Dr. XIAO Yuewen, a lecturer and supervisor for postgraduate of the Department of Finance of the Business School USST, gave a talk in Meeting Room 1, Block A of Economy & Management Buliding at 1:00 p.m. October 19. The title is Jumps, news and subsequent return dynamics: An intraday study. The talk is the 7th event of Academic Series of “Hujiang Economy & Management Symposium” featuring young researchers. Faculties and more than 260 postgraduate students of USST-BS attended the talk.
The talk was based on the publication of Dr. Xiao in the Journal of Financial Research, an internationally renowned journal in the field of finance. The publication has been awarded the best paper of the year 2020 by the journal.
At the beginning of the talk, Dr. Xiao explained study background and concepts of jumps, news. Then she introduced the research content in outline. Dr. Xiao elaborated on the relationship between news and jumps, the dynamic returns after jumps in aspects of data cleaning, model construction, results and etc. Dr. Xiao pointed out that although news release is an important force driving asset price, there is no one-to-one correspondence of news to jumps
The empirical results show that the return rate reverses after the jumps without news, indicating that the jumps irrelevant to news about macroeconomy may reflect investors' overreaction and market friction. The post-jump return dynamics based on the news are related to the properties of news. In addition, whether related to news or not, the return reversal following the negative jump is stronger than that following the positive jump. After a detailed description of the paper, Dr. Xiao gave a concise summary about her study.
At the end of the talk, Dr. XU Jiawen, lecturer of the Department of Finance USST-BS commented on Dr. Xiao's paper. Mr. Xu reviewed the rich contents of the talk first, and then proposed unique opinions in the future research following the current study.
The talk turned out to be a huge success. The attending students felt inspired by the talk.
