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最後更新2019/04/17
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::: * 首頁 > 師資陣容 > 專任師資 > 張光亮

* * 張光亮
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友善列印

符號基本資料      

 張光亮

中文姓名

 張光亮

英文姓名

 Kuang-Liang Chang

聯絡電話

 (05)2732855

Email

 klchang@mail.ncyu.edu.tw


符號主要學歷      

畢業學校

國別

主修學門系所

學位

 台灣大學

台灣 

 經濟學系

 博士 

 台灣大學

台灣 

 經濟學系

 碩士 

 銘傳大學

台灣 

 國際貿易系

 學士 


符號現職與經歷     
 現職:

服務機構

服務部門/系所

職稱

 國立嘉義大學

 應用經濟學系

 特聘教授

 經歷:

服務機構

服務部門/系所

職稱

 國立嘉義大學  應用經濟學系  特聘教授兼系主任
 國立嘉義大學  應用經濟學系  教授
 國立嘉義大學  應用經濟學系  副教授兼任主任
 國立嘉義大學  應用經濟學系  副教授

 國立嘉義大學

 應用經濟學系

 助理教授

 逢甲大學  財務金融系   助理教授

符號專長        
 符號應用總體計量   符號財務時間序列

符號學術研究及著作       
 (A)期刊論文

1.

陳南光、張光亮 (2002),亞洲金融風暴的源起:基本面或傳染?,《經濟論文叢刊》, 30(1),1-26。(TSSCI)

2.

鍾經樊、詹維玲、張光亮 (2004),財富在不同時期對台灣消費行為的影響:多變量馬可夫結構轉換模型的應用,《經濟論文》,32(4),501-534。(TSSCI)

3.

Chang, Kuang-Liang (2009), Do Macroeconomic Variables Have Regime-Dependent Effects on Stock Return Dynamics?, Economic Modelling, 26, 1283-1299. (SSCI) (NSC 96-2416-H-415-008)

4.

Chang, Kuang-Liang (2009), Does the Risk-Return Relationship Depend on Risk Proxy and Distribution Specification, Empirical Economics Letters, 8, 843-850. (EconLit)

5.

Chang, Kuang-Liang and Chi-Wei He (2010), Does the Magnitude of Effect of Inflation Uncertainty on Output Growth Depend on the Level of Inflation?, The Manchester School, 78, 126-148. (SSCI)

6.

Chang, Kuang-Liang (2010), House Price Dynamics, Conditional Higher-Order Moments, and Density Forecasts, Economic Modelling, 27, 1029-1039. (SSCI)

7.

蔡怡純、陳明吉、張光亮 (2011),台灣不動產投資信託基金具有防禦性嗎?,《證券市場發展季刊》,23,199-224。(TSSCI)

8.

張光亮、黃宗佑 (2011),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,《經濟研究》,47,305-356。。(TSSCI)

9.

Chang, Kuang-Liang (2011), The Optimal Value-at-Risk Hedging Strategy under Bivariate Regime Switching ARCH Framework, Applied Economics, 43, 2627-2640. (SSCI) (NSC95-2416-H-035-011)

10.

Chang, Kuang-Liang , Nan-Kuang Chen and Ka-Yui Leung (2011), Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock. Journal of Real Estate Finance and Economics, 43, 221-257. (SSCI)

11.

Chang, Kuang-Liang (2011), The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns, Economic Modelling,  28, 911-920.(SSCI)

12.

Chang, Kuang-Liang (2012), The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty, Journal of Macroeconomics, 34,523-536(SSCI)

13.

Chang, Kuang-Liang , Nan-Kuang Chen and Ka-Yui Leung (2012), The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?, Regional Science and Urban Economics, 42, 516-530. (SSCI)

14.

Chang, Kuang-Liang (2012), Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market, Energy Economics, 34, 294-306. (SSCI) (NSC99-2410- H-415-009)

15.

Chang, Kuang-Liang (2012), Stock return predictability and stationarity of dividend yield , Economics Bulletin, 32, 715-729. (EconLit)

16.

Chang, Kuang-Liang (2012), The time-varying and asymmetric dependence between crude oil spot and futures markets: Evidence from the mixture copula-based ARJI-GARCH model, Economic Modelling, 29, 2298-2309. (SSCI) (NSC-100-2410-H-415-017)

17.

Chen, Ho-Chyuan, Kuang-Liang Chang and Shih-Ti Yu (2012), Application of the Tobit model with autoregressive conditional heteroscedasticity for foreign exchange market interventions, Japan and the World Economy, 24, 274-282. (SSCI)

18.

Chang, Kuang-Liang (2012), Analysis of structural changes in the relationship among regional housing markets in Taiwan, Economics Bulletin, 32, 2220-2230. (EconLit)

19.

Chang, Kuang-Liang , Nan-Kuang Chen and Ka-Yui Leung* (2013), In the shadow of the United States: The international transmission effect of asset returns, Pacific Economic Review, 18, 1-40. (SSCI)

20.

Liu Wen-Hsien, Ching-Fan Chung and Kuang-Liang Chang (2013), Inventory change, capacity utilization and the semiconductor industry cycle, Economic Modelling, 31, 119-127. (SSCI)

21.

Chang, Kuang-Liang  and Shih-Ti Yu (2013), Does crude oil price play an important role in explaining stock return behavior? Energy Economics, 39, 159-168. (SSCI) (NSC-101-2410-H-415-008)

22.

Chang, Kuang-Liang and Ming-Hui Yen (2014), The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations, Economics Bulletin, 34, 828-841. (EconLit)

23.

Chang, Kuang-Liang (2014), The symmetrical and positive relationship between crude oil return and nominal exchange rate return, The North American Journal of Economics and Finance, 29, 266-284. (SSCI)

24.

Chang, Kuang-Liang, Nan-Kuang Chen and Ka-Yui Leung* (2016), Losing track of the asset markets: The case of housing and stock, International Real Estate Review, 19, 435-492.

25.

Chang, Kuang-Liang(2016), Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return? International Review of Economics and Finance, 42, 72-87. (SSCI)

26.

Chang, Kuang-Liang (2017), A mixed dependence between the exchange rate and international crude oil returns: An application of dynamic mixture copula, Emerging Markets Finance and Trade, 53, 2347-2360. (SSCI)

27.

Chang, Kuang-Liang and Shih-Ti Yu (2017), An investigation on the relationship between return and trading volume: Asymmetric V-type or asymmetric increasing-type pattern, Quantitative Finance, 17, 1223-1241. (SSCI)

28.

Chang, Kuang-Liang(2017), Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula, The North American Journal of Economics and Finance, 39, 56-67. (SSCI)

29.

Chang, Kuang-Liang (2018), Asymmetric downside and upside co-movements between stock and REIT markets, Applied Economics Letters, 25, 78-82. (SSCI)

30.

Chang, Jui-Chuan Della and Chang, Kuang-Liang (2018), The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market, North American Journal of Economics and Finance, Accepted.

 (B)研討會論文

1.

鍾經樊、詹維玲、張光亮,2003,消費的過渡敏感性問題及流動性限制:多變量馬可夫結構轉換模型的應用,台灣經濟學會2003年年會,國立政治大學。

2.

劉文獻、鍾經樊、張光亮,2007,Inventory Change, Capacity Utilization and the Industry Cycle: Evidence from the Semiconductor Industry,第八屆全國實證經濟學論文研討會,國立成功大學。

3.

張光亮,2007,結構轉換設定下的最適風險值避險策略以及避險績效,2007台灣財務金融學會年會暨學術研討會,台中。

4.

張光亮,英國與美國房價動態與條件高階動差,台灣財務金融學會年會暨學術研討會,台灣財務金融學會與東華大學合辦,花蓮,2008年6月8-9日。

5.

Chang, K. L., N. K. Chen and K. Y. Leung (2008) Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock. DePaul University REIT Symposium, Chicago, US, October 23-24, 2008;台灣經濟學會2008年會,20081220日,台北。

6.

Chang, K. L., N. K. Chen and K. Y. Leung (2009) Would Some Model Please Give Me Some Hints? An Empirical Investigation on Monetary Policy and Asset Return Dynamics. Bank for International Settlements and Hong Kong Institute for Monetary Research Property Markets and Finance, Hong Kong, January 12-13, 2009;第十屆全國實證經濟學論文研討會,嘉義,2009523

7.

張光亮、黃宗佑,2009,台灣高科技廠商與其美國存託憑證股票報酬之動態相依性,第一屆財經商管論文研討會,東海大學,台中,2009612

8.

張光亮,2010,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,2010兩岸金融研討會,東海大學,台中,2010年1月16日。

9.

Chang, K. L., N. K. Chen and Ka-Yui Leung (2010) Asymmetric, Non-Linear, and EGARCH Effects of Monetary Policy on the Mean and Volatility of Housing Returns. The 15th  Asian Real Estate Society (AsRES) International Conference, Kaohsiung City, July 9-12, 2010。

10.

Chang, Kuang-Liang, Nan-Kuang Chen and Ka-Yui Leung* (2011), In the shadow of the United States: The international transmission effect of asset returns,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,台北大學,2011年12月17日。

11.

 Leung, Ka-Yui*, Kuang-Liang Chang and Nan-Kuang Chen (2014), Losing Track of the Asset Markets: the Case of Housing and Stock, 2014 Asian Meeting of the Econometric Society, Taipei City, June 20-22, 2014.

12.

Chang, Kuang-Liang (2014), Do stock and REITs hedge inflation risk?An application of Markov-switching copula specification, 2014 Asia Conference on Economics & Business Research, Singapore, November 13 - 14, 2014.

13.

Chang, Kuang-Liang (2015), An investigation on the magnitude of time-varying and quantile-varying relationship between price and trading volume: V-type or increasing-type pattern, 21st Computing in Economics and Finance, Taipei, June 20 -22, 2015.

14.

Chang, Kuang-Liang (2016), An investigation on the magnitude of time-varying and quantile-varying relationship between price and trading volume: Asymmetric v-type or asymmetric increasing-type pattern, The 9th NCTU International Finance Conference, Hsinchu, January 8, 2016.

15.

張光亮,2016,不動產資產風險貼水迷思是否存在呢?,2016 年住宅學會年會暨論文研討會,屏東大學,屏東,2016年1月9日。

16.

Chang, Kuang-Liang (2016), Assessing the economic index of riskiness and economic performance index: An investigation on real estate, REITs and stock markets, 2016 International Conference of Taiwan Finance Association, National Taipei University, New Taipei, May 27-28, 2016.

17.

Chang, Kuang-Liang (2017), The relative importance of co-jump and idiosyncratic jump on the dynamic relationship between US and Asia securitized real estate markets. 2017 annual conference of Asian Real Estate Society, Taiwan, July 9-12, 2017

18.

Chang, Jui-Chuan Della and Chang, Kuang-Liang (2017), Investigating the dynamic dependence between exchange rate and overseas visits to the U.S. in a time-varying copula model. The 11th NCTU International Finance Conference, Taiwan, December 8, 2017. 台灣經濟學會2017年會,清華大學,新竹,2017年12月16日。

19.

Chang, Kuang-Liang and Ka- Leung (2018), Did the asset markets become more or less risky after the Global Financial Crisis? 2018 Asian Real Estate Society (AsRES) Annual International conference, July 8-11, 2018, South Korea.

20.

Chang, Kuang-Liang (2018), Are recession and recovery cycles in international housing markets synchronous or asynchronous? An investigation on US, UK, and Canadian housing markets 2018 Asian Real Estate Society (AsRES) Annual International conference, July 8-11, 2018, South Korea.

 (C)研究計畫報告

1.

張光亮2006。「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」。台灣國家科學委員會。NSC-95-2416-H-035-011。國立嘉義大學應用經濟系。

2.

張光亮2007。「總體經濟變數在不同狀態期間對股票報酬、波動與狀態轉換機率之影響馬可夫狀態轉換模型之證據」。台灣國家科學委員會。NSC-96-2416-H-415-008。國立嘉義大學應用經濟系。

3.

張光亮2009。「運用雙馬可夫狀態轉換變數GJR-GARCH模型重新檢視股票報酬與波動性之動態關係」。國立嘉義大學。NCYU98T001-05-I-03-002。國立嘉義大學應用經濟系。

4.

張光亮,2010。「原油價格之動態以及高階動差行為探討」。台灣國家科學委員會。NSC-99-2410-H-415_009。國立嘉義大學應用經濟系。

5.

張光亮,2011。「運用mixture copula-based ARJI- GARCH 模型來制定動態期貨避險策略」。台灣國家科學委員會。NSC-100-2410-H-415-017。國立嘉義大學應用經濟系。

6.

張光亮,2012。「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」。台灣國家科學委員會。NSC-101-2410-H-415-008。國立嘉義大學應用經濟系。。

7.

張光亮,2013。「股票與不動產信託基金規避通貨膨膨風險之能力-MS-AR-GARCH-SJC-Copula 設定之應用」。 台灣國家科學委員會。NSC102-2410-H-415-002。國立嘉義大學應用經濟系。

8.

張光亮,2014。「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」。台灣科技部。MOST 103-2410-H-415-003。國立嘉義大學應用經濟系。

9.

張光亮,2015。「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」。台灣科技部。MOST 104-2410-H-415-004。國立嘉義大學應用經濟系。

10.

張光亮,2016。「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」。台灣科技部。MOST 105-2410-H-415-002。國立嘉義大學應用經濟系。

11.

張光亮,2017。「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」。台灣科技部。MOST 106-2410-H-415-002。國立嘉義大學應用經濟系。

12.

張光亮,2018。「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」。台灣科技部。MOST 107-2410-H-415-003。國立嘉義大學應用經濟系。

 (D)專章

1.

Chang, K. L., N. K. Chen and K. Y. Leung (2010) Monetary Policy, Asset Return Dynamics and the General Equilibrium Effect. Model Risk - Identification, Measurement and Management, Daniel Rosch and Harald Scheule, Risk Books, London.



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