教学副教授 金融系
孙便霞博士2011年1月毕业于北京大学光华管理学院统计学专业,并获经济学博士学位;之后在上海期货交易所从事博士后研究工作,并于2013年12月加入南方科技大学。孙博士的研究领域主要为市场微观结构及金融计量,目前她主讲的课程有计量经济学、金融时间序列分析、宏观经济学和货币银行学。
个人简介
个人简介
研究领域
市场微观结构,金融计量,风险传染
教学
计量经济学,金融时间序列分析,宏观经济学,货币银行学
学术成果 查看更多
- “President’s Tweets, US-China Economic Conflict and Stock Market Volatility: Evidence from China and G5 Countries”, with Yusaku Nishimura. North American Journal of Economics and Finance, 2021, accepted.
- “Trump’s tweets: Sentiment, stock market volatility, and jumps”, with Yusaku Nishimura and Xuyi Dong. Journal of Financial Research, 2021, Vol 44, 497–512.
- “Hedging stock market risks: Can gold really beat bonds? ”, with Rufei Ma, Pengxiang Zhai and Yi Jin, Finance Research Letters, 2021, Vol 42, 101918.
- “Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets”, with Yang Gao, Physica A: Statistical Mechanics and its Applications, 2020, Vol 541, 123308.
- “The Intraday Volatility Spillover Index Approach and an Application in the Brexit Vote”, with Yusaku Nishimura, Journal of International Financial Markets, Institutions & Money, 2018, Vol 55, 241-253.
- “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, Vol 21, 1850024.
- “China’s Exchange-rate Regime Reform and the China-Eurozone Trades”, with Yusaku Nishimura, Emerging Markets Finance and Trade, 2018, Vol 54, 450-467.
- “Impact of Monetary Supply on Chinese Nonferrous Metal Price Movement”, with Zesheng Sun, Asian Economic Journal, 2017, Vol 31, 17-37.
- “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.
- “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.
- “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.
- “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.
- “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.
- “The Impact of Monetary Liquidity on Chinese Aluminum Prices”, with Zesheng Sun and Sharon X. Lin, Resources Policy, 2013, Vol 38, 512-522.