題 目：The Extreme-Value Dependence between Crude Oil Price and Chinese Stock Markets
主講人： 呂鑫 （應(yīng)用經(jīng)濟(jì)系）
時(shí) 間：2015年 5月 19 日（星期二） 中午12:00-13:00
地 點(diǎn)：主樓418會(huì)議室
主講人簡(jiǎn)介：
呂鑫博士，2014年3月加入偉德國(guó)際1946bv官網(wǎng)管理與經(jīng)濟(jì)學(xué)院應(yīng)用經(jīng)濟(jì)系，2013年4月獲得日本名古屋大學(xué)金融學(xué)博士學(xué)位。呂鑫博士主要的研究興趣為金融資產(chǎn)定價(jià)；現(xiàn)階段主要從事股票市場(chǎng)宏觀策略研究、國(guó)際油價(jià)定價(jià)研究。近年來(lái)，部分成果發(fā)表于 <Emerging Market Finance and Trade>, <International Review of Economics and Finance>等國(guó)際期刊。
內(nèi)容簡(jiǎn)介：
This study examines the asymptotic dependence between the Chinese stock market and the world crude oil market based on the Extreme Value Theory (EVT) and finds a positive extremal dependence. We explain this positive dependence in terms of economic cycles due to the co-movement between the Chinese stock market, the world oil market and the global economic cycle. EVT satisfactorily captures the Chinese special oil price adjustment mechanism. We also examine the contagion effect and find that the dependence level tends to increase dramatically during the crisis period but that the simultaneous booms between these two markets decrease considerably after the crisis.
（承辦： 應(yīng)用經(jīng)濟(jì)系 、科研與學(xué)術(shù)交流中心）
