Profile

B.S. and M.S., Mathematics, Department of Mathematics, Zhejiang University (ZJU)

Ph.D., Finance, School of Economics and Finance, The University of Hong Kong (HKU)

Associate Professor and Distinguised Young Scholar, Finance, School of Economics, ZJU;

Fellow, Academy of Financial Research (AFR), ZJU & Zhejiang Province.

 

Xingguo's primary research interests are asset pricing, VIX and its futures and options, derivatives, term structure of interest rates and credit risk. He has published research works in the Journal of Financial Markets, Journal of Futures Markets, Pacific-Basin Finance Journal, Finance Research Letters and two of them are lead articles. He actively presented his papers in major international finance conferences and served as Session Chair for Financial Management Association (FMA, 2010) and Asian Finance Association (AsianFA, 2012) annual meetings. He also received research grant from the CME Group Foundation in 2012.

 

Selected Publications:

1. Expected stock returns and forward variance, Journal of Financial Markets, forthcoming

2. Stochastic volatility vs. jump diffusions: Evidence from the Chinese convertible bond market, International Reivew of Economics and Financeforthcoming

3. Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?, Finance Research Letters, 2015

4. Sell in May and Go Away: Evidence from China, Finance Research Letters, 2014

5. Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market, Journal of Financial Markets, 2013

6. The Term Structure of VIX, Journal of Futures Markets, 2012(Lead article)

7.  Forecasting the Term Structure of Chinese Treasury Yields, Pacific-Basin Finance Journal, 2012 (Lead article)

8. The Dynamics of Long Forward Rate Term  Structures, Journal of Futures Markets, 2010

 

Referee:

1. International Review of Finance

2. Journal of Futures Markets

3. Pacific-Basin Finance Journal

4. International Reivew of Economics and Finance

5. North American Journal of Economics and Finance

6. Finance Research Letters

7. Economic Modelling

 

Honors and Grants:

The National Natural Science Foundation of China, 2014-2016;

The Natural Science Foundation of Zhejiang Province, 2013-2015;  

Distinguished Young Scholar, ZJU, 2013;

Small Project Funding, HKU, 2012;

CME Group Foundation Grant, Chicago Mercantile Exchange (CME), 2012;

URC/CRCG Conference Grants, HKU, 2008, 2010, 2012;

University Studentship, HKU, 2006;

Postgraduate Studentship, HKU, 2006-2010;

Kwang-Hua Scholarship, ZJU, 2005.

 

 

  

Research work

Asset Pricing, VIX and its Futures and Options, Derivatives, Term Structure of Interest Rates and Credit Risk


Contact

Phone:Fax: +86-571-87953937; Address: School of Economics, Zhejiang University, 38 Zheda RD, Hangzhou, Zhejiang Province, P. R. China, Post Code: 310027
E-mail:xgluo at zju.edu.cn; 微信: xgluo99