English
  • 管理研究所
    教授
    智能與指數化投資中心總召集人
  • 蔡蒔銓
  • 專長:財務工程、投資管理、國際財務管理、期貨與選擇權
  • E-mail:chuant@ntnu.edu.tw
  • 電話:02-7749-3299
  • 傳真:02-2364-8372
  • 學歷:美國波士頓大學 財務金融博士
  1. Ahn, Yongkil and Shih-Chuan Tsai, “What Factors Are Associated with Stock Price Jumps in High Frequency?”, Pacific-Basin Finance Journal, v. 69, n. 1, Dec. 2021.
  2. Fung, Scott and Shih-Chuan Tsai, “The Price Discovery Role of Day Traders in Futures Markets”, Journal of Empirical Finance, forthcoming
  3. Lin, William T., Z. H. Huang, and Shih-Chuan Tsai, “Fast Trading and Price Discovery in the Financial Crisis: Evidence from the Taiwan Futures Market”, In: Wang G., Lin X., Hendler J., Song W., Xu Z., Liu G. (eds) Web Information Systems and Applications. WISA 2020. Lecture Notes in Computer Science, v. 12432, Sep. 2020, Springer, Cham.
  4. Lin, William T., Shih-Chuan Tsai, Zhenlong Zheng, and Shuai Qiao, “Retrieving Aggregate Information from Option Volume” International Review of Economics and Finance, v. 58, Nov. 2017.
  5. Jarrow, Robert, Scott Fung and Shih-Chuan Tsai, “An Empirical Investigation of Large Trader Market Manipulation in Derivatives Markets”, Review of Derivatives Research, v. 21, n. 3, Oct. 2018.
  6. Lin, William T., Shih-Chuan Tsai, Zhenlong Zheng, and Shuai Qiao, “Does Options Trading Convey Information on Futures Prices?” North American Journal of Economics and Finance, v. 39, Jan. 2017.
  7. Fung, Scott and Shih-Chuan Tsai, “Information Content of Investors’ Demand for Volatility”, Journal of Futures and Options, v. 10, n. 3, Dec. 2017.
  8. Lin, William T., Shih-Chuan Tsai, and Peter Chiu, “Do Foreign Institutions Outperform in the Taiwan Options Market?” North American Journal of Economics and Finance, v. 35, Feb. 2016.
  9. Sun, David, Shih-Chuan Tsai, and Chun-Da Chen “Decomposing Risks in Bond Portfolio: An International Evidence”, Journal of Fixed Income, v. 26, n. 1, Summer 2016.
  10. Fung, Scott and Shih-Chuan Tsai, “Stock Market Driven Investment: New Evidence on Information, Financing and Agency Effects”, Applied Economics, v. 47, n. 27, 2015.
  11. Chen, Zhijuan, William T. Lin, Changfeng Ma and Shih-Chuan Tsai, “Liquidity provision by Individual Investor Trading prior to Dividend Announcements: Evidence from Taiwan”, North American Journal of Economics and Finance, v. 28, April 2014.
  12. Tsai, Shih-Chuan, “Individuals’ Trading Prior to Earnings Announcements in the Taiwan Stock Market”, Journal of Business Finance and Accounting, v. 41, n. 9, Dec. 2014.
  13. Tsai, Shih-Chuan, “Investors' Information Advantage and Order Choices in an Order-driven Market”, Pacific-Basin Finance Journal, v. 21, n. 1, Jan. 2013.
  14. Sun, David S., Wei Wang, and Shih-Chuan Tsai, “Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach”, Emerging Markets Finance and Trade, v. 49, n. 3, June 2013.
  15. Lin, William T., Shih-Chuan Tsai, and Pei-Yau Lung, “Investors’ Herd Behavior: Rational or Irrational”, Asia-Pacific Journal of Financial Studies, v. 42, n. 5, Dec. 2013.
  16. Tsai, Shih-Chuan, “Liquidity and Yield Curve Estimation”, Emerging Markets Finance and Trade, v. 48, n. 5, Oct. 2012.
  17. Fung, Scott and Shih-Chuan Tsai, “Institutional Ownership and Corporate Investment Performance”, Canadian Journal of Administrative Sciences, v. 29, n. 4, Dec. 2012.
  18. Lin, William T., Shih-Chuan Tsai, and David S. Sun, “Search Costs and Investor Trading Activity: Evidences from Limit Order Book”, Emerging Markets Finance and Trade, v. 48, n. 3, June 2012.
  19. Lin, William T., David S. Sun, and Shih-Chuan Tsai, “Does Trading Remove or Bring Frictions?”, Emerging Markets Finance and Trade, v. 48, Dec. 2012.
  20. Chiu, Chi-Chen, Shih-Chuan Tsai, and Tsui-Huang Wu, “Asymmetric Nonlinear Mean Reversion in Nine Stock Index Futures Markets”, International Research Journal of Finance and Economics, Issue 101, Nov. 2012.
  21. Lin, William T., Shih-Chuan Tsai, and David S. Sun, “Price Informativeness and Predictability: How Liquidity Help”, Applied Economics, v. 43, n. 17, 2011.
  22. Cheung, William, Scott Fung and Shih-Chuan Tsai, “Global Capital Market Interdependence and Spillover Effect of Credit Risk: Evidence from 2007-2009 Global Financial Crisis”, Applied Financial Economics, v. 20, n. 1, Jan 2010.
  23. Cheung, William, Scott Fung and Shih-Chuan Tsai, “The Impacts of Managerial and Institutional Ownerships on Firm Performance: The Role of Stock Price Informativeness and Corporate Governance”, Corporate Ownership and Control, v. 6, n. 4, Summer 2009.
  24. Fung, Scott and Shih-Chuan Tsai, “When Does the Options Market Lead the Futures Market? Evidence from Taiwan's Emerging Derivatives Market”, Review of Futures Markets, v. 18, n. 2, Nov. 2009.
  25. Fung, Scott, Hoje Jo, and Shih-Chuan Tsai, “Agency Problems in Stock Market Driven Acquisitions”, Review of Accounting and Finance, v. 8, n. 4, Dec. 2009.
  26. Tsai, Shih-Chuan, “Information Asymmetry and Corporate Investment Decisions: A Dynamic Approach”, Financial Review, v. 43, n. 2, May 2008.
  27. Fung, Scott and Shih-Chuan Tsai, “Interrelationship Between Options, Futures, and Stock Markets”, Journal of Emerging Markets, v. 13, n. 2, Summer 2008.
  28. Tsai, Shih-Chuan, “Strategic Debt Service and Investment Distortions”, Applied Economics, v. 39, n. 11, June 2007.
  29. Tsai, Shih-Chuan, "A Markov Chain Model for Valuing Credit Risk ", China Accounting and Finance Review, v. 8, n. 3, Sep. 2006.
  30. Tsai, Shih-Chuan, “Dynamic Models of Investment Distortions”, Review of Quantitative Finance and Accounting, v. 25, n. 4, Dec. 2005.
  31. Tsai, Shih-Chuan, "Valuation of R&D and Advertising Expenditures", Journal of Contemporary Accounting, v. 2, n. 1, May 2001.
  1. 財務工程實務與個案探討 2010
  2. 期貨與選擇權:財務工程基礎理論與實務 2010
  3. 期貨、選擇權以及其他衍生性商品 2006
  1. 科技部(原國科會) 臺灣股票市場高頻方向性價格跳躍之研究 主持人
  2. 科技部(原國科會) 臺灣股票市場高頻方向性價格跳躍之研究 主持人
  3. 科技部(原國科會) 自我宣告之當沖交易人對期貨市場價格發現之影響 主持人
  4. 科技部(原國科會) 台灣期貨市場當沖交易損益分析 主持人
  5. 科技部(原國科會) 大額交易者衍生性商品市場操縱之實證分析 主持人
  6. 國科會 放空限制如何影響波動度 協同/共同主持人
  7. 國科會 台灣衍生性金融商品市場之過度自信與處分效果 主持人
  8. 國科會 日內交易對台灣期貨市場之影響 主持人
  9. 國科會 投資人過去交易績效對其波動度需求之影響 主持人
  10. 國科會 股權集中度對盈餘宣告前資訊交易之影響 主持人
  11. 國科會 資訊品質如何影台灣股市之群聚交易 協同/共同主持人
  12. 國科會 台灣股票市場資訊交易者下單行為之研究 主持人
  13. 國科會 專業機構投資人對企業的投資績效之影響 主持人
  14. 國科會 股票市場評價對公司投資決策之影響 主持人
  15. 國科會 台灣股票市場之動態群聚研究 協同/共同主持人
  16. 國科會 市場評價誤差與代理問題對企業購併行為之影響 主持人
  1. 智能與指數化投資 其他
  2. 放寬特定法人保證金預繳規定對期貨市場之影響及相關風險控管機制之研究 其他
  3. 天然氣代輸之定價與會計制度 經濟部
  4. 不經濟用郵地區定義與範圍之界定及合理之成本分擔之研究 其他
  5. 股價指數最後結算價新制之實施效果 經濟部
  6. 期貨商之資金運用效率與風險管理之研究 經濟部
  7. 天然氣供需規劃及代輸制度之研究 經濟部
  8. 台電公司發電燃料採購避險操作可行性研究及避險措施規劃 其他
  9. 我國期貨市場建置SPAN整戶保證金計算機制之評估與分析 其他
  10. 提供個股盤中買賣資訊及揭露開收盤前買賣參考資訊對市場之影響 經濟部
  11. 整戶保證金系統參數設定及運作機制研究分析 國科會
  12. 我國債券市場發展與債券定價基礎之研究 國科會
  13. 行政院開發基金最適經濟規模與資金配置模型研究計畫 其他
  1. 財務工程、投資管理、國際財務管理、期貨與選擇權