【能源经济与管理学术论坛】
骆兴国副教授讲座通知
题目：Are options ideal hedging tool in China?
主讲人：骆兴国 浙江大学副教授
时间：9月14日，下午3:30
地点：新主楼A1138
摘要：By testing properties implied by one-dimensional diffusion option pricing models, we find that call (put) prices in the Chinese 50ETF option market move in opposite direction with the underlying between 13.39% and 27.89% (between 12.45% and 33.98%) of the time for 5-minute and 1-day sampling intervals respectively. Further, we document that call and put prices increase, or decrease, together between 9% and 25.1% of the time depending on the sampling intervals. Given fundamental different investor structures in U.S. and China option markets, we also observe some important unique features in the 50ETF option price dynamics. More importantly, we demonstrate that these striking violations reduce substantially in 2016 compared with those in 2015, indicating that Chinese stock option market becomes more efficient as a hedging tool.
报告人简介：骆兴国现任浙江大学经济学院金融学副教授（博导），浙江大学“求是青年学者”，香港大学经济金融学院的金融学博士。研究领域为资产定价，波动率指数及其期货期权，能源金融，金融工程等，2010年以来在Journal of Financial Markets, Journal of Futures Markets, Pacific-Basin Finance Journal, International Review of Economics and Finance, Finance Research Letters发表或即将发表10篇SSCI文章，担任Management Science, Journal of Futures Markets, Pacific-Basin Finance Journal等多种SSCI/SCI期刊的匿名审稿人，第一届能源金融国际会议（2016 International Conference on Energy Finance）联合主席，国际金融管理学会（Financial Management Association）和亚洲金融学会（Asian Finance Association）年会的分会场主席（Session Chair）。2012年获得芝加哥商业交易所集团（CME Group，全球最大的期货期权交易市场）的特别研究奖励，2015-2016年连续获得金融系统工程与风险管理国际年会优秀论文奖。
经管学院科研办
2016-09-13
