【2019年10月16日】【管理科学与工程系学术讲座】Winners, Losers, and Regulators in a Derivatives Market Bubble: Evidence from Chinese Brokerage Data 衍生品市场泡沫中的赢家、输家和监管者:来自中国券商数据的证据
发布时间:10-15-19

管理科学与工程系学术讲座

题目: Winners, Losers, and Regulators in a Derivatives Market Bubble: Evidence from Chinese Brokerage Data

衍生品市场泡沫中的赢家、输家和监管者:来自中国券商数据的证据

演讲人: 杨学伟 副教授, 南京大学

时间: 2019年10月16日 15:20-16:20

地点: 同济大厦A楼201教室 

讲座摘要:

We use proprietary brokerage data to study trading patterns within a well-known bubble in the Chinese warrants market. Unskilled investors unprofitably trend-chased whereas skilled investors profited by using the opposite strategy. Naive traders increased holdings in out-of-the-money warrants near expiration, whereas sophisticated investors did the reverse. Thus, the results indicate that challenged financial literacy amongst the naive can sustain bubbles and create profit opportunities for the sophisticated. Regulators failed to properly forecast trading frenzies, because the pre-specified price limits often excluded warrants’ fundamental values. This highlights the need for regulators to properly anticipate investor irrationality in a new market. 

演讲嘉宾简介:

杨学伟,南京大学副教授,博士生导师。南开大学理学博士,香港城市大学经济与金融系博士后,UCLA、UIUC和HKUST访问学者。主要研究兴趣为金融衍生品创新与监管,行为金融,金融科技与大数据挖掘。在 Journal of Financial Economics和Mathematical Finance等国际期刊发表论文20余篇。研究成果获GARP Risk Management Research Award。

 

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