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【学术预告】麻省理工学院金融学副教授陈晖学术研讨会:熔断机制的暗面

时间:2017-10-25 来源: 作者: 浏览: 字号: 打印

主题:The Dark Side of Circuit Breakers(熔断机制的暗面)

主讲人:陈晖,麻省理工学院斯隆管理学院金融学副教授

日期:20171025日(周三)

时间:上午10:00-11:30

地点清华五道口金融学院4号楼101教室

语言:英文

摘要:

Market-wide trading halts, also called circuit breakers, have been proposed and widely adopted as a measure to stabilize the stock market when experiencing large price movements. We develop an intertemporal equilibrium model to examine how circuit breakers impact the market when investors trade to share risk. We show that a downside circuit breaker tends to lower the stock price and increase its volatility, both conditional and realized. Due to this increase in volatility, the circuit breaker's own presence actually raises the likelihood of reaching the triggering price. In addition, the circuit breaker also increases the probability of hitting the triggering price as the stock price approaches it - the so-called “magnet effect.” Surprisingly, the volatility amplification effect becomes stronger when the wealth share of the relatively pessimistic agent is small.

主讲人简介:

Hui Chen is an Associate Professor of Finance at the MIT Sloan School of Management, and a research associate at the National Bureau of Economic Research. His research focuses on asset pricing and its connections with corporate finance. He is particularly interested in the interactions between the macro economy, credit risk, and liquidity risk. His recent research projects include studying the impact of circuit breakers on asset pricing and trading; building business cycle models to explain corporate financing, forecast defaults, and price corporate bonds; as well as measuring the effects of intermediary constraints on the derivative markets. He is the recipient of the Smith Breeden Prize in 2011, among other scholarly awards. He currently serves on the editorial boards of the Journal of Finance, Review of Financial Studies, and the Journal of Banking and Finance. Chen holds a BA in economics and finance from Sun Yat-Sen University, an MS in mathematics from the University of Michigan, and a PhD in finance from the University of Chicago.

 

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