-
大陆成人直播
-
- 大陆成人直播
- WORKSHOP预告
宏观经济学workshop：Understanding AH Premium in China Stock Market
发布日期：2018-04-03 03:21 来源：大陆成人直播-成人直播中文
时间：2018年4月3日（星期二）13：30－15：00
地点：北大国发院/中国经济研究中心小教室
主讲人：张同斌（上海财经大学）
题目：
Understanding AH Premium in China Stock Market
演讲内容简介：
There are a number of companies (AH-share) dual-listed in both China mainland stock market (A-share) and Hong Kong stock market (H-share) accounted for 20% of total A-share. The 'Shanghai-Hong Kong Stock Connect' program starting at November, 2014 makes previously two segmented markets--Shanghai and Hong Kong stock markets--connected. The price difference of AH-share in Shanghai and Hong Kong stock markets, measured by Hang Seng China AH Premium Index, persistently divergences instead of converging. We have shown that present-value asset pricing models with heterogeneous agents，which can explain price difference in the segmented markets, cannot generate any price difference in the connected markets. Market differentials between Shanghai and Hong Kong markets also quantitatively fail to explain such high and volatile AH premium. We, hence, propose an `Internal Rationality' learning model, in which agents don't know the pricing function from fundamentals to the stock prices and have different subjective beliefs about tomorrow's capital gains between Shanghai and Hong Kong markets. Our learning model can successfully generate data-like weekly AH premium. We also show that convergence traders with strategy short in Shanghai and long in Hong Kong would lose money with a high probability.
主讲人简介：
Tongbin Zhang is an Assistant Professor at Shanghai University of Economics and Finance. His main research interests are macroeconomics, financial economics and monetary economics. He holds a PhD and a MA in Economics from Universitat Autonoma de Barcelona in Spain, a MA in Economics from Shanghai University of Finance and Economics, and a BA in Finance from Zhejiang Gongshang University.
大陆成人直播 官方微信
Copyright© 1994-2012 大陆成人直播-成人直播中文 版权所有, 京ICP备05065075号-1
保留所有权利，不经允许请勿挪用
-
大陆成人直播
-
宏观经济学workshop：Understanding AH Premium in China Stock Market
发布日期：2018-04-03 03:21 来源：大陆成人直播-成人直播中文
时间：2018年4月3日（星期二）13：30－15：00
地点：北大国发院/中国经济研究中心小教室
主讲人：张同斌（上海财经大学）
题目：
Understanding AH Premium in China Stock Market
演讲内容简介：
There are a number of companies (AH-share) dual-listed in both China mainland stock market (A-share) and Hong Kong stock market (H-share) accounted for 20% of total A-share. The 'Shanghai-Hong Kong Stock Connect' program starting at November, 2014 makes previously two segmented markets--Shanghai and Hong Kong stock markets--connected. The price difference of AH-share in Shanghai and Hong Kong stock markets, measured by Hang Seng China AH Premium Index, persistently divergences instead of converging. We have shown that present-value asset pricing models with heterogeneous agents，which can explain price difference in the segmented markets, cannot generate any price difference in the connected markets. Market differentials between Shanghai and Hong Kong markets also quantitatively fail to explain such high and volatile AH premium. We, hence, propose an `Internal Rationality' learning model, in which agents don't know the pricing function from fundamentals to the stock prices and have different subjective beliefs about tomorrow's capital gains between Shanghai and Hong Kong markets. Our learning model can successfully generate data-like weekly AH premium. We also show that convergence traders with strategy short in Shanghai and long in Hong Kong would lose money with a high probability.
主讲人简介：
Tongbin Zhang is an Assistant Professor at Shanghai University of Economics and Finance. His main research interests are macroeconomics, financial economics and monetary economics. He holds a PhD and a MA in Economics from Universitat Autonoma de Barcelona in Spain, a MA in Economics from Shanghai University of Finance and Economics, and a BA in Finance from Zhejiang Gongshang University.
访问学者申请
EMAIL
北京大学
ENGLISH
