站内搜索:

10月9日,David Parsley(范德堡大学)


2017-10-09 09:48:00 作者:

中央财经大学2017年度引智项目讲座

 

讲座题目Return Comovement

 

主 讲 人David Parsley教授

 

讲座时间2017109日(周一)12:15-13:45

 

讲座地点:中央财经大学学院南路校区主教702会议室

 

主持机构:中央财经大学国际经济与贸易学院

 

项目支持:本项目由国际合作处2017年度中央财经大学教师邀请海外学术伙伴来校开展合作科研项目支持,项目编号:HZKY20170040

 

主讲人简介

 

范德堡大学(Vanderbilt University)经济和金融学教授。他在加州大学伯克利分校获经济学博士学位,在肯塔基大学获商业和经济学学士学位。Parsley教授研究方向为国际金融、全球经济一体化、汇率、货币政策等,研究成果发表于Quarterly Journal of EconomicsJournal of International EconomicsJournal of Financial EconomicsThe Economic Journal等期刊杂志。

 

Abstract: We examine intra-market return comovement within each of 33 economies’ stock exchanges from 1995 through 2013 using a model-free comovement gauge. We find that the stability of international macroeconomic trilemma policies, the number of crises, and the extent of turnover overshadow the empirical relevance of many variables previously thought to be important for intra-market comovement, including country risk, corruption, and investor protections. We also use a much longer sample of U.S. firms to examine compositional explanations of the well-known U.S. comovement decline and to decompose the comovement into trend and cycle. Our findings challenge the compositional explanations of the decline; additionally, they suggest that the most recent uptick reflects short-term conditions, rather than a trend reversal.



 

 


版权所有 中央财经大学·国际经济与贸易学院
地址:北京市海淀区学院南路39号 主教学楼7层
电话:010-62288864 传真:010-62288864 邮编:100081