活動起日：2016-11-28 發佈日期：2016-11-28 瀏覽數：731 2017-02-12 更新
本系擬於 12/2 (五) 邀請澳洲 La Trobe University 的 Prof. Xiangkang Yin 至本所進行專題演講，相關訊息如下：
時間: 12/2 (五) 10:30-12:00
講題: Differently Motivated ETF Trading Activities and the Volatility of the Underlying Index
This paper examines the correlations between two types of S&P 500 volatility and three trading motives of the index’s ETFs. It finds that ETF trading driven by belief dispersion is highly correlated with both index’s total volatility and Variance in Efficient Price Innovations (VEPI). Privately-informed ETF trading is strongly connected to the VEPI but not the total volatility, while liquidity ETF trading can explain S&P 500 total volatility but has little power in explaining the VEPI. Moreover, the leading ETF often has more explanatory power in explaining both types of volatility than control variables, including S&P 500 trading volume.