Der-Yuan Yang | National Kaohsiung First University of Science & Technology (original) (raw)

Papers by Der-Yuan Yang

Zenodo (CERN European Organization for Nuclear Research), Sep 2, 2023

Journal of Financial Studies, Aug 30, 2005

This paper examines index futures expiration-day effects on the Taiwan stock market with high-fre... more This paper examines index futures expiration-day effects on the Taiwan stock market with high-frequency transaction data. We find that high price volatility exists on the market close of the last trading day for MSCI Taiwan index futures and it decreases next day. As for TAIEX futures, the results show that price volatility increases around the close of the last trading day and on the market open of the last settlement day under the old settlement system. However, such phenomenon disappears after the settlement period is lengthened. In addition, the futures pricing bias is not related to the returns of the last settlement period, it seems that the expiration-day effect cannot be attributed to price manipulators. Key words:Stock index futures; Expiration-day effects; Price reversal

Social Science Research Network, 2004

ABSTRACT Trading volume conveys critical information on future price changes, which are of intere... more ABSTRACT Trading volume conveys critical information on future price changes, which are of interests to all market participants. This paper inspects trading volume with the intraday transaction data of the TAIEX futures trade on the Taiwan Futures Exchange. The results support the theory of Llorente et al. (2002). Trading days associated with a high degree of information asymmetry exhibit more return continuation on high-volume transactions and those associated with a low degree of information asymmetry demonstrate more return reversals on high-volume transactions. Time-varying analyses show that high-volume transaction creates more return continuation around the opening period of a trading day, coupled with a high degree of informed trading.

Social Science Research Network, 2022

[[abstract]]A bank too big to fail may cause chaos and the same applies to a regime too much in d... more [[abstract]]A bank too big to fail may cause chaos and the same applies to a regime too much in debt. The seventeenth century England witnessed the encounter of a deeply indebted government and its singular creditor, the Bank of England. The founding of the Bank altered the crown’s incentives to renege and fiscal discipline was fostered by the Glorious Revolution. If considered as a hostage to facilitate sovereign financing, the Bank was too dear to be spoiled by the crown or Parliament. In contrast, as the Bank and the investors bought into the government debt, they endeavored to support the regime to save themselves. The outcome was a financial revolution that rendered England prosperous and secure

[[abstract]]卡特爾的舉措長久以來被視為對社會的剝削。但是，建立獨占卻有利於民族國家的發展。此一過程，亟需資源以開發興盛的海外貿易，並排解衍生的各種紛爭。保護海外貿易路線的成本相當高，... more [[abstract]]卡特爾的舉措長久以來被視為對社會的剝削。但是，建立獨占卻有利於民族國家的發展。此一過程，亟需資源以開發興盛的海外貿易，並排解衍生的各種紛爭。保護海外貿易路線的成本相當高，和商人追求利潤的宗旨相衝突。為了應付私人的市場利基及國家財政需求，建立獨占對民族國家之建立，貢獻良多。相同的現象在今天的亞洲仍可發現，尤其是中國。似乎歷史重演，只是時間、地點不同。 Cartel practices have long been considered exploiting to society, but creating monopolies facilitated the development of nation-states, which needed resources to explore the thriving overseas trade and deal with the concomitant conflicts. Protecting trade routes was burdensome and disparate from the subjects' pursuit of profits. To cope with the private market niche and the public fiscal demand, establishing monopolies had contributed to the formation of nation states. Similar phenomenon may still be discerned nowadays in Asia, particularly China. Seemingly, history may have replayed itself, though at different time and site

[[abstract]]Price-duration depth, devised by Engle and Lange (2001), offers specific perspectives... more [[abstract]]Price-duration depth, devised by Engle and Lange (2001), offers specific perspectives on capturing the net directional volume of price duration. This paper attempts to measure and predict price-duration depth by using the high frequency data of Taiwan stock index futures contracts. The market reaction curve derived from price-duration depth shows nonlinear pattern, consistent with previous studies using other market depth measures. The result shows that spread, the number of trades, trading volume, and the length of price duration are able to predict the price-duration depth. The first bid-ask spread of price duration and lagged transaction number have negative impacts on market depth; while the lagged trading volume, conditional expected price-duration time length, and forecasting error of price-duration time length are positively related to market depth. In addition, market depth tends to be smaller as expiration approaches

The operation of a political regime or a business entity involves the principal-agent problem. Ch... more The operation of a political regime or a business entity involves the principal-agent problem. Checks and balances are the theme in the political arena, while management and controlling are the routine in the business world. To ensure that the ministers or the executive officers perform the desired functions, a monitoring scheme may be helpful. The crux of the issue is the lack of trust and information on those employed. Various effective monitoring networks, occidental or oriental, ancient or modern, military or civilian, have been deployed by numerous regimes and organizations to overcome the difficulties. The monitoring proceedings start from recruiting to remunerating and evaluating the workforce. To be sure, carrot and stick must be applied to achieve desirable results, besides enhancing the probability of detecting frauds. The merits of those networks seem to lie in commensurate rewarding and punishing of the personnel. Analyzing how those monitoring networks solved the contro...

[[abstract]]Various organizations have been created to fulfill the development needs of particula... more [[abstract]]Various organizations have been created to fulfill the development needs of particular times. In the medieval period, the precarious market called for craftsmen to form guilds to stabilize the economy, dispense social benefits, offer religious relief, and provide political support. However, as the market expanded, the unity within the organization started a series of decay. The prospects of overseas trade brought forth by maritime exploration coupled with the development of nation-states caused another severe impact. Failing to adapt their roles and constrained by their own structure, guilds were replaced by other entities as history turned over a new leaf. This phenomenon could be seen anywhere and anytime.[[abstract]]許多不同的組織在歷史上出現，以滿足特定時代的發展需求。在中古時期，脆弱的市場結構，促使工匠組成基爾特以穩固經濟，提供社會福利、宗教慰藉及政治上的支持。然而，當市場開始擴張之後，基爾特的內部團結開始動搖。海上探險帶來的龐大貿易前景，加上民族國家的形成，對基爾特是另一重要打擊。疏於調整組織角色，並受限於本身之組織結構，當歷史開啟新頁時，基爾特遂為其他組織所取代。無論何時何地，皆可目睹此種組織興衰更迭的現象

[[abstract]]The operation of a political regime or a business entity involves the principal-agent... more [[abstract]]The operation of a political regime or a business entity involves the principal-agent problem. Checks and balances are the theme in the political arena, while management and controlling are the routine in the business world. To ensure that the ministers or the executive officers perform the desired functions, a monitoring scheme may be helpful. The crux of the issue is the lack of trust and information on those employed. Various effective monitoring networks, occidental or oriental, ancient or modern, military or civilian, have been deployed by numerous regimes and organizations to overcome the difficulties. The monitoring proceedings start from recruiting to remunerating and evaluating the workforce. To be sure, carrot and stick must be applied to achieve desirable results, besides enhancing the probability of detecting frauds. The merits of those networks seem to lie in commensurate rewarding and punishing of the personnel. Analyzing how those monitoring networks solved the controlling issue may give us insights into the critical incentive structures embodied. Moreover, the evolutionary path of institutions and organizations could be delineated via discerning the changes of those incentives, and vice versa.[[abstract]]政治或商業之運作，都涉及代理問題。在政治界談的是制衡，商業界則是管理及控制。為了確保政府部會首長及公司執行長履行職務，監督措施確有必要，問題的癥結在對受僱者缺乏信任及訊息。古今中外，軍事或文官體系，曾經有不少有效的監察體系克服上述困境。完整的監督措施從用人開始，並及評鑑各受僱者之表現。若要看到效果，賞罰是必備的工具，而且要提高揭弊的機率。監察制度的重點在適當的賞罰及有效的控管。分析若干知名的監察制度，可以發現前人如何解決控制難題，並幫助我們了解其中涉及的誘因結構。另外，制度及組織的演進，可以由誘因的改變找到線索，反之亦然

[[abstract]]Crime is a deviation from social norms, causing societal disorder and economic loss. ... more [[abstract]]Crime is a deviation from social norms, causing societal disorder and economic loss. Many researchers have pointed out that economic factors constitute a critical element in the decision on committing a crime. The police are supposed to control crimes. To be sure, the law is enforced by human beings, subject to similar potential deviation. Consequently, the deviant behaviors of law enforcement must also be addressed. This paper explores the general issue of monitoring, in addition to enforcement. Similar monitoring concerns exist in the political arena and the business environment. A simple model based on monitoring concerns is proposed and used to delineate a possible evolutionary path of the political system. Politicians and representatives can be considered as guards hired by the people to protect the fruits of their hard work. However, worries about the guards’ misdemeanor may necessitate further deployment. Under rational guard hiring, the negative relationship between the effectiveness and the number of guards may shed light on the evolution of the political system. The result is applied to analyze a proposal on cutting the size of the legislature in Taiwan.[[abstract]]犯罪是一種社會偏差行為，造成社會不安及經濟損失。很多研究者指出，經濟因素是犯罪的重要考量之一。警察的功能在控制犯罪。然而，法律由警察來執行，而警察是人，也可能犯錯。因此，警察的偏差行為，也必須設法防範。本文討論廣義的監察問題。在政治及商業的範疇，都有監察的必要，以確保人人遵守規範。本文提出一個簡單的模型，並藉由此一模型，描畫一個政治體系的可能的演進過程。從政者及民意代表，可以被看成人民的警衛，保護人民辛苦工作的成果。不過，警衛也可能會犯錯，因此可能必須再雇用額外的警衛，來看管原有的警衛。在理性的雇用原則之下，警衛人數和個別警衛的保護的效率成負相關。此一關係對政治體系的演進，可能有若干啟示，此一結果也可以應用在台灣國會改革，立法委員人數減半的議題上

[[abstract]]Cartel practices have long been considered exploiting to society, but creating monopo... more [[abstract]]Cartel practices have long been considered exploiting to society, but creating monopolies facilitated the development of nation-states, which needed resources to explore the thriving overseas trade and deal with the concomitant conflicts. Protecting trade routes was burdensome and disparate from the subjects’ pursuit of profits. To cope with the private market niche and the public fiscal demand, establishing monopolies had contributed to the formation of nation states. Similar phenomenon may still be discerned nowadays in Asia, particularly China. Seemingly, history may have replayed itself, though at different time and site.[[abstract]]卡特爾的舉措長久以來被視為對社會的剝削。但是，建立獨占卻有利於民族國家的發展。此一過程，亟需資源以開發興盛的海外貿易，並排解衍生的各種紛爭。保護海外貿易路線的成本相當高，和商人追求利潤的宗旨相衝突。為了應付私人的市場利基及國家財政需求，建立獨占對民族國家之建立，貢獻良多。相同的現象在今天的亞洲仍可發現，尤其是中國。似乎歷史重演，只是時間、地點不同

Annual Conference for helpful comments. I am especially grateful to Cheng-Zhong Qin for his advic... more Annual Conference for helpful comments. I am especially grateful to Cheng-Zhong Qin for his advice. Any errors in this paper are my sole responsibility. Abstract: Sovereign states often borrow to finance their budgets in the modern era; in the medieval period kings had similar financing needs. Both types of sovereign borrowers share one characteristic: if they failed to fulfill their obligation, legal action is not one of lenders ’ options. However, as history has shown, some institutions evolved to secure lenders ’ rights. This paper provides a cooperative perspective of the negotiation between debtors and creditors in a twoperiod model using the Nash bargaining solution. Our results show that the initial debt and new loans are positively related, while the remaining debt and the interest rate are negatively related. These conclusions match the development of England after the Glorious Revolution. I.

Zhong Qin for his advice and encouragement in carrying out this research. Any errors in this pape... more Zhong Qin for his advice and encouragement in carrying out this research. Any errors in this paper are my sole responsibility. Abstract: In economic development, institutions and organizations are critical elements which can be looked upon as rules and players of a game, respectively. Investigating how institutions evolve and why certain organizations emerge may help us better understand economic development, especially when the situation requires an efficient solution. The problem of sovereign financing shares the features of one-sided Prisoner’s Dilemma (PD). Sovereign default had been a common phenomenon in England since the medieval period; however, the establishment of the Bank of England altered the sovereign’s incentives and helped build mutual trust between the crown and Parliament. In this paper, we analyze the emergence of the Bank by viewing it as a commitment device which makes the king’s promise to pay trustworthy. I.

A bank too big to fail may cause chaos and the same applies to a regime too much in debt. The sev... more A bank too big to fail may cause chaos and the same applies to a regime too much in debt. The seventeenth century England witnessed the encounter of a deeply indebted government and its singular creditor, the Bank of England. The founding of the Bank altered the crown’s incentives to renege and fiscal discipline was fostered by the Glorious Revolution. If considered as a hostage to facilitate sovereign financing, the Bank was too dear to be spoiled by the crown or Parliament. In contrast, as the Bank and the investors bought into the government debt, they endeavored to support the regime to save themselves. The outcome was a financial revolution that rendered England prosperous and secure.

Cartel practices have long been considered exploiting to society, but creating monopolies facilit... more Cartel practices have long been considered exploiting to society, but creating monopolies facilitated the development of nation-states, which needed resources to explore the thriving overseas trade and deal with the concomitant conflicts. Protecting trade routes was burdensome and disparate from the subjects' pursuit of profits. To cope with the private market niche and the public fiscal demand, establishing monopolies had contributed to the formation of nation states. Similar phenomenon may still be discerned nowadays in Asia, particularly China. Seemingly, history may have replayed itself, though at different time and site.

Journal of Economic Behavior & Organization, 2008

ABSTRACT Politicians and businessmen have to address the principal-agent problem whenever delegat... more ABSTRACT Politicians and businessmen have to address the principal-agent problem whenever delegation of power occurs. Installing a monitoring scheme may help to ensure that the officers perform the desired functions. Checks and balances are the theme in the political arena, while management and control are the routines in the business world. Throughout history numerous monitoring networks have been deployed to overcome the difficulties. Comparing how those monitoring networks solved the controlling issues may shed light on the incentive structures embodied. Furthermore, the evolution of institutions and organizations could be discerned via the changes in incentives.