一、报告题目：

How does news flow affect cross-market volatility spillovers? Evidence from the Chinese stock index spot and futures markets

二、报告人：

澳大利亚埃迪斯科文大学 张昭勇

三、报告时间：

2019年12月19日 （周四） 下午15:00-16:30

四、报告地点：

知新楼B219

五、报告人简介：

张昭勇，比利时鲁汶大学经济学博士，现任澳大利亚埃迪斯科文大学商学院教授，亚洲企业与组织研究中心（ABORG）主任。主要研究领域为东亚货币与金融市场一体化、真实产出协动性、中国经济中的外汇政策、国际贸易与国际金融，地区一体化中的而贸易与FDI等。曾在Journal of Wealth Management，Economic Modelling，Japan and the World Economy，Pacific Economic Review，Global Economy and Finance Journal等国际期刊发表文章多篇。

六、 报告摘要：

This paper examines how news flow affects cross-market volatility spillovers and price discovery process in China’s stock market and index futures market. We find robust evidence confirming the dominant predicting power of the stock market in the price discovery process, and the presence of asymmetric and persistent volatility effects. The results show that volatility spillovers are bidirectional between the index spot rates and the index futures rates, and news release has significant and positive association with the dynamic conditional correlation between the index spot market and the index futures market. These have important implications for portfolio decision making and hedging strategies in emerging markets.

研究中国股市和股指期货市场之间的波动溢出现象，证明信息释放与两市场之间动态条件下的正向相关性。

七、主办单位：

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