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学术讲座信息(5月18日)

演讲题目:Price Discovery and Foreign Ownership in Emerging Markets

 

演讲人及简介: 柴俊,香港城市大学经济金融系副教授研究兴趣为资产定价、时间序列分析和日本资本市场,已经在Journal of Business and Economic StatisticsReview of Financial Studies,Journal of Empirical Finance, Journal of Futures MarketsJournal of Banking and Finance Journal of Financial Intermediation等国际著名期刊发表论文多篇。

 

时间:2011年5月18日 周三 10:00-11:30am

 

地点:博学楼1227会议室

 

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.

 

主办: 对外经济贸易大学国际经贸学院

对外经济贸易大学资本市场跨院虚拟研究平台

协办: 对外经济贸易大学金融学院

对外经济贸易大学国际商学院

对外经济贸易大学应用金融研究中心

联系人:江萍(国际经贸学院)孔宁宁(国际商学院)、陶利斌(金融学院)