Professor Haihan Tang’s Paper is Accepted and Published in an International Level-A Journal, Focusing on a Large Confirmatory Dynamic Factor Model for Stock Market Returns in Different Time Zones | Academics

Release time：2025-02-20    

The paper entitled “A Large Confirmatory Dynamic Factor Model for Stock Market Returns in Different Time Zones” co-authored by Haihan Tang, Associate Professor in Finance at Fudan International School of Finance, Oliver B. Linton and Jianbin Wu was accepted and published on the international level-A journal Journal of Econometrics and would soon be printed.

Professor Introduction

Haihan Tang

Associate Professor in Finance at Fudan International School of Finance

Below is the elaboration of the main content of the paper:

We proposed a confirmatory dynamic factor model for a large number of stocks; the daily return of which covering multiple time zones. This model contained an international factor and an intercontinental factor, both working together to drive the return sequence of a single stock. We put in two estimators: one being the Quasi-Maximum Likelihood Estimator (QML-just-identified) and the other the Improved Estimator (QML-all-res) based on Expectation Maximization (EM) Algorithm. Under the assumption of the large approximation factor model, our estimators exhibited consistency and asymptotic normality. In particular, the asymptotic distribution of QML-all-res was the same as Ordinary Least Squares (OLS) Estimator, the latter of which considered the factors as known and introduced all constraints on the model parameters. By applying the model to 42 MSCI stock indexes of developed and emerging markets, we found that most markets showed higher levels of integration with a relatively higher CBOE Volatility Index (VIX).

Ever since establishment, FISF has witnessed 38 professors publishing a total of 163 papers on world-famous academic journals, among which 112 academic papers were published on international level-A journals (including A+, A and A-). The teaching team of the school has always upheld the school motto of “Unified FISF, Excellence, Responsibility, Innovation”, devoting themselves wholeheartedly to the academic research work. They manage to maintain a high level of academic achievements in both quantity and quality, which fully reflects the excellent strength of the teaching team of FISF in the field of academic research. In the future, FISF will keep on pursuing international cutting-edge scientific research achievements and continue to making greater contributions to the promotion of first-class financial and economic disciplines.