Bianxia Sun
Associate Professor(Teaching)
Homepage: https://faculty.sustech.edu.cn/sunbx/en/
Education
- Sep 2004--Jan 2011 Peking University Guanghua School of Management Department of Business Statistics and Econometrics PhD in Economics
- Sep 1998--Jul 2002 Dalian University of Technology Department of Electrical Engineering Bachelor of Engineering
Work Experience
- May 2020--present SUSTech Department of Finance Associate Professor (Teaching)
- Jan 2017--Apr 2020 SUSTech Department of Finance Lecturer
- Dec 2013--Dec 2016 SUSTech Department of Finance Visiting Assistant Professor
- Jul 2011--Nov 2013 Shanghai Futures Exchange Postdoctoral Research Fellow
Research Interest
- Market Microstructure Financial Econometrics Risk Management Commodities and Macroeconomics
Grants
- The Teaching Reform Project of Higher Education in Guangdong Province “Research and Practice on the Training of Financial Innovation Talents under the Impact of New Technology” RMB 80000 PI 2018-2019.
- The Teaching Reform Project of Higher Education in Guangdong Province “Research and Practice on the Training of Financial Innovation Talents under the Impact of New Technology” RMB 80000 PI 2018-2019.
- Research Fund of SUSTC “Studies on the Abnormal Volatilities of Shanghai Shenzhen and Hong Kong Stock Markets” RMB 300000 PI 2015.
- China Postdoctoral Science Fund (first-class) “Study on the Risk Transmission Mechanism between Stock and Futures Markets under the Financialization Process of Commodities” RMB 80000 PI 2013.
- National Natural Science Fund of China “Volatility Models based on Price Range” RMB 550000 co-investigator 2013-2016.
Selected Papers
- “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.