Name: Wang Xunxiao
Title: Associate Professor
Research Directions: Risk Management, Corporate Finance, Financial Econometrics
Courses taught: Risk Management, Financial Econometrics, Econometrics, Stochastic Processes, Nonparametric Statistics
E - mail: wang.xunxiao@sufe.edu.cn; Phone: 021-65902301
Research Project
Serial Number | 项目名称 | Project Number | Project Source | Start and End Time | Project funds |
1 | Research on Financial Services Based on Multimodal Information and Behavioral Analysis (Subtopic) | 72531004 | Key Project of the National Natural Science Foundation | 2026-2029 | |
2 | Research on Systemic Financial Risk under High-Dimensional Mixed-frequency Data and Frequency-time Spillover of Fluctuations | 72171139 | National Natural Science Foundation General Project | 2022-2025 | 470,000 |
3 | Analysis of the Liquidity Characteristics of Financial Markets and Their Business Digital Transformation | 2023110139 | Shanghai University of Finance and Economics Youth Innovation Team Support Program | 2023-2024 | 100,000 |
4 | Research on the Short-Term Impact and Spillover Effects of Sudden Public Health Events on China's and Global Stock Markets — A Case Study of the COVID-19 Event | 2021110301 | Shanghai University of Finance and Economics Two Service Action Plans | 2019-2020 | 30,000 |
5 | Research on Financial Volatility Prediction and Transmission Based on Dynamic Mixture and Hierarchical Shrinkage Methods | 71701118 | National Natural Science Foundation Youth Project | 2018-2020 | 190,000 |
Research Field
Focusing on the intersection of statistical and data science methods in finance, mainly including the following three aspects:
Risk Management: Measuring systematic financial risk, its formation mechanisms, transmission paths, and economic impact, covering topics such as supply chain shocks, cross-market volatility spillovers, and financial network linkages.
Corporate Finance: Investor-firm interactions, regulatory inquiries, IPO pricing efficiency, as well as corporate investment and financing decisions, focusing on the impact of corporate behavior on market information efficiency and resource allocation.
Financial Econometrics: High-frequency data and volatility modeling, exploring innovative applications of machine learning and AI in financial analysis and risk prediction.
Education Background
2011.9-2016.3 Antai College of Economics and Management, Shanghai Jiao Tong University, Management Science and Engineering (Financial Engineering), PhD
Work Experience
July 2022 - Shanghai University of Finance and Economics, School of Statistics and Management, Associate Professor, Doctoral Supervisor
August 2016 - June 2022, Shanghai University of Finance and Economics, School of Statistics and Management, Lecturer
1.Shibo Bian, Yao Chen, Ran Duan, Jinjie Liu, Xunxiao Wang*，2025. Answer relevance in earnings conference calls，Accounting and Business Research， accepted
2.汪训孝，刘瑾婕，卞世博，周金花*.亡羊补牢，为时未晚？——基于问询函的研究，《管理科学学报》，2024，录用。
3.Xunxiao Wang, Luxi Li, Shibo Bian*, 2024. Irrelevant Answers in Customers' Earnings Communication
Conferences and Suppliers' Cash Holdings，Journal of Financial Stability，accepted
4.Shibo Bian，Iftekhar Hasan，Xunxiao Wang*，Zhipeng Yan，2024. Do Markets Value Manager-Investor Interaction Quality? Evidence from IPO Returns, Review of Quantitative Finance and Accounting,online
5.Xunxiao Wang, Shibo Bian , Chongfeng Wu, 2023. Spillover effects within supply chains: Evidence from Chinese-listed firms, Journal of International Financial Management & Accounting, accepted
6.Qiang Chen, Yuting Gong, Xunxiao Wang, 2022. Empirical Process-Based Specification Tests for Diffusion Models, The Canadian Journal of Statistics, accepted
7.卞世博，陈曜，汪训孝*. 高质量的互动可以提高股票市场定价效率吗？基于“上证e互动”的研究. 《经济学》（季刊）. 2021
8.Wang X*. Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate, Energy Economics, 2020,91.
9.Wang, X. , Keshab S., Qi, S. 2019. Forecasting realised volatility: a Markov switching approach with time‐varying transition probabilities. Accounting and Finance 59: 1947-1975.
10. Wang, X.*, Yudong, W., 2019. Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. Energy Economics, accept
11. Wang, X.*, Wu, C., 2018. Asymmetric Volatility Spillovers Between Crude Oil and International Financial Markets. Energy Economics 74: 592-604.
12. Wang, X.*, Wu, C.,Xu, W., 2015. Volatility forecasting: The role of lunch-break returns, overnight returns, trading volume and leverage effects. International Journal of Forecasting 31(3): 609-619.
13. Wang, X., Wu, C.,Xu, W.*, 2015. When to buy or sell in supply chains with the presence of mergers. International Journal of Production Economics 163(0): 137-145.
14. Wang, X.*, Diao X., Chen, Y., 2016. What are returns outside trading hours capturing for volatility of individual stocks? Applied Economics Letters.
15. Zhichao Liu, Feng Ma, Xunxiao Wang*, 2015. Forecasting the realized volatility: the roles of jumps. Applied Economics Letters.
2016 First Excellent Doctoral Dissertation of Shanghai Jiao Tong University
Young Editorial Board Member of China Finance Review International
1. "Volatility spillovers between stock index and futures markets: A frequency
dynamics perspective", an invited report at the 15th Annual Meeting of Chinese Fnance, Guangzhou, China, Nov, 2018.
2. "Forecasting realized volatility: A Markov switching approach with time-varying
transition probabilities", an invited report at the China Financial Innovation Conference, Zhejiang University, Nov, 2018.
3. Session Chair: Behavioral Finance , at the 10th China Finance Review International Conference, Shanghai, China, July, 2017.
4. "Volatility forecasting with Markov-switching heterogeneous autoregressive models", an invited report at the 9th China Finance Review International Conference, Shanghai, China, July, 2016.
5. "Volatility transmission: structural stability and time-varying coefficients", an invited report at the 12th Annual Meeting of Chinese Fnance, Wuhan, China, October, 2015.
