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直播回放 实验资本市场的价格和信息溢出效应
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课程简介

1. Topic: Contagion in Experimental Asset Markets
演讲题目:实验资本市场的价格和信息溢出效应
2. Language: English
演讲语言:英文
3. Speakers: 
Lucy F. Ackert, professor of Finance in the Michael J. Coles College of Business at Kennesaw State University, USA
Brian D. Kluger, professor in the Finance Department of the Carl H. Lindner College of Business, USA
Li Qi, professor and chair of Department of Economics and Business Management at Agnes Scott College, USA
Lijia Wei, professor of Economics at the School of Economics and Management, Wuhan University, USA
演讲嘉宾:
Lucy F. Ackert,美国肯尼索州立大学金融系教授;
Brian D. Kluger,美国辛辛那提大学商学院金融系的教授; 
Li Qi,美国艾格尼丝·斯科特学院经济与工商管理系教授兼系主任;
Lijia Wei,中国武汉大学经济与管理学院教授。
4. Abstract:
Some nations restrict share ownership by foreigners, resulting in markets that are legally separated. Our study uses an experimental method to provide insight into the consequences of contagion across such segmented asset markets. In our asset markets, two sets of participants first trade an identical asset in segmented markets. We then introduce a shock to fundamentals in one market to examine whether information contagion is observed in the second market. Because there is no fundamental shock in the second market, we can separate a reaction that is not information-based from one that is due to changes in underlying fundamental values. With the separation across markets, we observe whether information pertaining to a fundamental shock that only affects the shocked market is transmitted to the non-shocked market. Our preliminary analysis suggests that if there is contagion, the effect is transitory. We observe little difference in price efficiency in later trading periods. In addition, we do not observe immediate or longer-term effects of the information shock on allocational efficiency.
演讲简介:
本次讲座会在简短介绍实验和行为金融学科的发展后,主要讨论我们近期利用实验的方法研究资本市场溢出效应的论文,同时也展示这一学科方法对研究金融行为和经典金融理论的推进。许多国家会以法律约束限制境外投资人持有资产,导致国家间的金融市场被合法分割。我们的研究使用了金融学实验的方法来深入了解在这种分割的资产市场上的价格和信息溢出效应,从非理性反应的角度对经典理论Rational Expectation Theory 和Market Efficiency Hypothesis做出补充印证。类似于同一家公司的股票在A股和H股上市,我们在资产市场实验中让两组参与者在两个分割的不同市场(但可以相互观察)交易相同的资产。然后实验者在其中一个市场(A市场)引入对基本面的外生冲击,以检验是否在第二个市场(B市场)中会观察到A市场外生冲击的溢出效应。由于在B市场中没有设置基本面的冲击,我们可以把基于A市场冲击的反应(做为非理性反应)与基于资产基本价值变化而引起的理性反应区分开来。实验结果初步分析表明冲击的溢出效应影响短暂,并且有促进非冲击市场价格靠近均衡价格的有益效果。冲击发生一段时间以后,资产价格的交易效率在各实验组中差异不大。此外,我们没有观察到溢出效应和传导对资产分配效率造成短期或长期影响。




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