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

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

1.  “Trump Tweets’ Sentiment, Stock Market Volatility and Jumps”, with Yusaku Nishimura and Xuyi Dong. Journal of Financial Research, 2021, accepted.

2.   “Hedging stock market risks: Can gold really beat bonds? ”, with Rufei Ma, Pengxiang Zhai and Yi Jin, Finance Research Letters, 2020, accepted.

3.   “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.

4.   “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.

5.   “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.

6.   “China’s Exchange-rate Regime Reform and the China-Eurozone Trades”, with Yusaku Nishimura, Emerging Markets Finance and Trade, 2018, Vol 54, 450-467.

7.    “Impact of Monetary Supply on Chinese Nonferrous Metal Price Movement”, with Zesheng Sun, Asian Economic Journal, 2017, Vol 31, 17-37.

8.    “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.

9.    “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.

10.   “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.

11.  “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.

12.  “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.

13.  “The Impact of Monetary Liquidity on Chinese Aluminum Prices”, with Zesheng Sun and Sharon X. Lin, Resources Policy, 2013, Vol 38, 512-522.

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