Weekly Departmental Seminar- Environmental Economics and Management
Speaker: Doron Kliger
Affiliation: University of Haifa
Bio: Doron Kliger is a Faculty Member at the Department of Economics, the University of Haifa, Israel, specializing in Finance and Behavioral Economics. While at the US, he has been associated with the Wharton School of the University of Pennsylvania. He is the Chair of Graduate Studies at Economics Department; Head of the Specialization in Behavioral Economics (joint with the Technion) and the Specialization in Finance; and Academic Member of the Israel Association of Actuaries (ILAA).
Kliger is an Associate Editor at Journal of Economic Behavior and Organization (inter alia, co-edited a Special Issue on Empirical Behavioral Finance); Associate Editor at Journal of Economic Psychology, Associate Editor at Journal of Behavioral and Experimental Economics (formerly Journal of Socio-Economics); and Editor at Review of Behavioral Economics. https://kliger.haifa.ac.il/index.php/8-general/1-short-curriculum-vitae
Subject: Traffic Jams and Traders’ Behaviour
Abstract: We study the role of stress induced by time constraints on investor decision making in real financial markets. We use unexpected traffic congestion as a stress trigger. Our dependent variable is the slope of the implied volatility function (IVF) of options on Russian Trading System Index (RTSI) futures at the left-hand side of the volatility smile (cf. Bollen and Whaley, 2004). Controlling for relevant factors, we find that this slope at the opening of the main trading session is higher subsequent to morning traffic jams, suggesting that investors under stress assign higher weights to extreme loss scenarios.
The online meeting will be held on Sunday, October 31th , 2021. 13:15-14:30
Join Zoom Meeting: https://huji.zoom.us/j/83576431656?pwd=SURHSCtTdkVuRUFlT2hZMnpvVUJqUT09
(ID: 83576431656, passcode: 9Rn61cH6)