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Department of Finance

Home > Faculty > Browse by School/Department > Department of Finance > Sun Bianxia


Sun Bianxia





Dec 2013 – present, SUSTC, Assistant Professor

Jul 2011 – Nov 2013, Shanghai Futures Exchange, Postdoctoral Research Fellow



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


Research Interest

Market Microstructure, Financial Econometric, Risk Management, Commodities and Macroeconomics



[1] National Natural Science Fund of China, “Liquidity Measures of Limit Order Book and Their Predictive Powers on Market Volatilities”, RMB 170,000, PI, 2017-2019.

[2] Research Fund of SUSTC, “Studies on the Abnormal Volatilities of Shanghai, Shenzhen, and Hong Kong Stock Markets”, RMB 300,000, PI, 2015.

[3] China Postdoctoral Science Fund (first-class) “Study on the Risk Transmission Mechanism between Stock and Futures Markets under the Financialization Process of Commodities”, RMB 80,000, PI, 2013.

[4] National Natural Science Fund of China, “Volatility Models based on Price Range”, RMB 550,000, co-investigator, 2013-2016.


Recent Papers

1.Yusaku Nishimura and Bianxia Sun*. China's Exchange-rate Regime Reform and the China-Eurozone Trades. (R&R)
2.Zesheng Sun and Bianxia Sun*. The Impact of Monetary Supply on Chinese Nonferrous Metal Price Movements. (R&R)
3.Yang Gao and Bianxia Sun*. Impacts of introducing index futures on stock market volatilities: New evidences from China. (under review)
4.Bianxia Sun* and Yang Gao. Market Liquidity and Macro Announcement around Intraday Jumps: Evidence from China (under review)
5.Weiyi Liu, Bianxia Sun and Mingjin Wang* (2016). Volatility forecasting based on daily frequency prices. Journal of Management Sciences in China 19(1), 60-71.
6.Yusaku Nishimura and Bianxia Sun* (2015). Intraday Volatility and Volume in China’s Stock Index and Index Futures Markets. Asia-Pacific Journal of Financial Studies 44(6), 932-955. 
7.Yusaku Nishimura* and Bianxia Sun (2015). Intraday Information Transmission between Chinese and Japanese Stock Markets: The Channel of China-Related Stocks. The Journal of World Economy 8, 150-167. 
8.Yusaku Nishimura* and Bianxia Sun (2014). Intraday Risk Contagion among Stock Markets under the Global Stock Market Panic: Evidence from European Sovereign Debt Crisis. Journal of Industrial Engineering and Engineering Management 28(4), 28-36. 
9.Zesheng Sun*, Bianxia Sun and Sharon X. Lin (2013). The Impact of Monetary Liquidity on Chinese Aluminum Prices. Resources Policy 38(4), 512-522. 
10.Bianxia Sun and Mingjin Wang* (2013). A New Class GARCH Model based on Price Range. Applications of Statistics and Management 32(2), 259-267. 
11.Bianxia Sun* and Yusaku Nishimura (2012). Intraday Dynamic Characteristics of CSI 300 Index Futures. Shanghai Finance 12, 80-83. 
12.Yusaku Nishimura*, Bianxia Sun and Ming Men (2012). Financial Crisis and Volatility Jumps: A Comparative Analysis Based on High- Frequency Data among Mainland China,Hong Kong and the US Stock Markets. Journal of Industrial Engineering and Engineering Management 26(1), 106-112. 


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