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主题报告九

发表于:2016年06月13日 分类:未分类

报告题目:The Effect of Nighttime Trading on Price Discovery: Evidence from China’s Futures Markets

报告人:王子军

报告时间:2016.6.20 下午15:45-16:15

报告地点:之远楼11楼国际会议厅

报告人简介

    王子军,美国德州农工大学农业经济学博士,德州大学圣安东尼奥分校金融系副教授,主要研究领域为应用计量,国际金融等,并在Journal of Banking and Finance,Journal of Econometrics,Journal of Applied Econometrics,International Journal of Forecasting,Econometric Theory,Journal of Financial and Quantitative Analysis和Financial Management等国际知名期刊发表多篇论文。

报告摘要:

    In the past couple of years, China’s futures exchanges have launched nighttime trading sessions. We use daily data from 8 commodity futures in the China’s and U.S. markets to investigate the impact of this important policy change. Whereas the launching of nighttime trading does not have a significant impact on overall price variation in the China’s (U.S) market that can be attributable to shocks to the U.S. (China’s) market, we find that it is has more significant effect on the volatility transmission from the Chinese market to the U.S. market than to the opposite channel from the U.S. to Chinese markets. Furthermore, the extra trading time leads to mixed changes in the information shares across the two markets among the eight commodities.    

固定链接: http://elab.dufe.edu.cn/archives/2155 | 实验经济学实验室
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