地点：北京师范大学科技楼B区608

时间：2019年5月21日星期二14:00—17:00

主讲人简历

Brian M. Lucey教授来自Trinity Business School，Trinity College Dublin，INFINITI国际会议的发起人及主席，主要从事市场有效性、商品市场、金融危机、金融一体化、经济心理学等领域的研究，在国际期刊上发表论文百余篇。另外，Brian M. Lucey教授长期担任International Review of Financial Analysis，International Review of Economics and Finance，Finance Research Letters和Journal of Behavioral and Experimental Finance国际期刊的主编以及Journal of Banking and Finance和Journal of Multinational Financial Management的副主编。

Samuel A. Vigne教授来自Queen’s Management School，Queen’s University Belfast，主要从事商品定价、货币金融、贵金属等方面的研究，在国际期刊上发表论文十余篇。另外，Samuel A. Vigne教授现担任Research in International Business and Finance，International Review of Financial Analysis和Finance Research Letters的副主编.

Youwei Li教授来自Hull University Business School，University of Hull，主要从事计量金融、数量金融、风险管理及金融衍生品和长寿风险等方面的研究，在Quantitative Finance，Journal of Economic Dynamics and Control，Journal of Empirical Finance，The Financial Review，Insurance：Mathematics and Economics等国际知名期刊发表论文数十篇。

报告内容简介

1.    14:00-15:00

主讲人Brian M. Lucey  

题目 Investigating the dynamics between price volatility, price discovery and criminality in cryptocurrency markets

摘要: 本文从八种加密货币中确定了与波动率和价格发现过程相关的几种类型的事实。文章利用对日内交易数据的实证分析，发现了四种主要结果。首先，加密货币表现出周末波动效应。当其日内波动受国际交易次数、石油市场大幅波动期以及英镑/美元和网络犯罪事件的影响时，其次，对最近网络犯罪行为的彻底调查发现，加密货币黑客既增加被黑客入侵的货币的波动性又增强了被黑客入侵的货币和其它加密货币的相关性。第三，黑客攻击显著降低了相对于其他加密货币源自于黑客货币的价格发现。最后，在黑客真正攻击之前的几个小时内存在可察觉的与黑客相关的异常收益，而这在公开发布黑客攻击时恢复为零。

2. 15:00-16:00

主讲人Samuel A. Vigne  

题目Sell or Die: What happens to firms after they withdraw from their IPO?

摘要:“申请首次公开募股的公司如果退市或者未被列榜，会发生什么变化？通过对2001-2015年期间欧洲主要IPO市场（占西欧IPO市场的80%）的大量普通股IPO样本进行调查，研究了这一问题。我们分析了上市申请时的监管、经济和市场状况以及公司发行、运营和治理特征，以得出上市后退出这一结果的决定因素。我们发现退出首次公开发行的由私募股权基金和风投背书的公司更有可能拥有更优越的备选方案，如并购或第二次上市。在存活分析中，我们发现大多数公司在退市后不久都会获得积极的上市后退出结果（并购或交易）。我们假设，退出IPO 的公司信息获取成本显著降低，使其成为私募股权和并购的目标。”

3. 16:00-17:00

主讲人Youwei Li 

题目When dark side falls: the impact of dark trading ban on market quality

摘要: MiFID II是否能够提高欧洲金融市场的市场质量是一个尚未解决的重要问题。利用MiFID II在欧洲股市引入的双倍限额（DVC）监管，我们发现，与那些免于停牌的股票相比，在暗池交易中经历强制停牌的股票流动性更加恶化。我们还发现暗池交易的限制往往会降低信息效率。我们的结果支持最近的理论，即暗池交易鼓励暗池间的订单流竞争，低估了暗池交易对市场质量的重要性。

Abstracts

1.    Investigating the dynamics between price volatility, price discovery and criminality in cryptocurrency markets.

This paper identifies several stylised facts relating to the volatility and price discovery process from eight cryptocurrencies utilising an empirical analysis of intra-day trading data to uncover four main results. First, cryptocurrencies exhibit weekend-volatility effects while intra-day volatility is found to be influenced by international trading times, periods of substantial volatility in the markets for oil, and GBP/USD and cybercrime events. Secondly, a thorough investigation of recent cybercriminality identifies that cryptocurrency hacks are found to increase both the volatility of the currency hacked and the correlations across the hacked currency and other cryptocurrencies. Thirdly, hacks significantly reduce price discovery sourced within the hacked currency relative to other cryptocurrencies. Finally, there are abnormal returns associated with the hacks observed in the hours prior to the actual hacking event, which reverts to zero at the time of the public announcement of the hack.

2. Sell or Die: What happens to firms after they withdraw from their IPO?

“What happens to companies that file for an IPO, but withdraw and do not list? This question is investigated by examining a very large sample of common stock IPOs for the main IPO markets in Europe covering 80% of the Western European IPO market over the 2001-2015 period. We analyze regulatory, economic, and market conditions as well as offer, firm, and corporate governance characteristics at the time of the IPO filing to derive determinants of post-IPO withdrawal outcomes. We find that PE and VC backed companies that withdraw from the IPO are more likely to have a superior alternative such as M&A or a second time IPO listing. In a survival analysis we show that the majority of companies experience a positive post-IPO withdrawal outcome (M&A or trading) shortly after an IPO withdrawal. We hypothesis that the information acquisition costs are significantly lowered for the withdrawn IPO company making it a target for private equity and M&A.”

3.    When dark side falls: the impact of dark trading ban on market quality

Whether MiFID II managed to improve market quality in European financial markets is an important question that remains unanswered. Using the double volume cap (DVC) regulation introduced under MiFID II in the European equity market, we show that stocks experiencing an enforced trading suspension in the dark pools suffer a deterioration in liquidity compared to those exempted from the trading halt. We also find that the limitation of trading in dark pools tends to reduce informational efficiency. Our results support recent theory arguing that dark venues encourage inter-venue order flow competition, underscoring the significance of dark trading for market quality.