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孫便霞
孫便霞
教學講師
教師簡介:

教育背景

? 2004.9-2011.1,北京大學光華管理學院商務統計與經濟計量系,經濟學博士

? 1998.9-2002.7,大連理工大學電氣工程系,工學學士

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工作經歷

? 2017.1-至今,南方科技大學金融系,講師

? 2013.12-2016.12,南方科技大學金融系,訪問助理教授

? 2011.7-2013.11,上海期貨交易所,博士后

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研究領域

市場微觀結構;金融計量;風險管理;大宗商品與宏觀經濟

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研究項目

1.???????? 廣東省高等教育教學改革項目“新興技術沖擊下的金融創新人才培養研究與實踐”,金額8萬元,主持,2018-2019。

2.???????? 國家自然科學基金青年項目“基于高頻限價指令簿的流動性度量及對市場波動影響機制研究”,金額17萬元,主持,2017-2019。

3.???????? 南方科技大學基礎研究基金項目“滬深港金融市場日內價格異常波動研究”,金額30萬元,主持,2015。

4.???????? 國家博士后科學基金面上項目一等資助“商品金融化進程下我國證券和期貨市場風險傳導研究”,金額8萬元,主持,2013。

5.???????? 國家自然科學基金面上項目“基于價格極差的波動率模型”,金額55萬元,主研,2013-2016。

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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 (管理科學學報), 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 (世界經濟), 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 (管理工程學報), 2014, No. 4, 28-36.

9.???????? “A New Class GARCH Model based on Price Range”, with Mingjin Wang, Journal of Applied Statistics and Management (數理統計與管理), 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.

獲獎經歷:

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