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:12月7日10:00-12:00
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(Q1,ABS3),Finance Research Letter副主编(FINANCE, 1/111, Q1,ABS2),China Finance Review International期刊青年编委。2019年12月入选四川省“人才计划”,2020年6月入选学校“雏鹰计划”。2021年3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 & Finance、Journal of Empirical Finance、International Journal of Forecasting、The European Journal of Finance、Journal of International Financial Markets, Institutions & Money、Journal of Forecasting、Quantitative Finance、Energy Economics、International Review of Financial Analysis、Pacific-basin Finance Journal、Economic Modelling、Journal of Futures Markets、Empirical Economics、Studies in Nonlinear Dynamics & Econometrics、《管理科学学报》及《系统工程理论与实践》等期刊。