赵阳

副教授，副院长

Tel: 010-6228 8392

Email: yangzhao@cufe.edu.cn

Office: Academy Hall 809 (学术会堂809）

Homepage: https://sites.google.com/site/yangzhaoshomepage/

Last updated: March 24, 2023

 赵阳，现任彩乐仑彩票副院长，副教授，硕士生导师。英国格拉斯哥大学亚当斯密商学院数量金融学博士，主要研究领域包括：风险管理，量化投资，金融科技等。已在Journal of Corporate Finance，Journal of Empirical Finance，International Journal of Forecasting，Journal of Futures Markets，《财贸经济》等国内外主流学术期刊发表论文30余篇，论文获得《人大复印资料》和《中国社会科学文摘》转载。多项研究被AEA，FMA，RES，IFABS等国际会议接收并获奖。目前兼任国际知名SSCI期刊Journal of Forecasting副主编和Economic Modelling客座主编。近年来先后主持1项国家自然科学基金青年项目，并参与了多项国家社科基金重大项目、国家自然科学基金面上项目、彩乐仑彩票青年科研创新团队计划，以及上交所联合计划国际系列专项课题。主讲过的课程包括大数据分析与金融实证（英文授课），经济学原理（英文授课），金融学原理（英文授课），金融衍生工具（英文授课）以及金融计量经济学（英文授课）等。曾多次受邀参加商务部主办的海外培训班援外教学，为发展中国家政府和央行官员主讲金融科技和大数据分析等课程。

[1] Cerrato, Mario, John Crosby, Minjoo Kim*, and Yang Zhao (2017). Relation between higher order comoments and dependence structure of equity portfolio. Journal of Empirical Finance, 40, 101-120. (SSCI, ABS 3)

[2] Cerrato, Mario, John Crosby, Minjoo Kim, and Yang Zhao* (2017). The joint credit risk of UK global‐systemically important banks. Journal of Futures Markets, 37(10), 964-988. (SSCI, ABS 3)

[3] Zhao, Yang, Charalampos Stasinakis*, Georgios Sermpinis, and Yukun Shi (2018). Neural network copula portfolio optimization for exchange traded funds. Quantitative Finance, 18(5), 761-775. (SSCI, ABS 3)

[4] Kutan, Ali M., Yukun Shi, Mingzhe Wei, and Yang Zhao* (2018). Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. International Review of Economics & Finance, 57, 183-197. (SSCI, ABS 2)

[5] Zhao, Yang, Charalampos Stasinakis*, Georgios Sermpinis, and Filipa Da Silva Fernandes (2019). Revisiting Fama-French factors’ predictability with Bayesian modelling and copula-based portfolio optimization. International Journal of Finance & Economics, 24(4), 1443-1463. (SSCI, ABS 3)

[6] Shi, Yukun, Hao Zhang*, Yaofei Xu, and Yang Zhao (2019). The term structure of option-implied volatility and future realized volatility. Emerging Markets Finance and Trade, 55(13), 2997-3022. (SSCI, ABS 2)

[7] Xu, Liao*, Han Gao, Yukun Shi, and Yang Zhao (2020). The heterogeneous volume-volatility relations in the exchange-traded fund markets: Evidence from China. Economic Modelling, 85, 400-408. (SSCI, ABS 2)

[8] Xu, Liao, Lu Xu, Jing Zhao, and Yang Zhao* (2020). Information-based trading and information propagation: Evidence from the exchange traded fund market. International Review of Financial Analysis, 70, 101495. (SSCI, ABS 3)

[9] Chen, Jilong, Liao Xu*, and Yang Zhao (2020). Do ETF flows increase market efficiency? Evidence from China. Accounting & Finance, 60(5), 4795-4819. (SSCI, ABS 2)

[10] Roh, Tai-Yong, Alireza Tourani-Rad, Yahua Xu*, and Yang Zhao (2021). Volatility-of-volatility risk in the crude oil market. Journal of Futures Markets, 41(2), 245-265. (SSCI, ABS 3)

[11] Kim, Minjoo, Junhong Yang, Pengcheng Song, and Yang Zhao* (2021). The dependence structure between equity and foreign exchange rates and tail risk forecasts of foreign investments, Quantitative Finance, 21(5), 815-835. (SSCI, ABS 3)

[12] Zhang, Xuan, Ding Liu, Yang Zhao, and Zhekai Zhang* (2021). Financial derivatives and default dependence: a time-varying copula approach. Applied Economics Letters, 28(1), 958-963. (SSCI, ABS 1)

[13] Fang, Yi, Zhongbo Jing, Yukun Shi, and Yang Zhao* (2021). Financial spillovers and spillbacks: New evidence from China and G7 countries. Economic Modelling, 94, 184-200. (SSCI, ABS 2)

[14] Yao, Xiao*, Xuan Zhang, and Yang Zhao (2022). Forecasting corporate default risk in China. International Journal of Forecasting, 38(3), 1054-1070. (ABS 3*, SSCI). (SSCI, ABS 3)

[15] Pang, Yang, Yukun Shi*, Shimeng Shi, and Yang Zhao (2022). A nonlinear dynamic approach to cash flow forecasting, Review of Quantitative Finance and Accounting, 59, 205-237. (ABS 3, JCR Q2)

[16] Li, Hao, Xuan Zhang*, and Yang Zhao (2022). ESG and firm's default risk, Finance Research Letters, 47, 102713. (SSCI, ABS 2)

[17] Ouyang, Ruolan, Xiang Chen, Yi Fang, and Yang Zhao* (2022). Systemic risk of commodity markets: A dynamic factor copula approach, International Review of Financial Analysis, 82, 102204. (SSCI, ABS 2)

[18] He, Zhongda, Biao Guo*, Yukun Shi, and Yang Zhao (2022). Natural disasters and CSR: Evidence from China, Pacific-Basin Finance Journal, 73, 101777. (SSCI, ABS 2)

[19] Long, Zhenzhen and Yang Zhao* (2022). The risk spillover effect of COVID-19 breaking news on the stock market, Emerging Markets Finance and Trade, forthcoming. (SSCI, ABS 2)

[20] Li, Danyang, Yukun Shi, Liao Xu, Yahua Xu, and Yang Zhao* (2022). Dynamic asymmetric dependence and portfolio management in cryptocurrency markets, Finance Research Letters, 48, 102829. (SSCI, ABS 2)

[21] Zhang, Xuan, Yongmin Zhang, Eric Scheffel, and Yang Zhao* (2022). A key driver for the mixed relationship between loan risk premiums and collateral: Evidence from China, International Review of Financial Analysis, 83, 102206. (SSCI, ABS 2)

[22] Wen, Zhuzhu, Elie Bouri, Yahua Xu*, and Yang Zhao (2022). Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both, The North American Journal of Economics and Finance, 62, 101733. (SSCI, ABS 2)

[23] Li, Donghui, Lu Xing*, and Yang Zhao. (2022). Does extended auditor disclosure deter managerial bad-news hoarding? Evidence from crash risk, Journal of Corporate Finance, 76, 102256. (SSCI, ABS 4)

[24] He, Zhongda, Sandy Suardi, Kai Wang*, and Yang Zhao. (2022). Firms’ COVID-19 pandemic exposure and corporate cash policy: Evidence from China. Economic Modelling, 16, 105999. (SSCI, ABS 2)

[25] Fang, Yi, Zhiquan Shao, and Yang Zhao* (2023). Risk spillovers in global financial markets: Evidence from the COVID-19 crisis, International Review of Economics & Finance, 83, 821-840. (SSCI, ABS 2)

[26] Xu, Liao, Mingqi Xue, Xuan Zhang*, and Yang Zhao (2023). Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic, International Review of Financial Analysis, 87, 102608.

[27] Jing, Zhongbo, Shiyu Lu, Yang Zhao, and Jun Zhou* (2023). Economic policy uncertainty, corporate investment decisions and stock price crash risk: Evidence from China, Accounting & Finance, forthcoming. (SSCI, ABS 3)

[1] 方意, 贾妍妍, 赵阳. “重大冲击下全球外汇市场风险的生成机理研究”，《财贸经济》，2021年第42卷第5期.（《人大复印资料》和《中国社会科学文摘》全文转载）

[2] 赵阳，张旋，余小宁.“系统性金融风险与股票市场预测：来自中国的证据”，《债务违约风险管理问题研究》，中国金融出版社，2019.

[3] 杨晟，赵阳，姚潇.“基于深度强化学习算法的股指期货交易系统与实证”, 《量化实证分析在金融风险管理中的应用》，中国金融出版社，2021.

[1] Environmental challenges and sustainable economic development in the People’s Republic of China: The role of renewable energy across provinces, with S. Paramati and Y. Shi, ADBI Working Paper 1050. Tokyo: Asian Development Bank Institute.

[1] Corporate social responsibility and firm survival, with F. Fernandes, C. Stasinakis and G. Sermpinis.

[2] Does multivariate crash risk matter in the Chinese stock market? with D. Li, L. Han, and T. Qiao.

[3] Modeling the interrelationship between insurers and other financial institutions, with X. Zhang, C. Yan and M. Kim.

[4] Are passive ETFs informationally active? Evidence from the primary market, with L. Xu, X. Zhang and J. Zhao.

[5] Does capital account liberalization spur growth? New tests using the two-step 2SLS instrumental variable approach, with Q. Gou, Y. Peng and J. Yang.

[6] Systemic risk spillovers in the COVID-19 pandemic, with Y. Fang, and Z. Shao.

[7] Policy uncertainty and bank systemic risk: A perspective of risk decomposition, with Y. Fang, Y. Wang, and Q. Wang.

[1] Systemic risk measurement and stock market predictability: Evidence from China, with L. Xu, Y. Xu and X. Zhang.

[2] Institutional bidding and IPO auctions, with J. Cao, M. Kim and Y. Shi.

[3] Capital requirements for the insurance companies, with X. Zhang and L. Xu.

[4] Family Involvement and Firm ESG Performance: Evidence from Chinese Family Firms, with W. Zhai.

[5] Institutional bidding and IPO auctions

[6] Capital requirements for the UK insurance firms

[1] 2019年-2021年，国家自然科学基金青年项目，《基于GAS模型的系统性金融风险测度及其在宏观经济预测中的应用研究》，主持人

[2] 2020年-2023年，国家自然科学基金面上项目，《金融周期视角下中国银行业系统性风险防范与化解》，参与人

[3] 2022年-2025年，国家自然科学基金面上项目，《金融文本大数据与银行业系统性风险：指标构建、应用与评估整合》，参与人

[4] 2020年-2025年，国家社科基金重大项目，《负利率时代金融系统风险的识别与防范研究》，子课题参与人

[5] 2019年-2022年，彩乐仑彩票青年科研创新团队项目，《中国金融部门系统性风险与金融稳定政策》，参与人

[6] 2020年-2021年，2020年上证联合研究计划国际系列专项课题，《境外资金对A股市场影响分析》，参与人

[7] 2017年-2018年，HEFCE Newton Fund Official Development Assistance Allocation，参与人

International Review of Financial Analysis, Quantitative Finance, Annals of Operational Research, Energy Economics, International Journal of Finance & Economics, Accounting and Finance, Pacific-Basin Finance Journal, Finance Research Letters, North American Journal of Economics and Finance, Emerging Markets Finance and Trade, Journal of Forecasting, Journal of Commodity Markets

Last updated: March24, 2023