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孙便霞

教学副教授

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。

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. “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.
  2. “Trump's tweets: Sentiment stock market volatility and jumps” with Yusaku Nishimura and Xuyi Dong. Journal of Financial Research 2021 Vol 44 497–512.
  3. “Hedging stock market risks: Can gold really beat bonds? ” with Rufei Ma Pengxiang Zhai and Yi Jin Finance Research Letters 2021 Vol 42 101918.
  4. “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.
  5. “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.
  6. “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.
  7. “China's Exchange-rate Regime Reform and the China-Eurozone Trades” with Yusaku Nishimura Emerging Markets Finance and Trade 2018 Vol 54 450-467.
  8. “Impact of Monetary Supply on Chinese Nonferrous metal Price Movement” with Zesheng Sun Asian Economic Journal 2017 Vol 31 17-37.
  9. “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.
  10. “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.
  11. “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.
  12. “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. 
  13. “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.
  14. “The Impact of Monetary Liquidity on Chinese Aluminum Prices” with Zesheng Sun and Sharon X. Lin Resources Policy 2013 Vol 38 512-522.