研究成果列表
單位名稱應用經濟學系教師姓名張光亮
教師分級教授專兼任專任
在校狀態在職行政職務應用經濟學系主任暨研究所所長

期刊論文(共計27筆)
序號學年度學期年度月份作者題目通訊作者作者順位期刊名稱卷數頁數關鍵字
10981200911Chang, Kuang-Liang (張光亮)Do macroeconomic variables have regimedependent effects on stock return dynamics?Evidence from the Markov regime switching model.第一順位Economic Modelling26 1283-1299  
2098120099Chang, Kuang-Liang (張光亮)Does the Risk-Return Relationship Depend on Risk Proxy and Distribution Specification? Evidence from US Stock and REIT Markets第一順位Empirical Economics Letters843-850  
30991201010Chang, Kuang-Liang* (張光亮), Chi-Wei HeDoes the Magnitude of Effect of Inflation Uncertainty on Output Growth Depend on the Level of Inflation第一順位The Manchester School78 126-148  
4099120109Chang, Kuang-Liang (張光亮)House Price Dynamics, Conditional Higher-Order Moments, and Density Forecasts第一順位Economic Modelling27 1029-1039  
51001201110Chang, Kuang-Liang (張光亮)The Optimal Value-at-Risk Hedging Strategy under Bivariate Regime Switching ARCH Framework第一順位Applied Economics43 2627-2640  
61001201110蔡怡純*,陳明吉,張光亮台灣不動產投資信託基金具有防禦性嗎? 第三順位證券市場發展季刊23 199-224  
7099220115Chang, Kuang-Liang (張光亮)The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns第一順位Economic Modelling28 911-920  
8099220117Chang, Kuang-Liang (張光亮), Nan-Kuang Chen and Ka-Yui Leung*Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock 第一順位Journal of Real Estate Finance and Economics43 221-257  
9100120118張光亮*、黃宗佑美國存託憑證與母國股票報酬間之動態關聯性-極端尾部相依性以及Kendall′s tau 之研究第一順位經濟研究47 305-356  
10100120121Chang, Kuang-Liang (張光亮)Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market 第一順位Energy Economics34 294-306  
111011201211Chang, Kuang-Liang (張光亮)The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the mixture copulabased ARJI-GARCH model第一順位Economic Modelling29 2298-2309  
121011201212Chen Ho-Chyuan, Kuang-Liang Chang*(張光亮), Shih-Ti YuApplication of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions第二順位Japan and the World Economy24 274-282  
13100220122Chang, Kuang-Liang (張光亮)Stock return predictability and stationarity of dividend yield第一順位Economics Bulletin32 715-729  
14100220125Chang, Kuang-Liang (張光亮), Nan-Kuang Chen and Ka-Yui Leung*The dynamics of housing returns in Singapore: How important are the international transmission mechanisms第一順位Regional Science and Urban Economics42 516-530  
15100220126Chang, Kuang-Liang (張光亮)The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty第一順位Journal of Macroeconomics34 523-536  
16101120128Chang, Kuang-Liang (張光亮)Analysis of structural changes in the relationship among regional housing markets in Taiwan第一順位Economics Bulletin32 2220-2230  
17101220132Chang, Kuang-Liang (張光亮), Nan-Kuang Chen and Ka-Yui Leung*In the shadow of the United States: The international transmission effect of asset returns第一順位Pacific Economic Review18 1-40  
18101220133Liu Wen-Hsien* , Ching-Fan Chung, Kuang-Liang Chang(張光亮)Inventory change, capacity utilization and the semiconductor industry cycle第三順位Economic Modelling31 119-127  
19102120139Chang, Kuang-Liang (張光亮); Yu, Shih-TiDoes crude oil price play an important role in explaining stock return behavior第一順位Energy Economics39 159-168  
20102220144Chang, Kuang-Liang (張光亮); Yen, Ming-HuiThe magnitude and significance of macroeconomic variables in explaining regional housing fluctuations第一順位Economics Bulletin34 828-841  
21102220147Chang, Kuang-Liang (張光亮)The symmetrical and positive relationship between crude oil and nominal exchange rate returns第一順位North American Journal of Economics and Finance29 266-284  
221051201612Chang, Kuang-Liang (張光亮), Nan-Kuang Chen, Charles Ka Yui LeungLosing Track of the Asset Markets:the Case of Housing and Stock第一順位International Real Estate Review19 435-492  
23104220163Chang, Kuang-Liang (張光亮)Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?第一順位International Review of Economics and Finance42 72-87  
24105120171Chang, Kuang-Liang (張光亮)Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula第一順位North American Journal of Economics and Finance39 56-67  
251061201710Chang, Kuang-Liang (張光亮)A mixed dependence between the exchange rate and international crude oil returns:an application of dynamic mixture copula第一順位Emerging Markets Finance and Trade53 2347-2360  
26106120178Chang,Kuang-Liang (張光亮) and Shih-Ti YuAn investigation on the relationship between return and trading volume:asymmetric V-type or asymmetric increasing-type pattern第一順位Quantitative Finance17 1223-1241  
27106220182Chang, Kuang-Liang (張光亮)Asymmetric downside and upside co-movements between stock and REIT markets第一順位Applied Economics Letters25 78-82  

會議論文(共計16筆)
序號學年度學期年度月份作者題目通訊作者作者順位發表性質會議論文集或研討會名稱地點
10971200812Chang, K. L.(張光亮), N. K. Chen and K. Y. Leung Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock第一順位口頭發表 台灣經濟學會2008年會  
2096220086張光亮英國與美國房價動態與條件高階動差第一順位口頭發表 2008台灣財務金融學會研討會  
3097220095Chang, K. L.(張光亮), N. K. Chen and K. Y. Leung Would Some Model Please Give Me Some Hints? An Empirical Investigation on Monetary Policy and Asset Return Dynamics.第一順位口頭發表 第十屆全國實證經濟學論文研討會  
4098120101張光亮是否股票報酬與波動之動態受到不同狀態轉換變數規範呢? DRV-AR-GARCH模型之運用第一順位口頭發表 2010兩岸金融研討會  
5098220107Chang, K. L. (張光亮), N. K. Chen and K. Y. Leung Asymmetric, Non-Linear, and EGARCH Effects of Monetary Policy on the Mean and Volatility of Housing Returns第一順位口頭發表 The 15th Asian Real Estate Society (AsRES) International Conference  
61001201111Chang, Kuang-Liang (張光亮), Nan-Kuang Chen and Ka-Yui Leung*In the shadow of the United States: The international transmission effect of asset returns第一順位口頭發表 台灣經濟學會台灣效率與生產力學會台灣農業與資源經濟學會2011年聯合年會  
7100220126Kuang-Liang Chang, Ka Yui Leung, Nan-Kuang ChenWould some model please give me some hints? In search of stylized facts of the monetary policy and asset return dynamics第二順位書面發表 WEAI 87th annual conference   
81031201411Kuang-Liang ChangDo stock and REITs hedge inflation risk?An application of Markov-switching copula specification第一順位口頭發表 2014 Asia Conference on Economics & Business Research SINGAPORE 
9102220146Kuang-Liang Chang;Nan-Kuang Chen;Charles K. Leung*Losing track of the asset markets: the case of housing and stock第一順位口頭發表 2014 Asian Meeting of the Econometric Society  
10103220156Kuang-Liang ChangAn Investigation on the Magnitude of Time-Varying and Quantile-Varying Relationship Between Price and Trading Volume: V-type or Increasing-type Pattern第一順位口頭發表  21st Computing in Economics and Finance Taipei 
11104120161Kuang-Liang ChangAn Investigation on the Magnitude of Time-Varying and Quantile-Varying Relationship between Return and Trading Volume: Asymmetric V-Type or Asymmetric Increasing-Type Pattern第一順位口頭發表 The 9th NCTU International Finance Conference  
12104120161張光亮不動產資產風險貼水迷思是否存在呢?第一順位口頭發表 2016 年中華民國住宅學會年會暨學術研討會  
13104220165Kuang-Liang ChangAssessing the economic index of riskiness and economic performance index: An investigation on real estate, REITs and stock markets第一順位口頭發表 2016 International Conference of Taiwan Finance Association  
141061201712Kuang-Liang Chang(張光亮) ;Jui-Chuan Della ChangInvestigating the Dynamic Dependence between the U.S. International Tourism Demand and Exchange Rate in a Time-Varying and State-Switching Copula Model第一順位口頭發表 The 11th NCTU International Finance Conference  
151061201712Kuang-Liang Chang;Jui-Chuan Della ChangInvestigating the Dynamic Dependence between the U.S. International Tourism Demand and Exchange Rate in a Time-Varying and State-Switching Copula Model第一順位口頭發表 台灣經濟學會2017年年會  
16105220177Kuang-Liang Chang;CHI-WEI HEThe relative importance of co-jump and idiosyncratic jump on the dynamic relationship between US and Asian securitized real estate markets第一順位口頭發表 The 2017 International Joint Conference of AsRES and GCREC  

研究計畫(共計11筆)
序號學年度學期年度月份參與性質委辦單位計畫名稱開始日期結束日期經費
11001201108計畫主持人科技部運用mixture copula-based ARJI-GARCH 模型來制定動態期貨避險策略2011/08/012012/07/31409000
21011201208計畫主持人科技部利用馬可夫狀態轉換ARJI-GARCJH-TVTP模型來調查原油價格變動對於股票價格以及股票風險值之影響2012/08/012013/07/31527000
3095120068計畫主持人科技部最適風險值避險策略之制定:雙變量regime switching AR-ARCH (SWARCH)模型之運用2006/08/012007/07/310
4096120078計畫主持人科技部總體經濟變數在不同狀態時期對股票報酬、波動與狀態轉換機率之影響:馬可夫狀態轉換模型之證據2007/08/012008/07/310
5099120108計畫主持人科技部原油價格之動態以及高階動差行為探討2010/08/012010/07/31416000
61021201308計畫主持人科技部股票與不動產信託基金規避通貨膨脹風險之能力-MS-AR-GARCH-SJC-Copula設定之應用2013/08/012014/07/31530000
71031201408計畫主持人科技部能源期貨報酬與交易量之非線性關係-與時俱變混合型copula方法在不同分量下之證據2014/08/012015/07/31436000
81041201508計畫主持人科技部利用Homm and Pigorsch (2012) 所提出的經濟績效測度重新檢視不動產資產風險貼水迷思2015/08/012016/07/31531000
91051201608計畫主持人科技部具有馬可夫狀態轉換跳躍過程之多重馬可夫狀態轉換動態相關係數GARCH模型於動態避險策略以及金融資產相關性之探討2016/08/012017/07/31580000
101061201708科技部區域房價關聯性以及房價向下僵固性-馬可夫狀態轉換相依機制之複合型copula設定之應用2017/08/012018/07/31806000
111071201808科技部動態相依結構與動態相依強度於股票與匯率市場關聯性之重要性2018/08/012019/07/31695000