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9月28日,刘晓蕾(北京大学光华管理学院)
发布时间:2017-09-20   发布人:zs   点击数:514

报告人:刘晓蕾,北京大学光华管理学院

时间:9月28日,周四下午1:30—3:00

地点:博学楼1222教室

题目:Trading Restriction as a Channel of Financial Contagion—Evidence from China’s Stock Market

摘要:During June 15 to July 10, 2015, the Chinese stock market fell by over 32 percent, wiping out over US$3.5 trillion in three weeks. This paper examines the role played by trading restrictions, including price limits and trading suspension in crisis contagion during the crash. Because of these restrictions, the trading of many over-valued bubble stocks was stopped. Examining data on mutual funds’ stock portfolios and stock trading, we document that a tradable stock was more likely to be sold if its major holders were exposed to a larger proportion of non-trading stocks in their portfolio. The results are consistent with the argument that the trading restrictions caused mutual funds facing redemption pressure or with precautious concerns to sell other tradable stocks, exacerbating their price drops.

报告人简介:Laura Xiaolei Liu is a Professor of Finance and Accounting at Guanghua School of Management, Peking University and Chair of Finance Department. Her paper has won awards such as the Best Corporate Finance Paper at WFA, the Best Paper in Investment at AsianFA, the Best PhD Paper at SWFA, and An Zijie International Trade Research Award. She is currently an associate editor of Financial Management. Her work has been published in leading academic journals including Journal of Political Economy, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Monetary Economics, and Management Science. Before joining Guanghua, she taught at Hong Kong University of Science and Technology and received tenure there. Her research interests include capital markets, empirical corporate finance, real estate finance and the Chinese economy.

 

 

 

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