题 目：The Extreme-Value Dependence between Crude Oil Price and Chinese Stock Markets
主讲人： 吕鑫 （应用经济系）
时 间：2015年 5月 19 日（星期二） 中午12:00-13:00
地 点：主楼418会议室
主讲人简介：
    吕鑫博士，2014年3月加入12BET管理与经济学院应用经济系，2013年4月获得日本名古屋大学金融学博士学位。吕鑫博士主要的研究兴趣为金融资产定价；现阶段主要从事股票市场宏观策略研究、国际油价定价研究。近年来，部分成果发表于 <Emerging Market Finance and Trade>, <International Review of Economics and Finance>等国际期刊。
内容简介：
    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.

（承办： 应用经济系 、科研与学术交流中心）