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【学术讲座】6月15日 经济学院2023年计量经济学系列讲座(四)

文章来源: 发表时间:2023-06-15 08:53:55点击次数:

讲座主题:

价格发现测度的杠杆修正研究:杠杆型交易所交易基金的应用

Leverage Corrections to Price Discovery Measures: A Structural Analysis and Application to Leveraged Exchange-Traded Funds

主讲嘉宾:沈淑琳(游艇会线路检测中心讲师)

讲座时间:2023615日(周四)下午3:00

讲座地点:经济学院407会议室

AbstractWe propose an innovative order-invariant and leverage-robust measure of price discovery, the Leverage Corrected Price Information Leadership measure (CPIL). Structural analysis shows that our CPIL measure reflects the ratio of competing leveraged products’initial responses over their long-run responses to the permanent shock. Simulation evidence strongly supports the superiority of our measure over a broad range of existing measures of price discovery, especially when leverage exists (Lien and Shrestha 2009; Putnins 2013; Sultan and Zivot 2015; Patel et al. 2020). We further examine the price discoveries among 6 representative exchange-traded funds (ETFs) tracking the S&P 500 index, including the SPDR S&P 500 Trust ETF (SPY) and other five leveraged or inversely leveraged ETFs (LETFs). Empirical results show that SPY dominates all LETFs for over 90% of the time, confirming that the equity index LETF market is mostly driven by herding investors and contains less incremental information.



摘要

本文提出了一个对于排序稳健并且对杠杆稳健的价格发现测度:杠杆修正的价格信息领导指标(CPIL)。结构分析表明该CPIL指标反映了相关产品对永久性冲击的初始反应与其长期反应的比例。通过仿真模拟,我们证明了该指标优于现有的其他价格发现指标,尤其是当相关产品存在杠杆倍数时。我们进一步研究了6支跟踪标普500指数的交易所交易基金(ETF)的价格发现关系,其中包括SPDR标普500信托ETFSPY)和其他5只杠杆或反向杠杆ETF LETFs)。实证结果表明,在超过90%的时间内,SPY主导了所有的LETFs市场,证实了股指LETFs市场主要由聚集性投资者驱动,其对标的资产的价格发现过程贡献较少的增量信息。

作者介绍:

沈淑琳,游艇会线路检测中心讲师。美国雪城大学经济学博士,研究方向为金融计量,房地产金融,城市与区域经济学。近年来研究成果发表在Journal of Applied Econometrics, Pacific-Basin Finance Journal, Travel Beviour and Society, Journal of Real Estate Finance and Economics, Canadian Journal of Economics等国际权威期刊。


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