Theme:
Dynamic volatility spillover and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events

Lecturer: 

Prof. Dr. LI Shibing: Professor, Institute of Physics, Academia Sinica, Taiwan; Visiting Professor, Department of Physics, Hong Kong University of Science and Technology

Time:  14:00-15:00 pm, May 8^th, 2024

Venue:  Room 206, School of Business Building

Organizer: Department of Finance, Institute of Financial Engineering

Moderator: Prof. Dr. REN Fei, Department of Finance

Synopsis:

We study the dynamic volatility spillover relationships between the Chinese carbon and international energy markets, and the impact of extreme weather events on the relationships. We further investigate the dynamic and asymmetric return connectedness in the global “Carbon-Energy-Stock” system, including carbon markets and stock markets of the three largest economies, namely the United States, European Union and China, and fossil energies of crude oil and natural gas under exogenous shocks. I will also discuss some recent research work on complex networks and information entropy applications in finance.

Introduction to the Lecturer:

Prof. LI Shibing, graduated from the Chinese University of Hong Kong, Ph.D. from the University of Washington, Seattle, U.S.A., was the Deputy Director and Acting Director of the Institute of Physics, Academia Sinica, Taipei, and is now an Honorary Professor of the Institute as well as a Visiting Professor of the Department of Physics, Hong Kong University of Science and Technology. He has published more than 70 papers in Quantitative Finance, International Review of Financial Analysis, Finance Research Letters and Journal of Management Science. He is one of the two most prominent financial physicists in Taiwan, China. In the last five years, he has been mainly engaged in exploring different types of complex systems, including financial markets, sociology, earth sciences, etc. He has developed new methods and tools to study different complex systems, which can be widely used to explore other financial topics in the future.