Associate Professor and Researcher at the base, Zhang Chuanhai, has published a collaborative paper titled 'The 'Good' and the 'Bad' Jump Spillovers: A Perspective on Interacting Jumps' in the prestigious academic journal 'Systems Engineering: Theory and Practice.' 'Systems Engineering: Theory and Practice' is a monthly journal sponsored by the China Association for Science and Technology and managed by the Chinese Society of Systems Engineering. It is a comprehensive scientific and technological journal that encompasses systems science, management science, information science, and more.

Abstract: This article takes the example of the Shanghai and Shenzhen 300 stock index futures and spot markets in China and investigates the structural and dynamic characteristics of good (positive) and bad (negative) jump spillovers between financial markets from the perspective of interacting jumps. Firstly, jump spillovers exhibit asymmetry, with bad jump spillovers being more prominent compared to good jump spillovers. Secondly, there are certain differences in jump spillovers during bull and bear markets. In bull markets, good jump spillovers are more significant, while in bear markets, bad jump spillovers are more pronounced, although this conclusion does not hold true in some market intervals. Thirdly, jump spillovers exhibit intraday reverberation effects, with bad jump spillovers being particularly pronounced. In summary, empirical research indicates the presence of bidirectional jump spillovers between the two markets, and jump spillovers are time-varying. For instance, during the period of implementing restrictions on stock index futures trading, jump spillovers from futures to spot markets have increased while those from spot to futures have weakened.

Teacher Profile

Zhang Chuanhai, Ph.D. in Quantitative Economics, is an Associate Professor at the School of Finance, Zhongnan University of Economics and Law. His primary research areas include financial markets, financial econometrics, financial risk, and financial technology with a focus on big data. His research papers have been published in both domestic and international journals, including Economic Research, Systems Engineering: Theory and Practice, Journal of Management Engineering, Mathematical Statistics and Management, Journal of Econometrics, Quantitative Finance, Pacific-Basin Finance Journal, Finance Research Letters, International Review of Financial Analysis, and Economic Modelling.