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        • 【讲座信息】财金研究所第十八期学术报告

          发布者:财金学院 时间:2018年09月29日

          主题:Macroeconomic Announcement, Jump,and Price Discovery 

              in the Foreign Exchange Market 



          时间:1012日(周五)下午14:00 -15:30   


            内容提要:This paper proposes to calculate the information share by decomposing the aggregate volatility into continuous volatility andjump components in examining how macroeconomic news is incorporated into exchange rates across different trading regions. The results show that information shares based on the continuous volatility component provide similar results with previous studies by the total price volatility and the patterns of information share do not change around days with and without news releases. However, we find that the price discovery efficacy captured by the jump over the Asian trading-period, which is shown to convey less information than other markets in the analysis of aggregate volatility, is significantly higher than those from the other trading periods during days with announcements. The evidence suggests that the discontinuous volatility component reacts more promptly to information shocks that occur during macroeconomic announcement days. 


            演讲者简介:吴震星,于台湾中央大学取得管理学博士学位。现为中南财经政法大学金融学院讲师。研究领域包括市场微结构、国际金融市场、高频交易(程序交易) 等。并先后在Journal of International Money and Finance, Journal of International Financial Markets, Institutions & Money, Journal of Financial Studies等期刊发表论文。 





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