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应用金融Seminar 2019-07:姚京(复旦大学)

报告题目:The Risk-Return Tradeoff in China: Does the Market Stability Objective of Government Intervention Matter?

报 告 人:姚京(复旦大学)

报告时间: 2019年09月26日(周四)14:00-15:30

报告地点:博学楼319室

主办单位:应用金融与行为科学学院

【报告人简介】

姚京,复旦大学经济学院副教授,经济学博士。研究成果在 Journal of Economic Dynamics and  Control, Journal of Banking and Finance, Operations Research  等学术期刊发表。最近的研究兴趣为行为金融学、金融风险管理等。

【内容简介】

This  study shows that the risk-return tradeoff in China varies with market  instability features in the direction indicated by the market stability  objective of government intervention. Using stocks traded in China between 1997  and 2016, we find that the market's mean-variance relation is significantly  positive in the months of low crash-like market features, but not in high-crash  months. Meanwhile, such two-regime pattern helps to account for the serial  correlation of market returns and becomes more pronounced on the CSRC  announcement days. We also find that bubble-like market features are useful for  detecting a positive mean-variance relation of individual stocks, but not useful  at the market level. Overall, the evidence is consistent with the notion that  government's attempts to maintain market stability attract investor speculation  in bad times and neutralize sentiment-related speculation in boom times, and an  idiosyncratic shock is not sufficient to trigger such responses.


撰稿:于源 审核:史永东 单位:应用金融与行为科学学院

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