Informative Salient Signal Loss and Stock Return Volatility

报告题目：Informative Salient Signal Loss and Stock Return Volatility

报  告  人：加拿大University of Windsor 安云碧 教授

主办单位：金融系

报告时间：2026年5月19日 14:30-16:30

报告地点：东北大学浑南校区文管学馆B545

报告摘要：

We investigate how the loss of informative salient signals in financial markets influences stock return volatility, using the 2024 intraday disclosure reform of the mainland China-Hong Kong Stock Connect program as a natural experiment. The reform eliminated the real-time disclosure of northbound capital (NC) flows on trading platforms, rendering NC trading information invisible to Chinese investors during market hours. We find that the removal of NC signals induces increased investor belief dispersion and intensifies informed trading, thereby amplifying intraday volatility in NC-eligible stocks. Moreover, this effect is more pronounced for stocks with higher investor attention, indicating that attentive investors suffer stronger anchor loss when NC signals disappear. In contrast, lottery-type stocks and stocks with alternative NC trading clues exhibit weaker volatility responses, since the presence of strong alternative signals reduces the effect of NC signal loss. These findings highlight the informational role of insightful salient signals in stabilizing stock returns.

报告人简介：

安云碧，加拿大皇后大学（Queen's University）金融学博士，加拿大温莎大学Odette商学院金融学教授、金融系主任。主要从事公司财务金融、资产组合选择、期权定价、风险管理等领域的研究。在Journal of Corporate Finance、Financial Management、Journal of Banking and Finance、Small Business Economics、Journal of Business Finance and Accounting、Journal of Futures Markets等期刊发表论文五十余篇，相关成果得到了国内外金融理论与实务界的广泛承认。多次受邀参加EFMA、EFA、MFA、NFA等举办的金融学年会，并担任多个国际权威期刊审稿专家。

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