張榮顯

職稱:副教授
專長:衍生性金融商品、風險管理、財務計量、統計學
學歷:台灣大學國際企業學系(財務金融) 博士
E-mail:jschang@ncnu.edu.tw
聯絡電話:(049)2910-960 ext 4693
Office Hours: 星期四10:00~12:00(請事先以e-mail與老師預約)
研究室: 管413-1

 


 

主要學歷 / Education

台灣大學 國際企業學系(財務金融) 博士 (2002-2009) 
清華大學 統計所 碩士 (1999-2001) 
文化大學 應用數學系 學士 (1993-1997)

 

研究領域 / Research Areas

1. 衍生性金融商品
2. 財務計量
3. 信用風險

 

著作目錄:

A. 期刊論文:

  1. Jung-Hsien Chang, Mao-Wei Hung, and Feng-Tse Tsai, “Credit contagion and competitive effects of bond rating downgrades along the supply chain” Finance Research Letters, November 2015, Vol. 15, 232-238. (SSCI)
  2. Hui-Chu Shu, and Jung-Hsien Chang, “Investor Sentiment and Financial Market Volatility,” Journal of Behavioral Finance, August 2015, Vol. 16 Issue 3, 206-219. (SSCI, corresponding author)
  3. 朱香蕙,張榮顯,林玉森,2014/07。評估具厚尾分配風險之避險效果,經濟研究50(2),141-173。 (TSSCI)
  4. Jung-Hsien Chang, Feng-Tse Tsai,and Wen-Tau Chung, “Pricing VIX Futures: Evidences from S&P 500 and VIX indexes,” International Research Journal of Finance and Economics, June 2014, 124, 48-58.(EconLit, corresponding author)
  5. 柯冠成,江惠君,林信助,張榮顯,2012/10。資產成長與股票報酬之關係:台灣實證,管理學報29(5), 501-523。(TSSCI, corresponding author)
  6. Jung-Hsien Chang, and Mao-Wei Hung, “Estimating Time-varying Hedging in the Futures Market with the Non-Parametric Approach,” The Empirical Economics Letters,September 2010, Vol. 9 No. 9, 841-848. (EconLit,corresponding author)
  7. Jung-Hsien Chang, and Mao-Wei Hung, “Liquidity Spreads in the Corporate Bond Market: Estimation Using a Semi-parametric Model,” Journal of Applied Statistics,March 2010, Vol. 37 Issue 3, 359-374. (SCI, Lead article, corresponding author)

 

B. 研討會論文:

  1. “Information Content of Option Trading” in 2016 Global Economics and Management Conference, Taiwan, 2016.
  2. “Information Content of VolatilityIndex: Evidence from U.S., European, and AsianStock Markets” in the International Conference on Business and Information, Macau, 2015.
  3. “Information Transfer Effect of Bond Rating Downgrades within the Industry and along the Supply Chain: Evidence from CDS Market” in The 2nd IFMA International Conference on Finance, Bali,Indonesia, 2014.
  4. “On the Relationship Between Europe Credit Default Swaps and the Related Factor of default risks” 2013台灣財金學術聯盟年會暨海峽兩岸學術論文研討會議程, 國立高雄第一科技大學, 04/2013.
  5. “Nonparametric Pricing of VIX Options Using Canonical Valuation” in the Conference of Behavioral Finance & International Financial Markets, Taipei, Taiwan, 2013. 2013中部財金學術聯盟暨第十屆兩岸金融市場發展研討會, 逢甲大學, 04/2013.
  6. “Pricing VIX Futures: Evidences from S&P 500 and VIX indexes” in the International Conference on Business and Information, Sapporo, Japan, 2012.
  7. “Volatility Index and Derivatives Pricing under Stochastic Volatility Model”, in the Conference of Behavioral Finance & International Financial Markets, Taipei, Taiwan, 2012.
  8. “Pricing Credit Derivatives with Liquidity Risk: Evidence from Credit Default Swap”, in the Conference of Midwest Finance Association, Las Vegas, Nevada, 2010.

更新日期:2016.09.01