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December 3 at 4.40 pm - Research seminar by Per Ostberg (University of Zurich) «Correlations in Equity Markets: Trading, Liquidity, and Uncertainty»

Venue: Shabolovka st. 26, Room 3211

On Thursday, December 3 at 4.40 pm International College of Economics and Finance will hold the Research Seminar.
Speaker: Per Ostberg (University of Zurich) <Curriculum Vitae>
Theme: «Correlations in Equity Markets: Trading, Liquidity, and Uncertainty»
Venue: Shabolovka st. 26, Room 3211              

Abstract: We estimate equity market return correlations for a large cross-section of U.S. equities using high-frequency trade data. We relate our correlation estimates to motives for investor rebalancing. General proxies for rebalancing such as trading volume and negative returns (wealth effect) are associated with higher correlations. Additionally, liquidity pull-back as a result of tight interbank markets leads to an increase in equity market correlations. We find mixed evidence in favor of the effect of uncertainty on correlations. Overall, the paper finds strong evidence in favor of rebalancing motives explaining variation in correlations.

Everyone interested is welcome to attend!

See the web-page of the seminar < http://icef.hse.ru/en/announcements/167234991.html >
Pass can be ordered by:
tel. +7 (495) 772-95-90 ext. 26090
e-mail: vzheleznov@hse.ru
contact: Slava Zheleznov