題 目：The Extreme-Value Dependence between Crude Oil Price and Chinese Stock Markets
主講人： 呂鑫 （應用經濟系）
時 間：2015年 5月 19 日（星期二） 中午12:00-13:00
地 點：主樓418會議室
主講人簡介：
呂鑫博士，2014年3月加入偉德國際1946bv官網管理與經濟學院應用經濟系，2013年4月獲得日本名古屋大學金融學博士學位。呂鑫博士主要的研究興趣為金融資產定價；現階段主要從事股票市場宏觀策略研究、國際油價定價研究。近年來，部分成果發表于 <Emerging Market Finance and Trade>, <International Review of Economics and Finance>等國際期刊。
內容簡介：
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.
（承辦： 應用經濟系 、科研與學術交流中心）
