and fixed-income assets? New evidence from mean-variance and stochastic dominance approaches, Journal of Risk and Financial Management 1 (1), 1-40.
  6. Li, Huimin, Bang Nam Jeon, Seong-Yeon Cho, Thomas C. Chiang, 2008. The Impact of Sovereign Rating Changes and Financial Contagion on Stock Market Returns: Evidence from Five Asian Countries, Global Finance Journal 19 (1), 46-55.
  7. Tan, Lin, Thomas C. Chiang, Joe Mason, Edward Nelling, 2008. Herding Behavior in Chinese Stock Markets: An Examination of A and B Shares, Pacific-Basin Finance Journal, Special Issue on Behavioral Finance 16 (1-2), January, 61-77.
  8. Chiang, Thomas C., Bang N. Jeon, Huimin Li, 2007. Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets, Journal of International Money and Finance 26 (7) November, 1206-1228. A revised and pedagogical version of the paper with the same title is included in Financial Contagion: The Viral Threat to the Wealth of Nations, Robert W. Kolb, ed., John Wiley, Hoboken, NJ. Chapter 12, 103-114.
  9. Chiang, Thomas C., Lin Tan, Huimin Li, 2007. Empirical Analysis of Dynamic Correlations of Stock Returns: Evidence from Chinese A-Share and B-Share Markets, Quantitative Finance 7(6), December, 651 – 667.
  10. Chiang, Thomas C., C.W.S. Chen, M. K. P. So, 2007. Asymmetries in Return & Volatility and Composite News from Stock Markets, Multinational Finance Journal 11 (3/4), September/December, 179-210.
  11. You, Taewoo You, Mark Holder, Thomas C. Chiang, 2006. The Won/Dollar Forward Exchange Return and Risk Premium: Empirical Evidence from the 1997 Financial Crisis, Review of Futures Markets 15(1), summer, 607-639.
  12. Chiang, Thomas C., Doseong. Kim, Euiseong Lee, 2006. Country-Fund Discounts and Risk: Evidence from Stock Market Volatility and Macroeconomic Volatility, Journal of Economics and Business 58 (4), July-August, 303-322.
  13. Chiang, Thomas C., Sheng-Y. Yang, 2005. International Asset Excess Returns and Multivariate Conditional Volatilities, Review of Quantitative Finance and Accounting 24 (3), 295-312.
  14. Chen, C.W.S., Thomas C. Chiang, M. K.P. So, 2003. Asymmetrical Reaction to US Stock-Return News: Evidence from Major Stock Markets Based on a Double-Threshold Model, Journal of Economics and Business 55 (5-6), September-December, 487-502.
  15. Chiang, Thomas C., Shuh Chi-Chyi Doong, 2001. Empirical Analysis of Stock Returns and Volatilities: Evidence from Seven Asian Stock Markets Based on TAR-GARCH Model, Review of Quantitative Finance and Accounting 17, 301-318.
  16. Jiang, C. X., Thomas C. Chiang, 2000. Do Foreign Exchange Risk Premiums Relate to the Volatility in the Foreign Exchange and Equity Markets? Applied Financial Economics 10, 2000, 95-104.
  17. Shen, C.H., Thomas C. Chiang, 1999. Retrieving the Vanishing Liquidity Effect - A Threshold Vector Autoregressive Model, Journal of Economics and Business 51 (3), May/June, 257-277.
  18. Chiang, Thomas C., 1997. Time Series Dynamics of Short-Term Interest Rates - Evidence from Euro-Currency Markets, Journal of International Financial Markets, Institutions & Money 7, October, 201-220.
  19. Chiang, Thomas C., R.K. Chung, 1993. An Empirical Analysis of the Expert Expectations Hypothesis in the US Treasury Bill Market, Applied Financial Economics December, 329-334.
  20. Chiang, Thomas C., 1991. International Asset Pricing and Equity Market Risk, Journal of International Money and Finance 10 (3), September, 349-364.
  21. Chiang, Thomas C., D.R. Kahl, 1991. Forecasting Treasure Bill Rate - A Time Varying Coefficient Approach, Journal of Financial Research Winter, 327-336.
  22. Chiang, Thomas, C., 1988. The Forward Rate as a Predictor of the Future Spot Rate - A Stochastic Coefficient Approach, Journal of Money, Credit and Banking 20(2), May, 210-232.
  23. Chiang, Thomas, C., 1986. Empirical Analysis on the Predictions of the Future Spot Rates, Journal of Financial Research 9(2), Summer, 153-162.
  24. Chiang, Thomas, C., 1986. On the Predictors of the Future Spot Rate - A Multi-Currency Analysis, (Thomas C. Chiang), Financial Review 21(1), February, 69-84.

Profile Details