Yen-Hsien Lee
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7 publications
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1753 downloads
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2388 views
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0 books
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The impact of the subprime financial crisis on stock index returns for high- and low-risk countries via CDS indices
Hao Fang , Yen-Hsien LeeInvestment Management and Financial Innovations Volume 8, 2011 Issue #4
Views: 624 Downloads: 174 TO CITE -
A study of dynamics in market volatility indices between US and Taiwan
Yen-Hsien Lee , Jui-Cheng Hung , Yi-Hsien Wang , Chin-Yen HuangInvestment Management and Financial Innovations Volume 9, 2012 Issue #4
Views: 476 Downloads: 160 TO CITE -
Day-of-the-week and jump effects in international investment sentiment indices
Yen-Hsien LeeInvestment Management and Financial Innovations Volume 11, 2014 Issue #2
Views: 455 Downloads: 120 TO CITE -
Foreign ownership, return volatility, and investment opportunities
Yen-Hsien Lee , Tung-Yueh Pai , Ya-Ling Huang , Yu-Shan LinInvestment Management and Financial Innovations Volume 12, 2015 Issue #4 pp. 61-69
Views: 512 Downloads: 139 TO CITE -
The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China
Hao Fang , Tsang-Yao Chang , Yen-Hsien Lee , Wei-Jui Chen doi: http://dx.doi.org/10.21511/imfi.13(4-1).2016.11Investment Management and Financial Innovations Volume 13, 2016 Issue #4 (cont.) pp. 242-253
Views: 1412 Downloads: 2044 TO CITEThis study contributes to the existing literature by combining the multiple methods to clarify the influence of the macroeconomic factors on the real estate investment trust (REIT) index in three Asian countries. The authors, first, use an autoregressive distributed lag (ARDL) bounds test to find that a long-run equilibrium exists between the REIT index and the interest rate, inflation rate, and stock index for China and Singapore. The authors, then, analyze the long- and short-run elasticity of the macroeconomic variables on the REIT index. Finally, using the Granger non-causality test, the authors demonstrate that a unidirectional relationship, in which inflation-rate shifts cause REIT index changes, exists in Japan and Singapore and that a wealth effect, in which stock index movements cause REIT index changes, exists in Singapore. The findings have economic implications for investors seeking to gain from REITs using macroeconomic factors.
Keywords: REITs, macroeconomic factor, ARDL bounds test, ARDL long-run model, error-correction model, Granger non-causality test.
JEL Classification: C22, G11, L85, D53, C58, F14 -
The adjustment speeds of short-run real estate investment trust (REIT) and corresponding stock returns in the USA and Australia
Hao Fang , Yen-Hsien Lee , Jen-Sin Lee , Wei-Jui Chen doi: http://dx.doi.org/10.21511/imfi.14(3-1).2017.02Investment Management and Financial Innovations Volume 14, 2017 Issue #3 pp. 173-188
Views: 838 Downloads: 194 TO CITE АНОТАЦІЯThis study first uses the non-linear co-integration with structural breaks by Gregory and Hansen (1996) to examine whether non-linear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Second, we employ the smooth transition vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of non-linear short-run REIT and corresponding stock return dynamics, as well as respective REIT return dynamics when the long-run disequilibrium occurs. The results show that a structural break co-integration exists between the equity and mortgage REITs and stock markets in the US, between the REITs and stock markets in the Australia and between the REIT markets in both the US and Australia. When there are large positive and negative deviations of STVECM, the adjustment speed of reverting to equilibrium of the S&P 500 index is greater than that of the Mortgage REIT index. However, when there are large positive (negative) deviations of STVECM, the adjustment speed of reverting to equilibrium of the Australian REIT (stock) index is greater, and that of the Australian REIT (US REIT) index is greater. In addition, by using a non-linear Granger causality test by Hiemstra and Jones (1994), we find that credit price effects exist between the US for each type of REIT and stock markets regardless of large positive or negative deviations (or returns) in STVECM (or STVAR). However, there is a feedback effect exists between the REITs and the stock markets in Australia.
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Mutual fund herding behavior and investment strategies in Chinese stock market
John Wei-Shan Hu , Yen-Hsien Lee , Ying-Chuang Chen doi: http://dx.doi.org/10.21511/imfi.15(2).2018.08Investment Management and Financial Innovations Volume 15, 2018 Issue #2 pp. 87-95
Views: 1262 Downloads: 407 TO CITE АНОТАЦІЯThis investigation studies the impact of mutual fund herding on the returns achieved by contrarian strategy from 1990 to 2015 in the Chinese stock market. The relationship between the profit gained by the contrarian strategy and the macroeconomic environment is also examined. First, the returns of the contrarian strategy in China’s stock market are found to be significant. Second, most loser stocks with a high degree of mutual fund herding outperform loser stocks with a low degree of mutual fund herding, revealing that the profitability of an investment portfolio depends on the degree of mutual fund herding. Third, investors should buy loser stocks with a high degree of herding and sell winner stocks with a low degree of herding during a two-year formation period, over which zero-cost contrarian strategies yield the significantly highest return. Finally, the payoff of contrarian strategies is positively related to the herding effect and negatively related to macroeconomic variables.
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