Chung-Hua Shen

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In this paper, we examine the effect of Corporate Social Responsibility (CSR) on firms’ financial performance (CSR-effect). Two competing hypotheses, social impact hypothesis and shift of focus hypothesis, are proposed to investigate this issue, where the former suggests that CSR has a positive relation with performance and the latter are opposite. To(More)
This paper studies the cost efficiency of bank in a partial universal banking system (PUBS), Taiwan. Instead of assuming one common technology in the bank cost function, two technologies are assumed to be imbedded in the cost function. We use fee revenues as threshold to divide the banks into two technologies. A bank whose fee revenues exceeding the(More)
This paper employs a threshold vector autoregressive (TVAR) model where the data is subdivided into low and high inflation regimes. Monetary policy is endogenized in this framework and two different measures of monetary policy, viz. NBR and M1, are investigated. The interest rate is hypothesized to respond inversely to increased monetary growth in the low(More)
This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our results demonstrate that the three features exist in the Taiwan(More)
This paper examines the validity of purchasing power parity (PPP) using CPI and Big Mac prices. The benchmark model, i.e., the OLS method, which does not take nonstationarity into account, rejects the hypothesis of PPP regardless of prices used. We next use the panel cointegration method to consider the nonstationary nature of variables. Estimated results(More)
This paper investigates the common volatility structure of Taiwan’s stock and exchange rate markets. The two markets are often linked together and we are interested in knowing whether price or volume is a good proxy to pursue this issue. We claim that Taiwanese government interventions distort the timing of conventional price volatility clustering in the(More)
Is investment cash-flow sensitivity affected by a country’s capital market imperfection? We take 42 countries as our sample and collect six imperfect capital market measures (ICAM), ie., the stock market capitalization ratio, number of publicly-listed firm, stock turnover ratio, bank loan ratio, long-term debt ratio and the interest spread. Using a two-step(More)