岭南学术论坛-金融学系列Seminar-Social Interaction, Volatility Clustering, and Momentum
第575期岭南学术论坛(金融学系列Seminar)
报告题目:Social Interaction, Volatility Clustering, and Momentum
报 告 人:Xuezhong He(University of Technology Sydeny ,Professor)
主 持 人:曾燕(中山大学岭南学院,教授)
时 间: 2021年4月2日(周五)14:30-16:30
地 点:岭南堂汪道涵会议室
语 言: 中文
摘要:
This paper incorporates information uncertainty of noisy fundamental and social interactions of investors to a random utility framework and develops an evolutionary equilibrium model of asset pricing and population dynamics of investors' mean choice. Channelled by the peer effect of social interaction, the mean choice can switch between two regimes that characterize two regimes in return volatility.
Due to fundamental shocks and public signals, volatility clustering is then generated from endogenous regime switching. This mechanism also creates short-run momentum of stock prices over time. Using StockTwits post volume as a proxy for social interaction, we provide empirical evidence on the model predications on the volatility clustering and time series momentum for various equity indices.
报告人介绍:
Tony He has been a Professor in Finance at University of Technology Sydney (UTS) since 2010. He has been a co-editor of Journal of Economic Dynamics and Control (an ABDC A* journal) since 2013. Prof. Tony He received his PhD in Finance in 2010 from UTS and PhD in Applied Mathematics in 1995 from Flinders University, the two fundamental disciplines that underpin his areas of teaching and research. Tony is an internationally recognized expert in asset pricing, financial market modelling, market microstructure, and nonlinear dynamics in finance and economics. His international research profile is attested by his publications in the field of finance and economics, invited contributions to the prestigious Handbook of Financial Markets and Handbook of Computational Economics, numerous keynote talks in the international conferences, and a number of competitively national and international research grants.
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中山大学岭南学术论坛分经济、金融和管理三个系列,是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期,并得到了各界的高度评价。