Songze Qu - Academia.edu (original) (raw)
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Papers by Songze Qu
Axioms
As China’s economy and the U.S. economy have shown a definite interaction, there is considerable ... more As China’s economy and the U.S. economy have shown a definite interaction, there is considerable interest in studying the correlation between the Chinese stock market and the US financial markets. This paper uses an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH to investigate the correlation between the Shanghai Composite Index (SHCI) and the U.S. financial markets, including SP500, NASDAQ, and US dollar indexes. The empirical results show that the time-varying daily and the lag-one correlation between China and the US stock markets have different performances during global events and national events. Compared with the complicated effect of negative events on the correlation of the stock market, SHCI and USD are negatively correlated with higher negative correlation during the global negative events. In addition, we found Chinese investors are more contagious to the news than American investors, indicating that the Chinese government’s policy are more indicated to Chinese ...
Energy Economics, 2021
This paper examines the patterns of electricity system outages and their association with the gen... more This paper examines the patterns of electricity system outages and their association with the generation mix. Using hourly outage and generation data from the state of New South Wales, Australia between 2013 and 2019 we investigate the relationship between different generation types, electricity demand, weather conditions and the onset and severity of power outages in the following hour. We find that higher levels of wind generation prior to an outage event are associated with an increase in the extent of outages, measured in customer-minutes, while more black coal generation is associated with a lower extent of outages. High wind and storm conditions are related to more blackouts. Our results also indicate that wind generation appears to be the most vulnerable under stormy weather conditions. In recent years solar generation has been associated with a lower expected value of outage events, due to its ability to supply electricity on hot summer days during peak demand. Electricity d...
Axioms
As China’s economy and the U.S. economy have shown a definite interaction, there is considerable ... more As China’s economy and the U.S. economy have shown a definite interaction, there is considerable interest in studying the correlation between the Chinese stock market and the US financial markets. This paper uses an Asymmetric Dynamic Conditional Correlation (ADCC)-GARCH to investigate the correlation between the Shanghai Composite Index (SHCI) and the U.S. financial markets, including SP500, NASDAQ, and US dollar indexes. The empirical results show that the time-varying daily and the lag-one correlation between China and the US stock markets have different performances during global events and national events. Compared with the complicated effect of negative events on the correlation of the stock market, SHCI and USD are negatively correlated with higher negative correlation during the global negative events. In addition, we found Chinese investors are more contagious to the news than American investors, indicating that the Chinese government’s policy are more indicated to Chinese ...
Energy Economics, 2021
This paper examines the patterns of electricity system outages and their association with the gen... more This paper examines the patterns of electricity system outages and their association with the generation mix. Using hourly outage and generation data from the state of New South Wales, Australia between 2013 and 2019 we investigate the relationship between different generation types, electricity demand, weather conditions and the onset and severity of power outages in the following hour. We find that higher levels of wind generation prior to an outage event are associated with an increase in the extent of outages, measured in customer-minutes, while more black coal generation is associated with a lower extent of outages. High wind and storm conditions are related to more blackouts. Our results also indicate that wind generation appears to be the most vulnerable under stormy weather conditions. In recent years solar generation has been associated with a lower expected value of outage events, due to its ability to supply electricity on hot summer days during peak demand. Electricity d...