刚建华：风险认知、市场收益对金融危机的暗示（地点已改）

学院（苏州研究院）独墅湖畔经济学论坛第十讲

风险认知、市场收益对于金融危机的暗示

主讲人：财政金融学院 刚建华博士

讲座时间：2010年11月6日上午9:00――11:30

讲座地点：修远楼225教室

刚健华 博士

英国约克大学（the University of York）经济学博士，主攻计量经济学、数理金融学。2010年10月加入学院财政金融学院货币金融系。代表作: THE DECLINE IN THE VOLATILITY OF THE BUSINESS CYCLES IN THE UK, with ATANASOVA, The Manchester School Supplement 2008,1463�C6786,14�C36. 

Abstract:

We implement the seminonparametric (SNP) modeling procedure to study the relationship between the volatility perception and equity returns. Estimations of the conditional returns on the SPX against the percentage change of VIX do not support any advocates in literature. Instead, our study suggests a possible nonlinear, asymmetric relationship between the conditional mean and the change of implied volatility. Our model also passed the robustness tests. We hence argue our study may have concluded the conflicting arguments on the risk-return topic because of a generalized model and considerations of asymmetries.

（编辑：田原）