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经济学高级研究论坛第167期
时间:2021-06-16    点击数:

讲座题目:What is the time series regression of the stock market return?

报告人:田卫东

报告时间:2021年6月17日(周四)上午8:30

报告地点:腾讯会议324 864 322

主办单位:武汉大学经济与管理学院数理经济与数理金融系

主持人:林乾

内容摘要We obtain a derivative-based formula of time series regression coefficients on the stock market return. We introduce a forward contract on a power VIX index (PVIX) calculated by market index options, and obtain a model-free future price of PVIX by using S\&P 500 index options, VIX futures, and VIX index options. Our empirical results suggest a negative autocorrelation (resp. beta coefficient) between monthly market return, but the reversal level is relatively small compared to the past market returns, yielding a long-term positive trend (resp. intercept term). Moreover, the autocorrelation coefficients computed using derivatives are primarily comparable to the corresponding statistical measure estimated by historical return data between two consecutive months; however, the time-series coefficients using derivatives are significant and more sensitive to the market in the volatile period. Finally, we demonstrate that the derivatives market's forward-looking information helps predict future market return.

主讲人简介田卫东,美国北卡罗来纳大学夏洛特分校金融学教授、风险管理与保险学特聘教授,在Review of Financial Studies、Management Science、Mathematical Finance、Journal of Risk and Insurance等国际顶级期刊发表论文30篇。