Research

Publications:

[1] Relation between higher order comoments and dependence structure of equity portfolio, 

with M. Cerrato, J. Crosby, and M. Kim, Journal of Empirical Finance, 2017, 40, 101–120. (ABS 3*, SSCI)

[2] The joint credit risk of UK global-systemically important banks, 

with M. Cerrato, J. Crosby, and M. Kim, Journal of Futures Markets, 2017, 37(10), 964–988. (ABS 3*, SSCI)

[3] Neural network copula portfolio optimization for exchange traded funds, 

with G. Sermpinis, C. Stasinakis, and Y. Shi, Quantitative Finance, 2018, 18(5), 761-775. (ABS 3*, SSCI)

[4] Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets, 

with A. Kutan, Y. Shi, and M. Wei, International Review of Economics & Finance, 2018, 57, 183-197. (ABS 2*, SSCI)

[5] Revisiting Fama-French factors’ predictability with Bayesian modelling and copula-based portfolio optimization,

with C. Stasinakis, G. Sermpinis, and F. Fernandes, International Journal of Finance and Economics, 2019, 24(4), 1443-1463. (ABS 3*, SSCI)

[6] The term structure of option-implied volatility and future realized volatility,

with Y. Shi, Y. Xu, and H. Zhang, Emerging Markets Finance and Trade, 2019, 55(13), 2997-3022. (ABS 2*, SSCI)

[7] The heterogeneous volume-volatility relations in the exchange-traded fund markets: Evidence from China,

with L. Xu, H. Gao, and Y. Shi, Economic Modelling, 2020, 85, 400-408. (ABS 2*, SSCI)

[8] Information-based trading and information propagation: Evidence from the exchange traded fund market, 

with L. Xu, L. Xu, and J. Zhao. International Review of Financial Analysis, 2020, 20, 101495. (ABS 3*, SSCI)

[9] Do ETFs increase market efficiency? Evidence from China, 

with L. Xu and J. Chen. Accounting and Finance, 2020, 60(5), 4795-4819. (ABS 2*, SSCI)

[10] Volatility-of-volatility risk in the crude oil market, 

with Y. Xu, T. Roh, and A. Tourani-Radb. Journal of Futures Markets, 2021, 41(2), 245-265. (ABS 3*, SSCI)

[11] The dependence structure between equity and foreign exchange rates and tail risk forecasts of foreign investments, 

with M. Kim, J. Yang, and P. Song. Quantitative Finance, 2021, 21(5), 815-835. (ABS 3*, SSCI)

[12] Financial derivatives and default dependence: a time-varying copula approach,

with X. Zhang, D. Liu, and Z. Zhang. Applied Economics Letters, 2021, 28(11), 958-963. (SSCI)

[13] Financial spillovers and spillbacks: New evidence from China and the G7 countries,

with Y. Fang, Z. Jing, and Y. Shi. Economic Modelling, 2021, 94, 184-200. (ABS 2*, SSCI)

[14] Forecasting corporate default risk in China, 

with X. Zhang and X. Yao. International Journal of Forecasting, 2022, 38(3), 1054-1070. (ABS 3*, SSCI)

[15] ESG and firm's default risk,

with H. Li and X. Zhang. Finance Research Letters, 2022, 47, 102713. (ABS 2*, SSCI)

[16] A nonlinear dynamic approach to cash flow forecasting,

with Y. Pang, S. Shi, and Y. Shi. Review of Quantitative Finance and Accounting, 2022, 59, 205–237. (ABS 3*)

[17] The risk spillover effect of COVID-19 breaking news on the stock market,

with L. Zhen. Emerging Markets Finance and Trade, 2022, 58, 4321-4337. (ABS 2*, SSCI)

[18] Systemic risk of commodity markets: a dynamic factor copula approach,

with R. Ouyang, X. Chen,  and Y. Fang. International Review of Financial Analysis, 2022, 82, 102204. (ABS 3*, SSCI)

[19] Dynamic asymmetric dependence and portfolio management in cryptocurrency markets,

with D. Li, Y. Shi, L. Xu, and Y. Xu. Finance Research Letters, 2022, 48, 102829. (ABS 2*, SSCI)

[20] A key driver for the mixed relationship between loan risk premiums and collateral: Evidence from China,

with X. Zhang, Y. Zhang,  and E. Scheffel. International Review of Financial Analysis, 2022, 83, 102206. (ABS 3*, SSCI)

[21] Natural disasters and CSR: Evidence from China,

with Z. He, B. Guo, and Y. Shi. Pacific-Basin Finance Journal, 2022, 73, 101777. (ABS 2*, SSCI)

Best Paper Award of the 2021 GCAA Conference

[22] Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both,

with Z. Wen, E. Bouri, and Y. Xu. The North American Journal of Economics and Finance, 2022, 62, 101733. (ABS 2*, SSCI)

[23] Does extended auditor disclosure deter managerial bad-news hoarding? Evidence from crash risk, 

with D. Li and L. Xing.  Journal of Corporate Finance, 2022, 76, 102256. (ABS 4*, SSCI)

[24] Firms’ COVID-19 pandemic exposure and corporate cash policy: Evidence from China,

with Z. He, S. Suardi, and K. Wang. Economic Modelling, 2022, 116, 105999. (ABS 2*, SSCI)

[25] Risk spillovers in global financial markets: Evidence from the COVID-19 crisis,

with Y. Fang and Z. Shao. International Review of Economics & Finance, 2023, 83, 821-840. (ABS 2*, SSCI)

[26] Economic policy uncertainty, corporate investment decisions and stock price crash risk: Evidence from China,

with Z. Jing, S. Lu, and J. Zhou. Accounting and Finance, 2023, 63, 1477-1502. (ABS 2*, SSCI)

[27] Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic,

with L. Xu, M. Xue, and X. Zhang. International Review of Financial Analysis, 2023, 87, 102608. (ABS 3*, SSCI)

[28] Digital finance and corporate ESG performance: Empirical evidence from listed companies in China,

with X. Ren and G. Zeng. Pacific-Basin Finance Journal, 2023, 79, 102019. (ABS 2*, SSCI)

[29] Bank fintech, liquidity creation, and risk-taking: Evidence from China,

with Y. Fang, Q. Wang, and F. Wang. Economic Modelling, 2023, 127, 106445. (ABS 2*, SSCI)

[30] Policy uncertainty and bank systemic risk: A perspective of risk decomposition,

with Y. Fang, and Q. Wang. Journal of International Financial Markets, Institutions & Money,  2023, 88, 101827. (ABS 3*, SSCI)

[31] Effect of low-carbon innovation on carbon risk: International firm-level investigation,

with L. Han, C. Xie, and J. Jin. International Review of Financial Analysis, 2023, 90, 102912. (ABS 3*, SSCI)

[32] Corporate social responsibility and firm survival: Evidence from Chinese listed firms,

with F. Fernandes, C. Stasinakis, and G. Sermpinis. British Journal of Management, 2024, 35, 1014-1039. (ABS 4*, SSCI)

[33] Editorial of the special issue on FinTech and digital finance: Fostering the synergy of finance and technology,

with M. Yu. Economic Modelling, 2024, 135, 106721. (ABS 2*, SSCI)

[34] Default dependence in the insurance and banking sectors: A copula approach,

with X. Zhang, M. Kim, and C. Yan. Journal of International Financial Markets, Institutions & Money,  2024, 91, 101911. (ABS 3*, SSCI)

[35] Innovation at the helm: Decoding founder-manager influence in Chinese family firms,

with L. Sun, S. Liu, and R. Ouyang. Pacific-Basin Finance Journal, 2024, 85, 102364. (ABS 2*, SSCI)

[36] Predicting stock price crash risk in China: A modified graph WaveNet Model,

with Z. Jing, Q. Li, and H. Zhao. Finance Research Letters, 2024, 105468. (ABS 2*, SSCI)

[37] Does digital economy affect corporate ESG performance? New insights from China,

with L. Tian, K. Sun, and J. Yang. International Review of Economics & Finance, 2024, 93, 964-980. (ABS 2*, SSCI)

[38] Digital finance and industrial structure upgrading: Evidence from Chinese counties,

with H. Shen, M. Qin, T. Li, and X. Zhang. International Review of Financial Analysis, 2024, 95, 103442. (ABS 3*, SSCI)

[39] Commodity systemic risk and macroeconomic predictions,

with R. Ouyang, T. Pei, and Y. Fang. Energy Economics, 2024, 138, 107807. (ABS 3*, SSCI)

[40] Personal income tax reform and household savings rates: Evidence from a quasi-natural experiment in China,

with Y Chen, Y Li, and W Zeng. International Review of Financial Analysis, 2024, 96, 103726. (ABS 3*, SSCI)

[41] Multivariate crash risk in China,

with T. Qiao, L. Han, and D. Li. Journal of Banking and Finance, 2025, 171, 107365. (ABS 3*, SSCI)

[42] Climate risk and corporate debt decision,

with C. Jiang, Y Li, and X. Zhang. Journal of International Money and Finance, 2025, 151, 103261. (ABS 3*, SSCI)

[43] Environmental tax reform and corporate tax avoidance: A quasi-natural experiment on China’s environmental protection tax law,

with Z. Jing, W. Zhang, and P. Zhao. The North American Journal of Economics and Finance, 2025, 76, 102367. (ABS 2*, SSCI)

[44] Economic policy uncertainty and intra-industry risk spillovers: Evidence from China’s non-financial sector,

with S. Lu, Y. Zeng, and W. Zhang. Journal of Systems Science and Complexity, 2025, 1-23.

[45] Does investment in consumer finance companies impact credit allocation of banks? Evidence from China,

with Y. Luo, C. Jiang, and X. Jun. Economic Modelling, 2025,  150, 107133.

[46] Regional cooperation and corporate vertical disintegration: Evidence from Chinese listed companies, 

with H. Wang, Z. Hu, X. Cui, and C. Yuan. International Review of Economics & Finance, 2025, 101, 104179.

[47] Personal income tax reform and health insurance purchases: Evidence from a quasi-natural experiment in China,

with Y. Fang, W. Zeng, and X. Zhang. Journal of Economic Behavior & Organization, 2025, 235, 107069.

Policy Note:

[1] Environmental challenges and sustainable economic development in the People’s Republic of China: The role of renewable energy across provinces, 

with Paramati, S. R. and Y. Shi, ADBI Working Paper 1050, December 2019. Tokyo: Asian Development Bank Institute. 

Chinese Publications:

[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, 76-92页. 

 (《中国社会科学文摘》2021年第10期全文转载；人大复印报刊资料《金融与保险》2021年第8期全文转载）

Books and Book Chapters (In Chinese):

[1] 翟玮, 赵阳, 《商业银行与金融科技:政策、风险与挑战》, 中国金融出版社,  2023.

[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,  2020.

[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.

Refereeing:

Journal of Banking and Finance, The British Accounting Review, Energy Economics, Journal of Business Research, Journal of International Financial Markets, Institutions & Money, International Review of Financial Analysis, Quantitative Finance, Journal of Forecasting, Annals of Operations Research, International Journal of Finance & Economics, Journal of International Financial Management & Accounting, Economic Modelling, International Review of Economics and Finance, China Economic Review, Pacific-Basin Finance Journal, Accounting and Finance, Finance Research Letters, North American Journal of Economics and Finance, Emerging Markets Finance and Trade, Journal of Commodity Markets, Research in International Business and Finance

Grant:

• National Natural Science Foundation of China (Grant No. 71801117), 2019-2021, Principal Investigator.

• Program for Innovation Research in Central University of Finance and Economics, 2025-2027, Principal Investigator.

• National Natural Science Foundation of China (Grant No. 71973162), 2020-2023, Participation.

• National Natural Science Foundation of China (Grant No. 72173144 ), 2022-2025, Participation.

• National Natural Science Foundation of China (Grant No. 72271253 ), 2023-2026, Participation.

• Program for Innovation Research at the Central University of Finance and Economics (Grant No. 20190092), 2020-2023, Participation.

• HEFCE Newton Fund Official Development Assistance Allocation, (Grant No. RI350011), 2017-2019, External Collaborator.