Dr Yukun Shi

  • Senior Lecturer in Accounting and Finance with Data Analytics (Accounting & Finance)

Biography

Yukun joined the Adam Smith Business School in April 2018 as a Senior Lecturer in Accounting and Finance with Data Analytics. Prior to coming to Glasgow, he taught at the University of Leicester and Middlesex University.  He holds a PhD in Finance from Durham University and is a CFA Charterholder.  Yukun is also an academic consultant in Moody’s Analytics.

Research interests

  • Asset Pricing
  • Corporate Finance
  • Energy and Environmental Economics and Finance
  • Quantitative Finance

Publications

List by: Type | Date

Jump to: 2020 | 2019 | 2018 | 2017 | 2016 | 2015
Number of items: 20.

2020

Zhao, N., Shi, Y. , Sun, Y. and Miao, J. (2020) Aggregate labor market fluctuations under news shocks. Economic Modelling, 90, pp. 397-405. (doi: 10.1016/j.econmod.2019.12.018)

Xu, L., Gao, H., Shi, Y. and Zhao, Y. (2020) The heterogeneous volume-volatility relations in the exchange-traded fund market: evidence from China. Economic Modelling, 85, pp. 400-408. (doi: 10.1016/j.econmod.2019.11.019)

Hu, H., Prokop, J., Shi, Y. and Trautwein, H.-M. (2020) The rating spillover from banks to sovereigns: an empirical investigation across the European Union. Journal of International Financial Markets, Institutions and Money, 64, 101161. (doi: 10.1016/j.intfin.2019.101161)

Guo, B., Shi, Y. and Xu, Y. (2020) Volatility information difference between CDS and option markets and the cross section of option returns. Quantitative Finance, (Accepted for Publication)

Shi, Y. , Paramati, S. R. and Ren, X. (2020) The growth of carbon markets in Asia: the potential challenges for future development. In: Huang, B. and Yu, E. (eds.) Ways to Achieve Green Asia. ADBI, pp. 125-152. ISBN 9784899742111

2019

Yan, D., Kong, Y., Ye, B., Shi, Y. and Zeng, X. (2019) Spatial variation of energy efficiency based on a Super-Slack-Based Measure: Evidence from 104 resource-based cities. Journal of Cleaner Production, 240, 117669. (doi: 10.1016/j.jclepro.2019.117669)

Yan, D., Kong, Y., Ren, X., Shi, Y. and Chiang, S. (2019) The determinants of urban sustainability in Chinese resource-based cities: A panel quantile regression approach. Science of the Total Environment, 686, pp. 1210-1219. (doi: 10.1016/j.scitotenv.2019.05.386)

Gao, H., Shen, Z., Li, Y., Mao, X. and Shi, Y. (2019) Institutional investors, real earnings management and cost of equity: Evidence from listed high-tech firms in China. Emerging Markets Finance and Trade, (doi: 10.1080/1540496x.2019.1650348)

Jia, Z., Shi, Y. , Yan, C. and Duygun, M. (2019) Bankruptcy prediction with financial systemic risk. European Journal of Finance, (doi: 10.1080/1351847X.2019.1656095) (Early Online Publication)

Shi, S. and Shi, Y. (2019) Bitcoin futures: trade it or ban it? European Journal of Finance, (doi: 10.1080/1351847X.2019.1647865) (Early Online Publication)

Ren, X., Lu, Z., Cheng, C., Shi, Y. and Shen, J. (2019) On dynamic linkages of the state natural gas markets in the USA: evidence from an empirical spatio-temporal network quantile analysis. Energy Economics, 80, pp. 234-252. (doi: 10.1016/j.eneco.2019.01.001)

Shi, Y. , Zhang, H., Xu, Y. and Zhao, Y. (2019) The term structure of option-implied volatility and future realized volatility. Emerging Markets Finance and Trade, 55(13), pp. 2997-3022. (doi: 10.1080/1540496X.2019.1612360)

2018

Cheng, C., Ren, X., Wang, Z. and Shi, Y. (2018) The impacts of non-fossil energy, economic growth, energy consumption, and oil price on carbon intensity: evidence from a panel quantile regression analysis of EU 28. Sustainability, 10(11), 4067. (doi: 10.3390/su10114067)

Kutan, A. M., Shi, Y. , Wei, M. and Zhao, Y. (2018) Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. International Review of Economics and Finance, 57, pp. 183-197. (doi: 10.1016/j.iref.2018.01.003)

Yan, D., Lei, Y., Shi, Y. , Zhu, Q., Li, L. and Zhang, Z. (2018) Evolution of the spatiotemporal pattern of PM2.5 concentrations in China – a case study from the Beijing-Tianjin-Hebei region. Atmospheric Environment, 183, pp. 225-233. (doi: 10.1016/j.atmosenv.2018.03.041)

Zhao, Y., Stasinakis, C. , Sermpinis, G. and Shi, Y. (2018) Neural network copula portfolio optimization for exchange traded funds. Quantitative Finance, 18(5), pp. 761-775. (doi: 10.1080/14697688.2017.1414505)

2017

Park, J. S. and Shi, Y. (2017) Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. International Review of Financial Analysis, 54, pp. 176-191. (doi: 10.1016/j.irfa.2016.12.001)

2016

Philip, D. and Shi, Y. (2016) Optimal hedging in carbon emission markets using Markov regime switching models. Journal of International Financial Markets, Institutions and Money, 43, pp. 1-15. (doi: 10.1016/j.intfin.2016.03.003)

2015

Philip, D. and Shi, Y. (2015) Impact of allowance submissions in European carbon emission markets. International Review of Financial Analysis, 40, pp. 27-37. (doi: 10.1016/j.irfa.2015.05.004)

Chau, F., Kuo, J.-M. and Shi, Y. (2015) Arbitrage opportunities and feedback trading in emissions and energy markets. Journal of International Financial Markets, Institutions and Money, 36, pp. 130-147. (doi: 10.1016/j.intfin.2015.02.002)

This list was generated on Fri Aug 14 00:21:08 2020 BST.
Number of items: 20.

Articles

Zhao, N., Shi, Y. , Sun, Y. and Miao, J. (2020) Aggregate labor market fluctuations under news shocks. Economic Modelling, 90, pp. 397-405. (doi: 10.1016/j.econmod.2019.12.018)

Xu, L., Gao, H., Shi, Y. and Zhao, Y. (2020) The heterogeneous volume-volatility relations in the exchange-traded fund market: evidence from China. Economic Modelling, 85, pp. 400-408. (doi: 10.1016/j.econmod.2019.11.019)

Hu, H., Prokop, J., Shi, Y. and Trautwein, H.-M. (2020) The rating spillover from banks to sovereigns: an empirical investigation across the European Union. Journal of International Financial Markets, Institutions and Money, 64, 101161. (doi: 10.1016/j.intfin.2019.101161)

Guo, B., Shi, Y. and Xu, Y. (2020) Volatility information difference between CDS and option markets and the cross section of option returns. Quantitative Finance, (Accepted for Publication)

Yan, D., Kong, Y., Ye, B., Shi, Y. and Zeng, X. (2019) Spatial variation of energy efficiency based on a Super-Slack-Based Measure: Evidence from 104 resource-based cities. Journal of Cleaner Production, 240, 117669. (doi: 10.1016/j.jclepro.2019.117669)

Yan, D., Kong, Y., Ren, X., Shi, Y. and Chiang, S. (2019) The determinants of urban sustainability in Chinese resource-based cities: A panel quantile regression approach. Science of the Total Environment, 686, pp. 1210-1219. (doi: 10.1016/j.scitotenv.2019.05.386)

Gao, H., Shen, Z., Li, Y., Mao, X. and Shi, Y. (2019) Institutional investors, real earnings management and cost of equity: Evidence from listed high-tech firms in China. Emerging Markets Finance and Trade, (doi: 10.1080/1540496x.2019.1650348)

Jia, Z., Shi, Y. , Yan, C. and Duygun, M. (2019) Bankruptcy prediction with financial systemic risk. European Journal of Finance, (doi: 10.1080/1351847X.2019.1656095) (Early Online Publication)

Shi, S. and Shi, Y. (2019) Bitcoin futures: trade it or ban it? European Journal of Finance, (doi: 10.1080/1351847X.2019.1647865) (Early Online Publication)

Ren, X., Lu, Z., Cheng, C., Shi, Y. and Shen, J. (2019) On dynamic linkages of the state natural gas markets in the USA: evidence from an empirical spatio-temporal network quantile analysis. Energy Economics, 80, pp. 234-252. (doi: 10.1016/j.eneco.2019.01.001)

Shi, Y. , Zhang, H., Xu, Y. and Zhao, Y. (2019) The term structure of option-implied volatility and future realized volatility. Emerging Markets Finance and Trade, 55(13), pp. 2997-3022. (doi: 10.1080/1540496X.2019.1612360)

Cheng, C., Ren, X., Wang, Z. and Shi, Y. (2018) The impacts of non-fossil energy, economic growth, energy consumption, and oil price on carbon intensity: evidence from a panel quantile regression analysis of EU 28. Sustainability, 10(11), 4067. (doi: 10.3390/su10114067)

Kutan, A. M., Shi, Y. , Wei, M. and Zhao, Y. (2018) Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. International Review of Economics and Finance, 57, pp. 183-197. (doi: 10.1016/j.iref.2018.01.003)

Yan, D., Lei, Y., Shi, Y. , Zhu, Q., Li, L. and Zhang, Z. (2018) Evolution of the spatiotemporal pattern of PM2.5 concentrations in China – a case study from the Beijing-Tianjin-Hebei region. Atmospheric Environment, 183, pp. 225-233. (doi: 10.1016/j.atmosenv.2018.03.041)

Zhao, Y., Stasinakis, C. , Sermpinis, G. and Shi, Y. (2018) Neural network copula portfolio optimization for exchange traded funds. Quantitative Finance, 18(5), pp. 761-775. (doi: 10.1080/14697688.2017.1414505)

Park, J. S. and Shi, Y. (2017) Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. International Review of Financial Analysis, 54, pp. 176-191. (doi: 10.1016/j.irfa.2016.12.001)

Philip, D. and Shi, Y. (2016) Optimal hedging in carbon emission markets using Markov regime switching models. Journal of International Financial Markets, Institutions and Money, 43, pp. 1-15. (doi: 10.1016/j.intfin.2016.03.003)

Philip, D. and Shi, Y. (2015) Impact of allowance submissions in European carbon emission markets. International Review of Financial Analysis, 40, pp. 27-37. (doi: 10.1016/j.irfa.2015.05.004)

Chau, F., Kuo, J.-M. and Shi, Y. (2015) Arbitrage opportunities and feedback trading in emissions and energy markets. Journal of International Financial Markets, Institutions and Money, 36, pp. 130-147. (doi: 10.1016/j.intfin.2015.02.002)

Book Sections

Shi, Y. , Paramati, S. R. and Ren, X. (2020) The growth of carbon markets in Asia: the potential challenges for future development. In: Huang, B. and Yu, E. (eds.) Ways to Achieve Green Asia. ADBI, pp. 125-152. ISBN 9784899742111

This list was generated on Fri Aug 14 00:21:08 2020 BST.

Grants

“Momentum Strategies under the scope of market microstructure in the Foreign Exchange Market” ULSB research development fund, £2250, with Zhiyong Li

“Uncovered Equity ‘Disparity’ in Emerging Markets”, Newton Fund Official Development Assistance Allocation 2017, £7707, with Cheng Yan et al.

“The relationship between Chinese carbon spot and futures markets” 2017, £2276, China Clean Energy Fund.

“Developing a regional carbon emission market in Wuhu, China” £10,000, with Fanlin Ran and Meng Shen (2016). Wuhu City Government

Enterprise and Knowledge Exchange Travel Fund, University of Leicester, 2016, £950.

Supervision

Yaofei Xu
Zhehao Jia
Weiyu Wang

  • Hu, Jinhong
    Investor Sentiment and Cryptocurrency Market
  • Jia, Zhehao
    Three essays in corporate finance: firm bankruptcy, financial constraint and Asset-Backed-Securities.
  • Wang, Weiyu
    Three essays in Corporate Finance
  • Xu, Yaofei
    Credit risk based Asset Pricing