Dr Yukun Shi

  • Senior Lecturer in Accounting and Finance with Data Analytics (Accounting & Finance)

Biography

Yukun joined the Adam Smith Business School in April 2018 as a Senior Lecturer in Accounting and Finance with Data Analytics. Prior to coming to Glasgow, he taught at the University of Leicester and Middlesex University.  He holds a PhD in Finance from Durham University and is a CFA Charterholder.  Yukun is also an academic consultant in Moody’s Analytics.

Research interests

  • Asset Pricing
  • Corporate Finance
  • Energy and Environmental Economics and Finance
  • Quantitative Finance

Publications

List by: Type | Date

Jump to: 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015
Number of items: 42.

2024

Wang, Z., Zhang, T., Ren, X. and Shi, Y. (2024) AI adoption rate and corporate green innovation efficiency: evidence from Chinese energy companies. Energy Economics, 132, 107499. (doi: 10.1016/j.eneco.2024.107499)

2023

Jia, Z., Li, D., Shi, Y. and Xing, L. (2023) Firm-level media coverage, bank loans, and the role of institutional environments. Journal of Corporate Finance, 83, 102491. (doi: 10.1016/j.jcorpfin.2023.102491)

Shi, Y. and Zhu, K. (2023) Unraveling the impact of bank loan spread on corporate innovation: evidence from China. Economic Modelling, (doi: 10.1016/j.econmod.2023.106559) (In Press)

Ding, R., Shi, Y. and Zhou, H. (2023) Social media coverage and post-earnings announcement drift: evidence from seeking alpha. European Journal of Finance, 29(2), pp. 207-227. (doi: 10.1080/1351847X.2021.2022508)

Dong, K., Zhao, J., Ren, X. and Shi, Y. (2023) Environmental regulation, human capital, and pollutant emissions: the case of SO2 emissions for China. Journal of Chinese Economic and Business Studies, 21(1), pp. 111-135. (doi: 10.1080/14765284.2022.2106539)

2022

Shi, Y. , Chen, D., Guo, B., Xu, Y. and Yan, C. (2022) The information content of CDS implied volatility and associated trading strategies. International Review of Financial Analysis, 83, 102295. (doi: 10.1016/j.irfa.2022.102295)

Shi, Y. , Stasinakis, C. , Xu, Y., Yan, C. and Zhang, X. (2022) Stock price default boundary: A Black-Cox model approach. International Review of Financial Analysis, 83, 102284. (doi: 10.1016/j.irfa.2022.102284)

Zhou, D., Liu, Y., Ren, X., Yan, C. and Shi, Y. (2022) Economic agglomeration and product quality upgrading: evidence from China. Journal of Chinese Economic and Business Studies, 20(4), pp. 377-395. (doi: 10.1080/14765284.2021.1985933)

Ren, X., Li, J. and Shi, Y. (2022) Can digital economic attention spillover to financial markets? Evidence from the time-varying Granger test. Journal of Digital Economy, 1(2), pp. 102-116. (doi: 10.1016/j.jdec.2022.11.002)

Li, D., Shi, Y. , Xu, L., Xu, Y. and Zhao, Y. (2022) Dynamic asymmetric dependence and portfolio management in cryptocurrency markets. Finance Research Letters, 48, 102829. (doi: 10.1016/j.frl.2022.102829)

Yuan, G. X., Yan, C., Zhou, Y., Liu, H., Qian, G. and Shi, Y. (2022) Credit risk analysis of Chinese companies by applying the CAFÉ Approach. In: Wang, Y., Zhu, G., Han, Q., Zhang, L., Song, X. and Lu, Z. (eds.) Data Science: 8th International Conference of Pioneering Computer Scientists, Engineers and Educators, ICPCSEE 2022, Chengdu, China, August 19–22, 2022, Proceedings, Part II. Series: Communications in computer and information science (1629). Springer: Singapore, pp. 475-502. ISBN 9789811952081 (doi: 10.1007/978-981-19-5209-8_33)

Pang, Y., Shi, S., Shi, Y. and Zhao, Y. (2022) A nonlinear dynamic approach to cash flow forecasting. Review of Quantitative Finance and Accounting, 59(1), pp. 205-237. (doi: 10.1007/s11156-022-01066-8)

Shi, Y. , Stasinakis, C. , Xu, Y. and Yan, C. (2022) Market co-movement between credit default swap curves and option volatility surfaces. International Review of Financial Analysis, 82, 102192. (doi: 10.1016/j.irfa.2022.102192)

He, Z., Guo, B., Shi, Y. and Zhao, Y. (2022) Natural disasters and CSR: Evidence from China. Pacific-Basin Finance Journal, 73, 101777. (doi: 10.1016/j.pacfin.2022.101777)

Yang, J., Guariglia, A., Peng, Y. and Shi, Y. (2022) Inventory investment and the choice of financing: does financial development play a role? Journal of Corporate Finance, 74, 102139. (doi: 10.1016/j.jcorpfin.2021.102139)

Ren, X., Duan, K., Tao, L., Shi, Y. and Yan, C. (2022) Carbon prices forecasting in quantiles. Energy Economics, 108, 105862. (doi: 10.1016/j.eneco.2022.105862)

Liu, P., Peng, Y., Shi, Y. and Yang, J. (2022) Financial structures, political risk and economic growth. European Journal of Finance, 28(4-5), pp. 356-376. (doi: 10.1080/1351847X.2021.1879888)

Ren, X., Shi, Y. and Jin, C. (2022) Climate policy uncertainty and corporate investment: evidence from the Chinese energy industry. Carbon Neutrality, 1, 14. (doi: 10.1007/s43979-022-00008-6)

2021

Yang, G., Huang, R., Shi, Y. and Jia, Z. (2021) Does a CEO's private reputation impede corporate governance? Economic Modelling, 104, 105640. (doi: 10.1016/j.econmod.2021.105640)

Duan, K., Ren, X., Shi, Y. , Mishra, T. and Yan, C. (2021) The marginal impacts of energy prices on carbon price variations: evidence from a quantile-on-quantile approach. Energy Economics, 95, 105131. (doi: 10.1016/j.eneco.2021.105131)

Fang, Y., Jing, Z., Shi, Y. and Zhao, Y. (2021) Financial spillovers and spillbacks: new evidence from China and G7 countries. Economic Modelling, 94, pp. 184-200. (doi: 10.1016/j.econmod.2020.09.022)

Shi, S. and Shi, Y. (2021) Bitcoin futures: trade it or ban it? European Journal of Finance, 27(4-5), pp. 381-396. (doi: 10.1080/1351847X.2019.1647865)

2020

Zhao, N., Shi, Y. , Sun, Y. and Miao, J. (2020) Aggregate labor market fluctuations under news shocks. Economic Modelling, 90, pp. 397-405. (doi: 10.1016/j.econmod.2019.12.018)

Xu, L., Gao, H., Shi, Y. and Zhao, Y. (2020) The heterogeneous volume-volatility relations in the exchange-traded fund market: evidence from China. Economic Modelling, 85, pp. 400-408. (doi: 10.1016/j.econmod.2019.11.019)

Hu, H., Prokop, J., Shi, Y. and Trautwein, H.-M. (2020) The rating spillover from banks to sovereigns: an empirical investigation across the European Union. Journal of International Financial Markets, Institutions and Money, 64, 101161. (doi: 10.1016/j.intfin.2019.101161)

Gao, H., Shen, Z., Li, Y., Mao, X. and Shi, Y. (2020) Institutional investors, real earnings management and cost of equity: Evidence from listed high-tech firms in China. Emerging Markets Finance and Trade, 56(14), pp. 3490-3506. (doi: 10.1080/1540496x.2019.1650348)

Guo, B., Shi, Y. and Xu, Y. (2020) Volatility information difference between CDS, options, and the cross section of options returns. Quantitative Finance, 20(12), pp. 2025-2036. (doi: 10.1080/14697688.2020.1814018)

Jia, Z., Shi, Y. , Yan, C. and Duygun, M. (2020) Bankruptcy prediction with financial systemic risk. European Journal of Finance, 26(7-8), pp. 666-690. (doi: 10.1080/1351847X.2019.1656095)

Shi, Y. , Paramati, S. R. and Ren, X. (2020) The growth of carbon markets in Asia: the potential challenges for future development. In: Huang, B. and Yu, E. (eds.) Ways to Achieve Green Asia. ADBI, pp. 125-152. ISBN 9784899742111

2019

Yan, D., Kong, Y., Ye, B., Shi, Y. and Zeng, X. (2019) Spatial variation of energy efficiency based on a Super-Slack-Based Measure: Evidence from 104 resource-based cities. Journal of Cleaner Production, 240, 117669. (doi: 10.1016/j.jclepro.2019.117669)

Paramati, S. R., Shi, Y. and Zhao, Y. (2019) Environmental Challenges and Sustainable Economic Development in the People's Republic of China: The Role of Renewable Energy across Provinces. ADBI Working Paper 1050. Working Paper. Asian Development Bank Institute.

Yan, D., Kong, Y., Ren, X., Shi, Y. and Chiang, S. (2019) The determinants of urban sustainability in Chinese resource-based cities: A panel quantile regression approach. Science of the Total Environment, 686, pp. 1210-1219. (doi: 10.1016/j.scitotenv.2019.05.386)

Ren, X., Lu, Z., Cheng, C., Shi, Y. and Shen, J. (2019) On dynamic linkages of the state natural gas markets in the USA: evidence from an empirical spatio-temporal network quantile analysis. Energy Economics, 80, pp. 234-252. (doi: 10.1016/j.eneco.2019.01.001)

Shi, Y. , Zhang, H., Xu, Y. and Zhao, Y. (2019) The term structure of option-implied volatility and future realized volatility. Emerging Markets Finance and Trade, 55(13), pp. 2997-3022. (doi: 10.1080/1540496X.2019.1612360)

2018

Cheng, C., Ren, X., Wang, Z. and Shi, Y. (2018) The impacts of non-fossil energy, economic growth, energy consumption, and oil price on carbon intensity: evidence from a panel quantile regression analysis of EU 28. Sustainability, 10(11), 4067. (doi: 10.3390/su10114067)

Kutan, A. M., Shi, Y. , Wei, M. and Zhao, Y. (2018) Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. International Review of Economics and Finance, 57, pp. 183-197. (doi: 10.1016/j.iref.2018.01.003)

Yan, D., Lei, Y., Shi, Y. , Zhu, Q., Li, L. and Zhang, Z. (2018) Evolution of the spatiotemporal pattern of PM2.5 concentrations in China – a case study from the Beijing-Tianjin-Hebei region. Atmospheric Environment, 183, pp. 225-233. (doi: 10.1016/j.atmosenv.2018.03.041)

Zhao, Y., Stasinakis, C. , Sermpinis, G. and Shi, Y. (2018) Neural network copula portfolio optimization for exchange traded funds. Quantitative Finance, 18(5), pp. 761-775. (doi: 10.1080/14697688.2017.1414505)

2017

Park, J. S. and Shi, Y. (2017) Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. International Review of Financial Analysis, 54, pp. 176-191. (doi: 10.1016/j.irfa.2016.12.001)

2016

Philip, D. and Shi, Y. (2016) Optimal hedging in carbon emission markets using Markov regime switching models. Journal of International Financial Markets, Institutions and Money, 43, pp. 1-15. (doi: 10.1016/j.intfin.2016.03.003)

2015

Philip, D. and Shi, Y. (2015) Impact of allowance submissions in European carbon emission markets. International Review of Financial Analysis, 40, pp. 27-37. (doi: 10.1016/j.irfa.2015.05.004)

Chau, F., Kuo, J.-M. and Shi, Y. (2015) Arbitrage opportunities and feedback trading in emissions and energy markets. Journal of International Financial Markets, Institutions and Money, 36, pp. 130-147. (doi: 10.1016/j.intfin.2015.02.002)

This list was generated on Wed May 22 09:24:32 2024 BST.
Number of items: 42.

Articles

Wang, Z., Zhang, T., Ren, X. and Shi, Y. (2024) AI adoption rate and corporate green innovation efficiency: evidence from Chinese energy companies. Energy Economics, 132, 107499. (doi: 10.1016/j.eneco.2024.107499)

Jia, Z., Li, D., Shi, Y. and Xing, L. (2023) Firm-level media coverage, bank loans, and the role of institutional environments. Journal of Corporate Finance, 83, 102491. (doi: 10.1016/j.jcorpfin.2023.102491)

Shi, Y. and Zhu, K. (2023) Unraveling the impact of bank loan spread on corporate innovation: evidence from China. Economic Modelling, (doi: 10.1016/j.econmod.2023.106559) (In Press)

Ding, R., Shi, Y. and Zhou, H. (2023) Social media coverage and post-earnings announcement drift: evidence from seeking alpha. European Journal of Finance, 29(2), pp. 207-227. (doi: 10.1080/1351847X.2021.2022508)

Dong, K., Zhao, J., Ren, X. and Shi, Y. (2023) Environmental regulation, human capital, and pollutant emissions: the case of SO2 emissions for China. Journal of Chinese Economic and Business Studies, 21(1), pp. 111-135. (doi: 10.1080/14765284.2022.2106539)

Shi, Y. , Chen, D., Guo, B., Xu, Y. and Yan, C. (2022) The information content of CDS implied volatility and associated trading strategies. International Review of Financial Analysis, 83, 102295. (doi: 10.1016/j.irfa.2022.102295)

Shi, Y. , Stasinakis, C. , Xu, Y., Yan, C. and Zhang, X. (2022) Stock price default boundary: A Black-Cox model approach. International Review of Financial Analysis, 83, 102284. (doi: 10.1016/j.irfa.2022.102284)

Zhou, D., Liu, Y., Ren, X., Yan, C. and Shi, Y. (2022) Economic agglomeration and product quality upgrading: evidence from China. Journal of Chinese Economic and Business Studies, 20(4), pp. 377-395. (doi: 10.1080/14765284.2021.1985933)

Ren, X., Li, J. and Shi, Y. (2022) Can digital economic attention spillover to financial markets? Evidence from the time-varying Granger test. Journal of Digital Economy, 1(2), pp. 102-116. (doi: 10.1016/j.jdec.2022.11.002)

Li, D., Shi, Y. , Xu, L., Xu, Y. and Zhao, Y. (2022) Dynamic asymmetric dependence and portfolio management in cryptocurrency markets. Finance Research Letters, 48, 102829. (doi: 10.1016/j.frl.2022.102829)

Pang, Y., Shi, S., Shi, Y. and Zhao, Y. (2022) A nonlinear dynamic approach to cash flow forecasting. Review of Quantitative Finance and Accounting, 59(1), pp. 205-237. (doi: 10.1007/s11156-022-01066-8)

Shi, Y. , Stasinakis, C. , Xu, Y. and Yan, C. (2022) Market co-movement between credit default swap curves and option volatility surfaces. International Review of Financial Analysis, 82, 102192. (doi: 10.1016/j.irfa.2022.102192)

He, Z., Guo, B., Shi, Y. and Zhao, Y. (2022) Natural disasters and CSR: Evidence from China. Pacific-Basin Finance Journal, 73, 101777. (doi: 10.1016/j.pacfin.2022.101777)

Yang, J., Guariglia, A., Peng, Y. and Shi, Y. (2022) Inventory investment and the choice of financing: does financial development play a role? Journal of Corporate Finance, 74, 102139. (doi: 10.1016/j.jcorpfin.2021.102139)

Ren, X., Duan, K., Tao, L., Shi, Y. and Yan, C. (2022) Carbon prices forecasting in quantiles. Energy Economics, 108, 105862. (doi: 10.1016/j.eneco.2022.105862)

Liu, P., Peng, Y., Shi, Y. and Yang, J. (2022) Financial structures, political risk and economic growth. European Journal of Finance, 28(4-5), pp. 356-376. (doi: 10.1080/1351847X.2021.1879888)

Ren, X., Shi, Y. and Jin, C. (2022) Climate policy uncertainty and corporate investment: evidence from the Chinese energy industry. Carbon Neutrality, 1, 14. (doi: 10.1007/s43979-022-00008-6)

Yang, G., Huang, R., Shi, Y. and Jia, Z. (2021) Does a CEO's private reputation impede corporate governance? Economic Modelling, 104, 105640. (doi: 10.1016/j.econmod.2021.105640)

Duan, K., Ren, X., Shi, Y. , Mishra, T. and Yan, C. (2021) The marginal impacts of energy prices on carbon price variations: evidence from a quantile-on-quantile approach. Energy Economics, 95, 105131. (doi: 10.1016/j.eneco.2021.105131)

Fang, Y., Jing, Z., Shi, Y. and Zhao, Y. (2021) Financial spillovers and spillbacks: new evidence from China and G7 countries. Economic Modelling, 94, pp. 184-200. (doi: 10.1016/j.econmod.2020.09.022)

Shi, S. and Shi, Y. (2021) Bitcoin futures: trade it or ban it? European Journal of Finance, 27(4-5), pp. 381-396. (doi: 10.1080/1351847X.2019.1647865)

Zhao, N., Shi, Y. , Sun, Y. and Miao, J. (2020) Aggregate labor market fluctuations under news shocks. Economic Modelling, 90, pp. 397-405. (doi: 10.1016/j.econmod.2019.12.018)

Xu, L., Gao, H., Shi, Y. and Zhao, Y. (2020) The heterogeneous volume-volatility relations in the exchange-traded fund market: evidence from China. Economic Modelling, 85, pp. 400-408. (doi: 10.1016/j.econmod.2019.11.019)

Hu, H., Prokop, J., Shi, Y. and Trautwein, H.-M. (2020) The rating spillover from banks to sovereigns: an empirical investigation across the European Union. Journal of International Financial Markets, Institutions and Money, 64, 101161. (doi: 10.1016/j.intfin.2019.101161)

Gao, H., Shen, Z., Li, Y., Mao, X. and Shi, Y. (2020) Institutional investors, real earnings management and cost of equity: Evidence from listed high-tech firms in China. Emerging Markets Finance and Trade, 56(14), pp. 3490-3506. (doi: 10.1080/1540496x.2019.1650348)

Guo, B., Shi, Y. and Xu, Y. (2020) Volatility information difference between CDS, options, and the cross section of options returns. Quantitative Finance, 20(12), pp. 2025-2036. (doi: 10.1080/14697688.2020.1814018)

Jia, Z., Shi, Y. , Yan, C. and Duygun, M. (2020) Bankruptcy prediction with financial systemic risk. European Journal of Finance, 26(7-8), pp. 666-690. (doi: 10.1080/1351847X.2019.1656095)

Yan, D., Kong, Y., Ye, B., Shi, Y. and Zeng, X. (2019) Spatial variation of energy efficiency based on a Super-Slack-Based Measure: Evidence from 104 resource-based cities. Journal of Cleaner Production, 240, 117669. (doi: 10.1016/j.jclepro.2019.117669)

Yan, D., Kong, Y., Ren, X., Shi, Y. and Chiang, S. (2019) The determinants of urban sustainability in Chinese resource-based cities: A panel quantile regression approach. Science of the Total Environment, 686, pp. 1210-1219. (doi: 10.1016/j.scitotenv.2019.05.386)

Ren, X., Lu, Z., Cheng, C., Shi, Y. and Shen, J. (2019) On dynamic linkages of the state natural gas markets in the USA: evidence from an empirical spatio-temporal network quantile analysis. Energy Economics, 80, pp. 234-252. (doi: 10.1016/j.eneco.2019.01.001)

Shi, Y. , Zhang, H., Xu, Y. and Zhao, Y. (2019) The term structure of option-implied volatility and future realized volatility. Emerging Markets Finance and Trade, 55(13), pp. 2997-3022. (doi: 10.1080/1540496X.2019.1612360)

Cheng, C., Ren, X., Wang, Z. and Shi, Y. (2018) The impacts of non-fossil energy, economic growth, energy consumption, and oil price on carbon intensity: evidence from a panel quantile regression analysis of EU 28. Sustainability, 10(11), 4067. (doi: 10.3390/su10114067)

Kutan, A. M., Shi, Y. , Wei, M. and Zhao, Y. (2018) Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. International Review of Economics and Finance, 57, pp. 183-197. (doi: 10.1016/j.iref.2018.01.003)

Yan, D., Lei, Y., Shi, Y. , Zhu, Q., Li, L. and Zhang, Z. (2018) Evolution of the spatiotemporal pattern of PM2.5 concentrations in China – a case study from the Beijing-Tianjin-Hebei region. Atmospheric Environment, 183, pp. 225-233. (doi: 10.1016/j.atmosenv.2018.03.041)

Zhao, Y., Stasinakis, C. , Sermpinis, G. and Shi, Y. (2018) Neural network copula portfolio optimization for exchange traded funds. Quantitative Finance, 18(5), pp. 761-775. (doi: 10.1080/14697688.2017.1414505)

Park, J. S. and Shi, Y. (2017) Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. International Review of Financial Analysis, 54, pp. 176-191. (doi: 10.1016/j.irfa.2016.12.001)

Philip, D. and Shi, Y. (2016) Optimal hedging in carbon emission markets using Markov regime switching models. Journal of International Financial Markets, Institutions and Money, 43, pp. 1-15. (doi: 10.1016/j.intfin.2016.03.003)

Philip, D. and Shi, Y. (2015) Impact of allowance submissions in European carbon emission markets. International Review of Financial Analysis, 40, pp. 27-37. (doi: 10.1016/j.irfa.2015.05.004)

Chau, F., Kuo, J.-M. and Shi, Y. (2015) Arbitrage opportunities and feedback trading in emissions and energy markets. Journal of International Financial Markets, Institutions and Money, 36, pp. 130-147. (doi: 10.1016/j.intfin.2015.02.002)

Book Sections

Yuan, G. X., Yan, C., Zhou, Y., Liu, H., Qian, G. and Shi, Y. (2022) Credit risk analysis of Chinese companies by applying the CAFÉ Approach. In: Wang, Y., Zhu, G., Han, Q., Zhang, L., Song, X. and Lu, Z. (eds.) Data Science: 8th International Conference of Pioneering Computer Scientists, Engineers and Educators, ICPCSEE 2022, Chengdu, China, August 19–22, 2022, Proceedings, Part II. Series: Communications in computer and information science (1629). Springer: Singapore, pp. 475-502. ISBN 9789811952081 (doi: 10.1007/978-981-19-5209-8_33)

Shi, Y. , Paramati, S. R. and Ren, X. (2020) The growth of carbon markets in Asia: the potential challenges for future development. In: Huang, B. and Yu, E. (eds.) Ways to Achieve Green Asia. ADBI, pp. 125-152. ISBN 9784899742111

Research Reports or Papers

Paramati, S. R., Shi, Y. and Zhao, Y. (2019) Environmental Challenges and Sustainable Economic Development in the People's Republic of China: The Role of Renewable Energy across Provinces. ADBI Working Paper 1050. Working Paper. Asian Development Bank Institute.

This list was generated on Wed May 22 09:24:32 2024 BST.

Grants

“Momentum Strategies under the scope of market microstructure in the Foreign Exchange Market” ULSB research development fund, £2250, with Zhiyong Li

“Uncovered Equity ‘Disparity’ in Emerging Markets”, Newton Fund Official Development Assistance Allocation 2017, £7707, with Cheng Yan et al.

“The relationship between Chinese carbon spot and futures markets” 2017, £2276, China Clean Energy Fund.

“Developing a regional carbon emission market in Wuhu, China” £10,000, with Fanlin Ran and Meng Shen (2016). Wuhu City Government

Enterprise and Knowledge Exchange Travel Fund, University of Leicester, 2016, £950.

Supervision