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北京大学国家发展研究院

Volume, Volatility and Public News Announcements

发布日期：2016-12-16 10:17    来源：北京大学国家发展研究院

National School of Development/Institute of Internet Finance Seminar Announcement

Title:  Volume, Volatility and Public News Announcements

Speaker: Professor Jia Li

Abstract: We provide new empirical evidence for the way in which financial markets process information. Our results are based on high-frequency intraday data along with new econometric techniques for making inference on the relationship between trading intensity and spot volatility around public news announcements. Consistent with the predictions derived from a theoretical model in which investors agree to disagree, our estimates for the intraday volume-volatility elasticity around the most important news announcements are systematically below unity. Our elasticity estimates also decrease significantly with measures of disagreements in beliefs, economic uncertainty, and textual-based sentiment, further highlighting the key role played by differences-of-opinion.

Speaker: Dr. Jia Li is an Assistant Professor of Economics at the Department of Economics, Duke University. He has publish papers on top economics journal including Econometrica, Journal of Econometrics, Econometric Theory, Annals of Statistics, and Journal of the American Statistical Association.

Time: 12/16/2016 (Friday) 18:30pm-20:30pm

Location: Zhifuxuan Classroom at National School of Development, Peking Unviersity

 


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