孙便霞
孙便霞
教学讲师
教师简介:

个人主页

http://faculty.sustech.edu.cn/sunbx/


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

2017.1-至今,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 PanicEvidence 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.

获奖经历:

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