12月7日新金融发展系列论坛第十三期,马锋副教授:Oil Shocks and Stock Market Volatility: A Comprehensive Perspective

发布时间:2022-12-06浏览次数:75


报告题目Oil Shocks and Stock Market Volatility: A Comprehensive Perspective

报告人:马锋副教授、博士生导师

单位西南交通大学经济管理学院

时间12710:00-12:00

腾讯会议899-104-303

主持人王新宇教授



报告摘要:This paper investigates the predictability of oil shocks for stock market volatility from a comprehensive perspective. Our empirical analysis shows that multiple oil shock measures contain valuable information for predicting stock market volatility, in addition to traditional economic variables and uncertainty indices. Moreover, the least absolute shrinkage and selection operator (LASSO) method and regime-switching model jointly deliver incremental improvement in forecasting accuracy from both statistical and economic perspectives. These results are confirmed by robustness checks under different business cycles and market conditions, including the COVID-19 pandemic.



报告人简介马锋,西南交通大学经济管理学院副教授,博导。现为金融预测团队负责人,Energy Economics 副主编(Q1ABS3),Finance Research Letter副主编(FINANCE, 1/111, Q1ABS2),China Finance Review International期刊青年编委。201912月入选四川省“人才计划”,20206月入选学校“雏鹰计划”。20213月,入选第十三批四川省学术和技术带头人后备人选。现主持国家自然科学基金面上、青年及教育部人文社科项目各一项,参与国家级课题多项。2020-2021年,连续两年入选“爱思唯尔”中国高被引学者(2020,应用经济学方向;2021,理论经济学方向) 。目前,已有多篇论文入选ECONOMICS & BUSINESS(经济与商学)ESI高被引论文。现发表学术期刊百余篇,主要研究工作发表在Journal of Banking & FinanceJournal of Empirical FinanceInternational Journal of ForecastingThe European Journal of FinanceJournal of International Financial Markets, Institutions & MoneyJournal of ForecastingQuantitative FinanceEnergy EconomicsInternational Review of Financial AnalysisPacific-basin Finance JournalEconomic ModellingJournal of Futures MarketsEmpirical EconomicsStudies in Nonlinear Dynamics & Econometrics、《管理科学学报》及《系统工程理论与实践》等期刊。


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