时间：2019年4月12日（周五）10:10-11：40
地点：嘉庚二号楼502教室
题目：A prelude of the GFC: The existence of stock bubbles in emerging markets and the role of international equity flows
报告人：Cheng Yan，英国埃塞克斯大学财务学副教授 主持人：叶建明，财务管理与会计研究院院长、教授 |
论文摘要：
We employ the state-of-art Backward Supremum Augmented Dickey-Fuller (BSADF) test and its panel variant to detect stock bubbles in 22 Emerging Markets Economies (EMEs) from 1995 to 2015. We identify the existence of synchronized stock bubbles across EMEs prior to the 2000s Global Financial Crisis (GFC), and the timeline of bubbles coincides with the movements of international short-term capital flows. Since stock bubbles are non-linear and explosive, we further employ the binary choice regression method to investigate the link between bubbles and flows. Unlike the literature, our results underscore the importance of portfolio equity flows rather than bank credit.
Cheng Yan博士于英国伦敦城市大学卡斯商学院获得财务学博士学位，已在 Journal of Empirical Finance、Journal of International Money and Finance和Journal of Futures Markets等国际知名期刊发表多篇论文。
论文：
Bubbles17March2019forIMFERblind-Cheng.pdf