張光亮Kuang-Liang Chang 教授兼系主任
研究室	國研5028
分機	5586
學歷	台灣大學經濟學博士
電子信箱	kuangliangc@mail.nsysu.edu.tw
專長領域	Applied Macroeconometrics, Energy Economics, Financial Econometrics, International Finance, Real Estate

 

經歷

國立嘉義大學特聘教授

北海道大學訪問學者

國立嘉義大學應用經濟學系系主任

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

香港城市大學訪問學者

國立嘉義大學應用經濟學系助理教授

逢甲大學財務金融學系助理教授

 

具匿名審稿制度之期刊與論文

1. Chang, Kuang-Liang (2023), The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. Journal of International Money and Finance, 133, Article 102839. (SSCI, 國科會財務領域A Tire-1級期刊、經濟領域A級期刊)

2.Chang, Kuang-Liang (2023), The tail dependence structure between return and trading volume: An investigation on the Bitcoin market. Applied Economics, 55, 1234-1246. (SSCI, 國科會經濟領域B級期刊)

3.Chang, Kuang-Liang*, Chingnun Lee, and Chi-Wei, He (2023), Four types of tail dependence structures between U.S. dollar index and S&P 500 stock returns:1990-2019. Applied Economics Letters, 30, 2189-2194. (SSCI)

4.Chang, Jui-Chuan Della and Kuang-Liang Chang* (2023), The asymmetric impacts of international portfolio flows on Australian dollar returns. Applied Economics Letters, 30, 478-483. (SSCI)

5.Chang, Kuang-Liang and Ka Yui Leung* (2022), Chapter 12: How did the asset markets change after the Global Financial Crisis? June 2022, Handbook of Real Estate and Macroeconomics. pp. 312-336.

6.Chang, Kuang-Liang (2022), Do economic policy uncertainty indices matter in joint volatility cycles between U.S. and Japanese stock markets? Finance Research Letters, 47, Article 102579. (SSCI, 國科會財務領域A- 級期刊)

7.Chang, Kuang-Liang (2021), A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns. Computational Economics, 58, 965-999. (SSCI, 國科會經濟領域B級期刊)

8.Chang, Kuang-Liang (2021), Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market? The North American Journal of Economics and Finance, 58, Article 101494. (SSCI)

9.Chan, Kuang-Liang* and Chingnun Lee (2020), The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market. International Review of Economics and Finance, 69, 374-388. (SSCI, 國科會財務領域A- 級期刊、經濟領域B級期刊)

10.Chang, Kuang-Liang and Jui-Chuan Della Chang* (2020), Dynamic Dependence between U.S. Inbound Visits and Exchange Rate, Journal of Hospitality and Tourism Research, 44, 1035-1046. (SSCI)

11.Chang, Kuang-Liang (2020), An investigation on mixed housing-cycle structures and asymmetric tail dependences. The North American Journal of Economics and Finance, 51, Article 100864. (SSCI)

12.Chang, Kuang-Liang (2020), Are cyclical patterns of international housing markets interdependent? Economic Modelling, 88, 14-24. (SSCI, 國科會經濟領域B級期刊)

13.He, Chi-Wei, Kuang-Liang Chang* and Yung-Jang Wang (2020), Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market, Finance Research Letters, 34, Article 101238. (SSCI, 國科會財務領域A- 級期刊)

14.Chang, Jui-Chuan Della and Kuang-Liang Chang* (2018), The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market, The North American Journal of Economics and Finance, 46, 15-28. (SSCI)

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

16.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)

17.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, 國科會財務領域A Tire-2級期刊)

18.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)

19.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)

20.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. (RePEC)

21.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)

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* and Shih-Ti Yu (2013), Does crude oil price play an important role in explaining stock return behavior? Energy Economics, 39, 159-168. (SSCI)

24.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)

25.Liu, Wen-Hsien*, Ching-Fang Chung and Kuang-Liang Chang (2013), Inventory Change, Capacity Utilization and the Semiconductor Industry Cycle, Economic Modelling, 31, 119-127. (SSCI)

26.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)

27.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)

28.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)

29.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)

30.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)

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

32.Chang, Kuang-Liang, Nan-Kuang Chen and Ka Yui Leung* (2011), Monetary policy, term structure and asset return: Comparing REIT, housing and stock, The Journal of Real Estate Finance and Economics, 43, 221-257. (SSCI)

33.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)

34.Chang, Kuang-Liang (2010), House price dynamics, conditional higher-order moments, and density forecasts, Economic Modelling, 27, 1029-1039. (SSCI)

35.Chang, Kuang-Liang* and Chi-Wei He (2010), Does the magnitude of the effect of inflation uncertainty on output growth depend on the level of inflation? Manchester School, 78, 126-148. (SSCI)

36.Chang, Kuang-Liang (2010), The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework, Applied Economics, 43, 2627-2640. (SSCI)

37.Chang, Kuang-Liang (2009), Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model, Economic Modelling, 26, 1283-1299. (SSCI)

 

研究計劃

112 專題研究計畫(一般研究計畫)  利用與時改變與不對稱混合型態 Canonical Vine copula 模型來探討銀行放款、股票市場、與不動產市場之關聯性

111 專題研究計畫(一般研究計畫)  馬可夫狀態轉換GAS混合型關聯結構模型於雙邊匯率對跨國股票市場尾部不對稱相依性影響之研究

109 專題研究計畫(一般研究計畫)  邊際分配之馬可夫狀態轉換機制與copula函數之馬可夫狀態轉換機制之關聯性對於國際股票市場相關性結構之影響

108 專題研究計畫(一般研究計畫)  金融壓力指標、經濟政策不確定性指標、與國際股票市場

107 專題研究計畫(一般研究計畫)  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

106 專題研究計畫(一般研究計畫)  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

105 專題研究計畫(一般研究計畫)  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

104 專題研究計畫(一般研究計畫)  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

103 專題研究計畫(一般研究計畫)  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

102 專題研究計畫(一般研究計畫)  股票與不動產信託基金規避通貨膨脹風險之能力-MS-AR-GARCH-SJC-Copula 設定之應用

101 專題研究計畫(一般研究計畫)  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

100 專題研究計畫(一般研究計畫)  運用 mixture copula-based ARJI-GARCH 模型來制定動態期貨避險策略

099 專題研究計畫(一般研究計畫)  原油價格之動態以及高階動差行為探討

096 專題研究計畫(一般研究計畫)  總體經濟變數在不同狀態時期對股票報酬、波動與狀態轉換機率之影響:馬可夫狀態轉換模型之證據

095 專題研究計畫(一般研究計畫)  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

 

研討會論文

1. Chang, Kuang-Liang (2023), Do the Role s of Financial Assets on the Personal Consumption Expenditure Differ in the Financial Crisis and Covid 19 pandemic? Evidence from Taiwan. The 14th Biennial Conference of Asian Consumer and Family Economics Association, Kitakyushu (JAPAN), July 9-12, 2023.

2. Chang, Kuang-Liang and Ka-Yui Leung (2021), How did the asset markets change after the Global Financial Crisis? 2021 Joint Virtual Real Estate Conference by the Asian Real Estate Society (AsRES), the Global Chinese Real Estate Congress (GCREC) and the American Real Estate and Urban Economics Association (AREUEA), July 18-21, 2021.

3.Chang, Kuang-Liang (2020), Do uncertainty indices affect the transition mechanism of the stock market? Evidence from the Japanese stock market. 2020年臺灣財務金融學會年會暨國際研討，國立暨南國際大學，9月25-26日。

4.Chang, Kuang-Liang and Chi-Wei He (2019), The asymmetric relationship between the stock and exchange rate markets: How important is the interaction between dynamic structure and dynamic intensity? WEAI 15th International Conference, Tokyo, March 21-24, 2019.

5.Chang, Kuang-Liang and Jui-Chuan Della Chang (2018), International Portfolio Flows and Exchange Rate in the Commodity Exporting Economy. 台灣經濟學會2018年會，中華經濟研究院，台北，2018年12月5日。

6.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, South Korea, July 8-11, 2018.

7.Chang, Kuang-Liang and Ka-Yui 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, South Korea, July 8-11, 2018.

8.Chang, Jui-Chuan Della and Kuang-Liang Chang (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。

9.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 (AsRES), Taiwan, July 9-12, 2017

10.Chang, Kuang-Liang (2016), Assessing the economic index of riskiness and economic performance index: An investigation on real estate, REITs and stock markets, 2016 臺灣財務金融學會年會暨國際研討會，國立台北大學，新北市，2016年5月27-28日。

11.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。

12.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.

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 (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.

15.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.

16.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。

17.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。

18. Chang, K. L., N. K. Chen and K. Y. Leung (2008) Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock.台灣經濟學會2008年會，2008年12月20日，台北。

19.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。

20.張光亮，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。