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姓 名: 徐艳
系 别: 金融工程系
职 称: 助理教授
办 公 室: 工商管理学院
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个人简介

资料整理中...

讲授课程

资料整理中...

研究领域

资料整理中...

研究成果

1、论文

[1]Yan Xu, Chi Xie, Yanan Xu. Time-spatial revolution characteristics in the aftermath of the European debt crisis: Decoupling hypothesis of China, Advances in Information Science and Service Sciences, 2012, 6(10): 102-113

Abstract: In this paper, our general goal is to figure out the evidence of the decoupling hypothesis for Chinese economy from the very wave of European debt crisis. An augmented gravity model, through which the recent reviving of murky protectionism as exogenous variable, is proposed and estimated, employing the vector auto regression, impulse and variance decomposition techniques, based on the monthly dataset from 2007 to 2011. The results show that, spatial logistics weathering with the debt crisis since the late-2009, which suggests that Chinese economy is somewhat insulated from international forces before the debt crisis. This result strengthened existing literature. Furthermore, the empirical findings indicate that the Chinese economy are well-known external-driven, but traces of switching to domestic consumption are robust. Murky protectionism plays a minor but significant role in China’s trade activity.

[2]徐艳,谢赤.投资者信念异质与证券价格互动关系研究,管理学报, 2009, 6(10) :1361-1367

摘要:行为金融理论认为,投资者信念是证券价格的一个重要的影响因素。与传统资产定价模型的同质信念假设不同,投资者信念异质更能反映现实证券市场中投资者的真实特征,反映投资者的非完全理性。非完全理性的投资者所具有的异质的人格特征、风险偏好,市场信息认知、态度和情绪等,将通过行为表现出来,反馈于市场并产生互动效应,对证券价格构成影响。本文从异质信念角度出发,分析投资者异质信念的形成机制及异质信念对证券价格的影响,并以中国证券市场的相关数据进行实证检验。研究发现,投资者信念异质与大盘价格指数之间存在长期均衡互动影响,且显著互为Granger因果关系。中国证券市场投资者非理性情绪和信念所表现出的复杂和混沌特征也在脉冲响应分析中得到间接的证明。

Abstract: Investor beliefs play a significant role in stock markets where the heterogeneous beliefs affect the determination of stock prices. The traditional asset pricing model assumes investors homogeneous beliefs. On the contrary, the proposition of investors’ beliefs heterogeneity is more close to the reality of the stock markets, in which investors are not in the perfect rationality. The very investors have heterogeneous personality, risk preferences, perceptions on the market information, different attitudes and sentiments, which in return affect the market and the stock prices. This paper studies the mechanism of emergence of heterogeneity beliefs and the impact on the stock prices. The empirical results suggest that there is a cointegrational Granger cause-effect relationship between institutional investors’ belief heterogeneity and stock market price index. Furthermore, the impulse test indicates that irrational sentiments and beliefs pose a complex chaotic shock on the price system.

 

2、研究项目

主持

基于交易税的金融网络脆弱性及系统风险控制研究.湖南省自然科学基金项目. 2015-2017. 项目主持人

参与

复杂金融网络动态演化行为与危机传染及其控制研究. 国家自然基金项目. 2014-2017. 主要研究人员

 

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