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(6-15PM2:30)岭南量化金融研讨会讲座系列

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时    间:2017年6月15日(周四)下午2:30-4:00

地    点:岭南堂汪道涵会议室

语    言:中文+英文

 

报告题目1:资产配置和量化投资

报告人:余剑峰(浙江大学管理学院博士)

论文摘要:大类资产,国内量化投资趋势现状。

 

报告题目2:Price Discovery of Index Futures

报告人:周思力(新加坡管理大学博士,复旦泛海金融助理教授)

论文摘要:The trading of foreign index futures by the Singapore Exchange (SGX) offers an ideal opportunity to study price discovery and information of trading across different markets. We examine four popular indices - Nikkei 225 Index, MSCI Taiwan Index, CNX Nifty Index and the FTSE China A50 Index traded in SGX and compare them with their home market trading. In contrary to standard theory and evidence, we show that smaller bid-ask spread, lower minimum lots and cheaper transaction cost do not necessary improve information efficiency. These results may shed some light on the usefulness of the role of an international financial centre on the price discovery of foreign indices. 

 

 

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