师资

孙便霞
教学副教授
+755-88018601
sunbx@sustech.edu.cn

教育背景
♦ 2004.9-2011.1,北京大学光华管理学院商务统计与经济计量系,经济学博士
♦ 1998.9-2002.7,大连理工大学电气工程系,工学学士

工作经历
♦ 2020.5-至今,南方科技大学金融系,教学副教授
♦ 2017.1-2020.4,南方科技大学金融系,讲师
♦ 2013.12-2016.12,南方科技大学金融系,访问助理教授
♦ 2011.7-2013.11,上海期货交易所,博士后

研究领域
市场微观结构;金融计量;风险管理;大宗商品与宏观经济

研究项目
1.         广东省高等教育教学改革项目“新兴技术冲击下的金融创新人才培养研究与实践”,金额8万元,主持,2018-2019。
2.         国家自然科学基金青年项目“基于高频限价指令簿的流动性度量及对市场波动影响机制研究”,金额17万元,主持,2017-2019。
3.         南方科技大学基础研究基金项目“沪深港金融市场日内价格异常波动研究”,金额30万元,主持,2015。
4.         国家博士后科学基金面上项目一等资助“商品金融化进程下我国证券和期货市场风险传导研究”,金额8万元,主持,2013。
5.         国家自然科学基金面上项目“基于价格极差的波动率模型”,金额55万元,主研,2013-2016。

 

代表文章:
1.         “The Intraday Volatility Spillover Index Approach and an Application in the Brexit Vote”, with Yusaku Nishimura, Journal of International Financial Markets, Institutions & Money, 2018, accepted. (https://doi.org/10.1016/j.intfin.2018.01.004)
2.         “Impacts of Introducing Index Futures on Stock Market Volatilities: New Evidences from China”, with Yang Gao, Review of Pacific Basin Financial Markets and Policies, 2018, accepted.
3.         “China's Exchange-rate Regime Reform and the China-Eurozone Trades”, with Yusaku Nishimura, Emerging Markets Finance and Trade, 2018, Vol 54, 450-467.
4.         “Impact of Monetary Supply on Chinese Nonferrous Metal Price Movement”, with Zesheng Sun, Asian Economic Journal, 2017, Vol 31, 17-37.
5.         “Volatility Forecasting based on Daily Frequency Prices”, with Weiyi Liu and Mingjin Wang, Journal of Management Sciences in China (管理科学学报), 2016, Vol 19, 60-71.
6.         “Intraday Volatility and Volume in China’s Stock Index and Index Futures Markets”, with Yusaku Nishimura, Asia-Pacific Journal of Financial Studies, 2015, Vol 44, 932-955.
7.         “Intraday Information Transmission between Chinese and Japanese Stock Markets: The Channel of China-Related Stocks”, with Yusaku Nishimura, The Journal of World Economy (世界经济), 2015, No. 8, 150-167.
8.         “Intraday Risk Contagion among Stock Markets under the Global Stock Market Panic:Evidence from European Sovereign Debt Crisis”, with Yusaku Nishimura, Journal of Industrial Engineering and Engineering Management (管理工程学报), 2014, No. 4, 28-36.
9.         “A New Class GARCH Model based on Price Range”, with Mingjin Wang, Journal of Applied Statistics and Management (数理统计与管理), 2013, Vol 32, 259-267.
10.     “The Impact of Monetary Liquidity on Chinese Aluminum Prices”, with Zesheng Sun, Resources Policy, 2013, Vol 38, 512-522.

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