基地执行副主任孙宪明教授的论文“Quantile spillover effect among cryptocurrency and financial markets in regulated environment”在重要学术期刊Finance Research Letters发表。

摘要：This study investigates the risk spillovers among the cryptocurrency market and financial markets—stock, bond, foreign exchange, and money—in China and Singapore, highlighting heterogeneity under different quantiles and cryptocurrency regulations. Utilizing Quantile-Vector Autoregression (QVAR) model, we find that in both countries, static spillovers are more pronounced at extreme quantiles than under normal market conditions. Compared with Singapore, China’s cryptocurrency prohibition reduces spillovers between cryptocurrency and stock markets but increases spillovers between cryptocurrency and foreign exchange markets. Additionally, this prohibition amplifies total spillovers among the five markets at extreme quantiles, primarily driven by the spillover from the money market to the cryptocurrency market.

关键词：Cryptocurrency, Financial markets, Spillover, Quantile, Cryptocurrency regulation

论文链接：https://doi.org/10.1016/j.frl.2025.108630

教师简介

孙宪明，中南财经政法大学金融工程系教授、系主任，数字技术与现代金融学科创新引智基地执行副主任。研究方向为金融工程、金融科技及其相关领域，研究成果发表在Journal of Economic Dynamics and Control, Journal of Economic Behavior & Organization，Journal of Futures Markets, Accounting and Finance, Energy Economics等期刊。荣获中南财经政法大学“文澜青年学者”，主持国家自然科学基金、中央高校基本科研业务经费项目等科研项目。相关研究曾获第十六届中国金融工程学年会优秀论文奖。