时 间：2019年3月8日(周五)上午10:00-11:00
地 点：中北校区理科大楼A1716报告厅
题 目：Information Heterogeneity in the Morning and the Afternoon Cumulative Intra-day Returns of SSE 50 Index
报告人：Mei-Yuan Chen 教授 Department of Finance National Chung Hsing University
摘 要：
The information contained in the intra-day prices of financial assets is getting more and more emphasized in finance and big data analysis science. The daily 4-hour trading time of Shanghai stock market in China is separated into morning trading from 09:30 to 11:30 and afternoon trading 13:00 to 15:00. Financial data often take the form of a collection of curves observed sequentially over time. An example of which includes intra-day stock price curves and intra-day volatility curves. These curves can be viewed as a time series of functions observed at an equally spaced and dense grid. The nature of high-dimensional data poses challenges from a statistical aspect due to the so-called curse of dimensionality, but it also poses opportunities to analyse a rich source of information for better understanding dynamic changes at a short time interval. In this paper, we study the whole-day 1-minute cumulative intra-day returns (CIDR) should be considered as a function or two functions of the morning and the afternoon trading time. This is an indirect evidence of the information heterogeneity in SSE 50 if two functions should be considered. To have robust results, the stationarity of CIDRs is checked for the whole-day, morning, and afternoon trading time with the test suggested by Horv´ath, et al. (2014) first. Given the confirmation of stationarity for CIDRs of three trading time, we detect the equality of functional distributions of the morning and afternoon CIDRs with the test suggested by Pomann, et al. (2015). Our empirical results suggest that the CIDRs of SSE 50 should be considered as two functions since the equality of functional distributions is rejected statistically. We conclude that there exists the information heterogeneity between the morning and the afternoon trading time of SSE 50.