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昆士兰科技大学商学院高级助理教授廖寅学术讲座
作者:王熙    发布时间:2017-12-21 17:09:31    访问次数:2095  
 

讲座题目:Firm specific news flow and stock volatility connectedness

时间:20171227 日下午2:30

地点:信息楼0212

主讲人简介:Dr. Yin Liao是昆士兰科技大学商学院经济学和金融学高级助理教授,于2011年获得澳洲大学博士学位,其主要研究方向是金融计量,包括基于高频数据的金融市场波动率预测,基于大数据的金融市场系统风险量化,公司和个人违约风险量化和能源金融等。Dr. Yin Liao发表多篇国际知名期刊,比如,Journal of Business and Economic StatisticsJournal of Economic and Dynamic Control Journal of Empirical Finance International Journal of Forecasting等。

讲座主要内容:

AbstractWhile a great deal of research has focused on the impact of news on the stock return volatility of a single firm, much less attention has been paid to the role of news in explaining the cross-sectional volatility links among different firms. This paper empirically examines the impact of firm specific scheduled and unscheduled news arrivals on the volatility connectedness among 47 US financial institutions within a novel network modeling framework. It is found that while the scheduled news containing positive surprises resolves the information uncertainty, causing a decrease in both total industry volatility connectedness and the importance of announcing institutions in transmitting volatility shocks, the negative scheduled and unscheduled news create information uncertainty, increasing both total industry volatility connectedness and the centrality of announcing institutions in volatility connectedness. These news effects are magnified when the market is in distress and in firms whose news announcements are more informative and offer greater potential to learn about the rest of the industry. These results are widely consistent across a variety of robustness tests.

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