學(xué)術(shù)講座信息（5月18日）

演講題目：Price Discovery and Foreign Ownership in Emerging Markets

 

演講人及簡介： 柴俊，香港城市大學(xué)經(jīng)濟(jì)金融系副教授，研究興趣為資產(chǎn)定價(jià)、時(shí)間序列分析和日本資本市場，已經(jīng)在Journal of Business and Economic Statistics，Review of Financial Studies，Journal of Empirical Finance, Journal of Futures Markets，Journal of Banking and Finance ，Journal of Financial Intermediation等國際著名期刊發(fā)表論文多篇。

 

時(shí)間：2011年5月18日 周三 10：00-11:30am

 

地點(diǎn)：博學(xué)樓1227會(huì)議室

 

摘要：This paper examines the relation between intraday price discovery and proxies for financial openness or investor accessibility for a large cross-section of 23 emerging markets. Our sample covers 1,504 stocks over a period of eight months, from 2006 to 2007. We find price discovery, as measured by weighted price contribution, to be most important in early trading sessions immediately after the market opens. Our cross-sectional analysis suggests that price discovery in early trading is negatively related to the level of the bid-ask spread and return volatility, and positively related to the extent of analyst coverage. Most importantly, there is a reliable relation between early price discovery and direct foreign ownership in the underlying stocks. Greater price discovery early in the day is affiliated with a more significant presence of foreign investors in the home markets.

 

主辦： 對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)國際經(jīng)貿(mào)學(xué)院

對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)資本市場跨院虛擬研究平臺(tái)

協(xié)辦： 對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院

對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)國際商學(xué)院

對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)應(yīng)用金融研究中心

聯(lián)系人：江萍（國際經(jīng)貿(mào)學(xué)院）、孔寧寧（國際商學(xué)院）、陶利斌（金融學(xué)院）