【伟德平台怎么样2017年度引智項目講座】

講座題目：Return Comovement

主 講 人：David Parsley教授

講座時間：2017年10月9日（周一）12:15-13:45

講座地點：伟德平台怎么样學院南路校區主教702會議室

主持機構：伟德平台怎么样

項目支持：本項目由國際合作處2017年度伟德平台怎么样教師邀請海外學術夥伴來校開展合作科研項目支持，項目編号：HZKY20170040

主講人簡介：

範德堡大學（Vanderbilt University）經濟和金融學教授。他在加州大學伯克利分校獲經濟學博士學位，在肯塔基大學獲商業和經濟學學士學位。Parsley教授研究方向為國際金融、全球經濟一體化、彙率、貨币政策等，研究成果發表于Quarterly Journal of Economics、Journal of International Economics、Journal of Financial Economics、The Economic Journal等期刊雜志。

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.