Momentum, Bubble and Information Transmission

主讲人：

闫昱，北京大学经济学院金融系博士生，研究方向为宏观金融、行为金融和资产定价。研究成果发表在Fractal and Fractional和Journal of Mathematical Analysis and Applications等期刊上。

题目：

Momentum, Bubble and Information Transmission

时间：

2022年4月28日周四

12:00-13:30

地点：

 北京大学经济学院302会议室

摘要：

We propose a continuous-time heterogeneous beliefs model to integrate the momentum effect, the reversal effect and the bubble into a unified framework. The critical factor is the transmission of information between traders. The transmission of correct information that can persist over time leads to the momentum effect of prices. The transmission of a rumor leads to the bubble and reversal effect of prices. Therefore, incomplete information in the market reduces the effectiveness of prices. Modelling based on multiple information transmissions estimates the movement of stock indices. The results of numerical simulations show that an increase in the speed of information transmission is likely to increase market volatility and thus reduce traders' welfare.  Short sale restriction and borrowing limit may theoretically reduce market volatility and thus increase traders' welfare.

供稿单位：经济学院金融系

供稿人：闫昱