题目：Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis

主讲人：连大祥 教授 （美国德州大学圣安东尼奥分校）

时间：2016年10月16日上午10:00-12:00

地点：主楼418

主讲人介绍：

    连大祥，加州理工学院经济学博士，美国德州大学圣安东尼奥分校商学院教授，前董事长助理、东亚研究中心主任、美国刘氏基金项目负责人、刘尚俭杰出首席商学教授，在新加坡国立大学、南洋理工大学、清华大学、加拿大维多利亚大学、英国里丁大学及密苏里大学堪萨斯城分校等担任访问教授或讲座教授。在国际经济、金融类顶级期刊Journal of Development Economics, Journal of Econometrics, Journal of Banking and Finance, Journal of International Economics主要期刊上发表论文270余篇，根据澳洲SIRCA的统计资料，以2001-2005在19个主要的国际金融期刊发表文章的加权数计算，连大祥教授排名世界第一。连大祥教授现担任国际主流金融学期刊International Review of Financial Analysis，Research in International Business and Finance，Emerging Markets Trade and Finance副主编，同时担任International Review of Economics and Finance等10余本国际知名金融类期刊编委。

内容介绍：

    This research examines the changing nature of volatility spillovers among the U.S. and eight East Asian stock markets between two financial crises: the Asian currency crisis and the U.S. subprime credit crisis. Our empirical results suggest that volatility is not always spilled over from the directly affected markets to surrounding markets in crisis periods. The East Asian markets, which directly suffered from the Asian currency crisis, receive volatility spillovers from other markets during the Asian currency crisis period. On the other hand, there are unidirectional volatility spillovers from the U.S. market to other markets during both crisis periods. This difference can be explained by a predetermined hierarchy in which volatility spillovers tend to start from the U.S. market regardless of the geographical origin of the crisis. Finally, the three financial hub markets, Japan, Hong Kong and Singapore, are the markets to which volatility is spilled over uni-directionally from several other countries during the subprime credit crisis period, but not during the Asian currency crisis period. We attribute this difference in volatility spillover pattern to crisis-specific (currency or credit crisis), market-specific (credit derivatives market participation and foreign currency reserves), and time-specific (more integrated global market) factors.

（承办：应用经济系，科研与学术交流中心）