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Dr Sebastian Gehricke

Sebastian Gehricke

Lecturer
Deputy Director CEFGroup

BCom(Otago), MBus(Otago)

Office OBS 3.28
Tel +64 3 473 5450
Email sebastian.gehricke@otago.ac.nz

Sebastian joined the Otago team full-time as a Lecturer in June 2018. Before then, he was already part of the department as a PhD student and casual Lecturer/Tutor. Sebastian is an integral part of the Climate and Energy Finance Group (CEFGroup), running several events and pursuing research in climate finance, responsible investments and carbon and energy markets. Sebastian also has financial consulting experience, particularly in project feasibility modelling and investment management. This year Sebastian is bringing the first sustainable investments course in New Zealand to Otago undergraduate students. He has volunteered through helping start-up businesses cement their business plans and sharing his personal and sustainable finance knowledge at community events.

Leadership roles

Teaching

Current

  • BSNS 114: Financial Decision Making
  • FINC 399: Special Topic – Sustainable Investments (

Past

  • FINC 102: Business Mathematics
  • FINC 204: Personal Finance
  • FINC 206: Corporate Finance
  • FINC 306: Derivatives
  • FINC 405: Mathematical Finance

Research interests

Dr Gehricke is researching in Responsible Investing, Climate Finance, Derivatives, Asset Pricing, Carbon Markets and Energy Markets.

Supervision

Current

  • Wei Guo, "SPX and SPY Options", PhD in Finance, April 2018 – present.
  • Joe Euphrat, "Impact investing: best practice, challenges and risks in New Zealand", MSusBus, Oct 2020 – present

Completed

  • Josh Morrison, "Financing the ASEAN green energy transition", Summer scholarship and Master of Finance (MFinc), 2021
  • Kate Scott, "ESG investment performance and attention in Australia", MFinc, 2021
  • Tom Weatherall, "ESG investment performance and attention in the U.S.", MFinc, 2021
  • Tom Lindsay, "Implied volatility of China gold options and COVID", MFinc, 2021
  • James Stanners, "The Financial Contagion of the COVID-19 Crisis", MFinc, 2021
  • Ling Liao, The New Zealand Emissions Trading Scheme, Master of Commerce, 2020
  • Connor Stuart, FXA options, MFinc, 2020
  • Jansson Ford, ESG investment performance, MFinc, 2020
  • Tian Yue, SSE 50 ETF Options, PhD in Finance, 2019
  • Jianhui Li, How do US option traders smirk on China: evidence from FXI options market, Master of Business, 2018

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Publications

Kirk-Reeve, S., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). National air pollution and the cross-section of stock returns in China. Journal of Behavioral & Experimental Finance, 32, 100572. doi: 10.1016/j.jbef.2021.100572

Yue, T., Gehricke, S., Zhang, J. E., & Pan, Z. (2021). The implied volatility smirk in the Chinese equity options market. Pacific-Basin Finance Journal. Advance online publication. doi: 10.1016/j.pacfin.2021.101624

Diaz-Rainey, I., Gehricke, S. A., Roberts, H., & Zhang, R. (2021). Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility. International Review of Financial Analysis. Advance online publication. doi: 10.1016/j.irfa.2021.101746

Gehricke, S. A., & Zhang, J. E. (2021). Tracking performance of VIX futures ETPs. Journal of Empirical Finance, 61, 103-117. doi: 10.1016/j.jempfin.2021.01.002

Stuart, C. J. A., Gehricke, S. A., Zhang, J. E., & Ruan, X. (2021). Implied volatility smirk in the Australian dollar market. Accounting & Finance. Advance online publication. doi: 10.1111/acfi.12741

Diaz-Rainey, I., Gehricke, S. A., Roberts, H., & Zhang, R. (2021). Trump vs. Paris: The impact of climate policy on U.S. listed oil and gas firm returns and volatility. International Review of Financial Analysis. Advance online publication. doi: 10.1016/j.irfa.2021.101746

Journal - Research Article

Gehricke, S. A., & Zhang, J. E. (2021). Tracking performance of VIX futures ETPs. Journal of Empirical Finance, 61, 103-117. doi: 10.1016/j.jempfin.2021.01.002

Journal - Research Article

Guo, W., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). The implied volatility smirk in SPY options. Applied Economics. Advance online publication. doi: 10.1080/00036846.2020.1866159

Journal - Research Article

Kirk-Reeve, S., Gehricke, S. A., Ruan, X., & Zhang, J. E. (2021). National air pollution and the cross-section of stock returns in China. Journal of Behavioral & Experimental Finance, 32, 100572. doi: 10.1016/j.jbef.2021.100572

Journal - Research Article

Stuart, C. J. A., Gehricke, S. A., Zhang, J. E., & Ruan, X. (2021). Implied volatility smirk in the Australian dollar market. Accounting & Finance. Advance online publication. doi: 10.1111/acfi.12741

Journal - Research Article

Yue, T., Gehricke, S., Zhang, J. E., & Pan, Z. (2021). The implied volatility smirk in the Chinese equity options market. Pacific-Basin Finance Journal. Advance online publication. doi: 10.1016/j.pacfin.2021.101624

Journal - Research Article

Gehricke, S. A., & Zhang, J. E. (2020). Modeling VXX under jump diffusion with stochastic long‐term mean. Journal of Futures Markets, 40(10), 1508-1534. doi: 10.1002/fut.22145

Journal - Research Article

Gehricke, S. A., & Zhang, J. E. (2020). The implied volatility smirk in the VXX options market. Applied Economics, 52(8), 769-788. doi: 10.1080/00036846.2019.1646402

Journal - Research Article

Li, J., Gehricke, S. A., & Zhang, J. E. (2019). How do US options traders “smirk” on China? Evidence from FXI options. Journal of Futures Markets, 39, 1450-1470. doi: 10.1002/fut.22005

Journal - Research Article

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX. Journal of Futures Markets, 38(8), 958-976. doi: 10.1002/fut.21913

Journal - Research Article

Ford, J. M., Gehricke, S. A., & Zhang, J. E. (2020). Option traders are concerned about climate risks: ESG ratings and sentiment. Proceedings of the Accounting & Finance Association of Australia and New Zealand (AFAANZ) Conference. Retrieved from http://www.afaanzconference.com

Conference Contribution - Published proceedings: Full paper

Guo, W., Gehricke, S., Ruan, X., & Zhang, J. (2020). The implied volatility smirk in SPY options. Accounting & Finance Association of Australia and New Zealand (AFAANZ) Conference. Retrieved from http://www.afaanzconference.com

Conference Contribution - Published proceedings: Full paper

Gehricke, S. A., & Zhang, J. E. (2018). Modeling VXX under jump diffusion with stochastic long-term mean. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Conference Contribution - Published proceedings: Full paper

Gehricke, S. A., & Zhang, J. E. (2018). The implied volatility smirk in the VXX options market. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Conference Contribution - Published proceedings: Full paper

Li, J., Gehricke, S., & Zhang, J. E. (2018). How do US option traders "smirk" on China: Evidence from FXI options market. Proceedings of the Auckland Centre for Financial Research 8th New Zealand Finance Meeting (NZFM). Auckland, New Zealand: Auckland Centre for Financial Research. Retrieved from https://acfr.aut.ac.nz

Conference Contribution - Published proceedings: Full paper

Gehricke, S. A., & Zhang, J. E. (2016). Modeling VXX. Proceedings of the New Zealand Finance Colloquium. Retrieved from http://www.nzfc.ac.nz/archives/2016/schedule/

Conference Contribution - Published proceedings: Full paper

Liao, L., Diaz-Rainey, I., Gehricke, S., & Kuruppuarachchi, D. (2020). The role of fundamentals and policy in New Zealand's carbon prices. Proceedings of the 14th Annual Otago Energy Research Centre (OERC) Symposium: New Energy Futures post COVID-19. Retrieved from https://www.otago.ac.nz/oerc

Conference Contribution - Published proceedings: Abstract

Diaz-Rainey, I., Gehricke, S., Roberts, H., & Zhang, R. (2019). Trump vs. Paris: The impact of climate policy and climate risk on US listed oil and gas firm valuation. Proceedings of the 13th Otago Energy Research Centre (OERC) and Otago Climate Change Network (OCCNET) Energy & Climate Change Symposium. (pp. 11). Retrieved from https://www.otago.ac.nz/oerc

Conference Contribution - Published proceedings: Abstract

Gehricke, S. A. (2018). VIX futures ETNs and their derivatives (PhD). University of Otago, Dunedin, New Zealand. Retrieved from https://ourarchive.otago.ac.nz/handle/10523/8446

Awarded Doctoral Degree

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