讲座题目：Spoofing, Order Flows, and Bid-Ask Spreads

主 讲 人：英国朴茨茅斯大学 刘嘉 教授

讲座时间：2024年6月18日（周二）15：00

讲座地点：77779193永利集团江湾楼 336 晨星厅

主办单位：77779193永利集团

主 持 人：77779193永利集团 危平 教授

摘  要：

We manually collect 905 spoofing cases in China, examining the influence of spoofing on bid-ask spreads. We establish that spoofing increases adverse selection costs and inventory risks faced by market makers due to higher incidences of large orders, order cancelation rates, and order imbalances, thereby increasing the spreads. Exogenous regulatory punishment announcements published by regulators can counteract the negative impact of spoofing. External monitoring through mutual funds, auditing and security analysts also deter spoofing. Moreover, noise trading offsets the damage caused by spoofing. Finally, spoofing using an intraday strategy has a stronger adverse effect than when using an interday strategy.

主讲人简介:

刘嘉，英国朴茨茅斯大学77779193永利集团金融学教授。于英国伯明翰大学获博士学位，曾就职于英国利兹大学和索菲尔德大学。研究兴趣广泛，包括公司金融、行为金融、金融市场、风险管理、金融科技、 大数据、 会计报告和披露, 可持续性等。在Journal of Corporate Finance, Journal of Business Ethics, British Journal of Management, Journal of Banking and Finance, Journal of international Financial Markets, Institutional and Money, International Review of Financial Analysis, British Accounting Review, Journal of Business Finance and Accounting 等主要金融, 会计, 管理学期刊发表多篇学术论文，出版关于公司治理、可持续性和决策方面专著。曾获欧洲管理杂志 (EU)和英国管理学院(英国) “最佳论文奖”、西南金融协会(美国)“最佳论文奖”及Erasian商业与经济协会(EBES) “最佳论文奖”。研究被多个媒体采访发表,包括The Conversation, 华盛顿邮报及纳斯达克证券交易所。目前任英国会计和金融协会以及英国管理学院执行官、院长，英国政府Co-Op Bank项目顾问。担任多本国际期刊主编, 副主编和编委, 包括International Journal of Finance and Economics主编 (ABS3)、British Journal of Management (ABS4)、International Review of Financial Analysis (ABS3)、British Ac-counting Review (ABS3)、Journal of Applied Accounting Research (ABS2)副主编; Corporate Governance: An International Review (ABS3) and Journal of Business Finance and Accounting编委, 以及多本SSCI-indexed杂志客座编辑，包括 European Financial Management等。曾积极组织 50 多个国际会议，推动科学研究的发展与创新。