“学术午餐会”是创新发展学院面向青年教师搭建的学术交流平台，旨在促进学术交流、激发科研灵感、碰撞思想火花、拓展学术朋友圈。每次午餐会由一位主讲嘉宾分享相关研究的选题过程、领域概况、研究方法和创新性结论等。在汇报分享过程中，主讲嘉宾和与会师生可同时享用学院提供的美味午餐，并展开深度交流。

本期“学术午餐会”由创新发展学院中国经济与管理研究院2022级博士研究生马高平担任主讲嘉宾。

嘉宾介绍

马高平，中央财经大学创新发展学院中国经济与管理研究院2022级博士研究生。主要研究方向为实证资产定价，商品市场，行为金融等。

分享主题

Noise or Fundamentals? The Predictive Role of News and Social Media in the Crude Oil Market

摘要

This study examines the impact of traditional news and social media platforms on the crude oil market. We discover that news media predicts crude oil returns without subsequent reversals, suggesting that news media provide information not already reflected in crude oil price. In contrast, the predictive power of social media exhibits significant reversals yet retains a positive long-term impact, indicating its influence stems from a mix of fundamental information and noise with fundamentals playing a dominant role. Further, we explore what fundamental information are contained in news media and social media. We show that news and social media can forecast announcements related to crude oil inventories changes. We also demonstrate that the information from news and social media does not entirely overlap. One possible reason for the different information content of social media and news media is that they reflect the views of different types of investors. Our study provides important implications for regulators to enhance their monitoring of misinformation on social media and for market participants to understand the informational elements of news and social media platforms.

时间

2024年5月24日（星期五）12:00-13:30

地点

学术会堂712

活动对象

创新发展学院教师

报名方式

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