题目：Interpreting market inefficiency vs. irrationality using news sentiment and information transfer entropy

主讲人：Jing Chen 教授（Cardiff University, UK）

时间：2018年5月11日 下午15:30-16:30

地点：主楼216

主讲人介绍：

    Dr. Maggie Chen is a reader in School of Mathematics, Cardiff University, UK. She got her BSc in computer science in 2001 from Lanzhou Jiaotong University, MSc in finance and investment from University of Aberdeen in 2007, PhD in finance from University of Aberdeen in 2011. Her publications have appeared in Quantitative Finance, The Journal of European Finance, Journal of Forecasting, European Journal of Finance, Journal of Economics Behavior and Organization etc.

内容介绍：

    News sentiment, an investor sentiment proxy, has been widely explored in behavioral finance; yet the linkage between investor sentiment and market irrationality and inefficiency has not been thoroughly examined. In this study, we consider the financial market as a bivariate system that consists of news sentiment and market returns. We adopt the concept of transfer entropy to quantify information flow between these two types of events and formulate irrationality regime proxies. Testing with an intraday dataset from 2003 to 2014 for the major U.S. markets, we find that the information flow follows a trimodal distribution that clearly distinguishes financial markets into three regimes: the “price-driven”, “transitional”, and “news-driven” regimes. We provide evidence to show that the proposed irrationality proxy is positively correlated with three market inefficiency indicators in the current literature; and also, we identify a significant cut-off threshold to delineate the market into price-driven and news-driven regimes, showing that news-driven investment decision is a key factor of market inefficiency.

（承办：管理科学与物流系，科研与学术交流中心）