报告题目：Spoofing, Order Flows, and Bid-Ask Spreads

报告所属学科：应用经济学

报告人：Jia Liu（University of Portsmouth）

报告时间：2024年1月3日 14:00-17:00

报告地点：经管学院702室

报告摘要：

We manually collect 271 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.

报告人简介：

刘嘉，英国朴茨茅斯大学商学院金融学教授。她在英国伯明翰大学获得博士学位，曾经就职于英国利兹大学和索菲尔德大学。她的研究兴趣广泛，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, 等等。她在Journal of Corporate Finance, Journal of Business Ethics, British Journal of Management, Journal of international Financial Markets, Institutional and Money, International Review of Financial Analysis, British Accounting Review, Journal of Business Finance and Accounting 等主要金融期刊发表多篇学术论文，并出版关于公司治理、可持续性和决策方面的专著。曾获欧洲管理杂志 (EU)和英国管理学院(英国)的“最佳论文奖”以及西南金融协会(美国)的“最佳论文奖”。她的研究被多个媒体采访和发表,包括著名的The Conversation, 华盛顿邮报, 以及纳斯达克证券交易所。

她目前是英国会计和金融协会以及英国管理学院执行官(executive)和院长(chair)，英国政府的Co-Op Bank项目顾问。同时，她还担任多本国际期刊的主编, 副主编, 和编委, 其中包括International Journal of Finance and Economics主编 (ABS 3); British Journal of Management (ABS 4)、International Review of Financial Analysis (ABS 3)、British Ac-counting Review (ABS 3)、Journal of Applied Accounting Research (ABS 2)副主编; Corporate Governance: An International Review (ABS 3) and Journal of Business Finance and Accounting 编委, 以及多本杂志的客座编辑，其中包括 European Financial Management on 金融科技与风险,和可持续性发展。她组织了 50 多个国际会议，积极推动科学研究的发展与创新。