方 彤
山东大学经济学院副研究员，硕士生导师（金融学硕/专硕），中央财经大学数量经济学博士，美国加州大学河滨分校国家公派联合培养博士研究生。入选山东大学青年学者未来支持计划（第六批）。研究领域为实证金融，包括气候金融、波动率建模和混频数据建模等。主要成果发表在《中国社会科学》《数量经济技术经济研究》等国内期刊以及Journal of Empirical Finance, Economics Letters, Global Finance Journal和International Review of Financial Analysis等SSCI检索期刊，并被中国人民大学复印报刊资料多次全文转载。主持山东省自然科学基金、山东省社科规划基金、山东大学青年学者未来计划等课题，参加国家社科基金重大项目、国家自然科学基金面上项目等。担任《管理科学学报》《数量经济技术经济研究》《经济与管理研究》和International Review of Economics and Finance，International Review of Financial Analysis，Finance Research Letters等期刊匿名审稿人。
- 更新日期：2022-12
联系方式/Contact information
- 电子邮箱：fangtong1990@outlook.com
- 通讯地址：山东省济南市山大南路27号，250100
- 办公地址：山东大学洪家楼校区2号楼318
- 其他主页：学校主页; Researchgate
- ORCiD：0000-0002-9507-9668
研究方向/Research interests
- 气候金融：气候变化与资产定价；气候变化与金融稳定等
- 国家文化：非正式制度在经济金融领域的应用
- 系统性金融风险：系统性风险建模及影响因素
- 混频数据建模与应用：混频GARCH族模型建模和预测
- 金融预测：金融波动与收益预测
讲授课程/Teaching courses
- 本科生：国际金融；公司理财；投资银行学
- 研究生：数量经济与实证金融方法导论；资产定价文献导读与研究方法；金融学前沿
工作经历/Employment
- 2019/08-至今 山东大学 经济学院 副研究员
教育经历/Education
- 2015/10-2019/06 中央财经大学 统计与数学学院 数量经济学 经济学博士
- 2017/09-2018/09 美国加州大学河滨分校 经济系 国家公派联合培养博士生
- 2012/09-2014/06 中央财经大学 统计与数学学院 应用统计 硕士
- 2008/09-2012/06 山东大学 数学学院 统计学 理学学士
- 2009/07-2012/06 山东大学 经济学院 经济学 经济学学士（第二学位）
工作论文/Working papers
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Gold price ratios and aggregate stock returns(In progress)
Working paper：SSRN
Top ten downloads from Oct 6 to Dec 5 on SSRN for ERN: Asset Price Forecasts (Topic), ERN: Precious Metals (Topic), Econometric Modeling: Capital Markets - Forecasting eJournal and Econometric Modeling: Commodity Markets eJournal
Abstract: We examine whether gold price ratios, which represent the relative valuations of gold, predict aggregate stock returns. We find that gold price ratios positively predict future stock returns in-sample, but fail to generate significant out-of-sample forecasting performance, except for the gold-oil price ratio (GO). GO is the most powerful predictor both in-sample and out-of-sample. The predictive ability of GO remains significant after controlling for traditional predictors and other gold price ratios. We find that GO drives stock returns through the cash flow channel, and is also associated with future bad economic conditions. The GO movement is determined by rare disaster concerns instead of economic fundamentals. Our results are robust to a series of tests.
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Gold-oil price ratio and index futures return(In progress)
Abstract: We show that the gold-oil price ratio (GO), which is calculated as the natural logarithm of the gold to oil price ratio, positively and significantly predicts the S&P 500 Futures Index return in-sample. A one-standard-deviation increase in GO is associated with a 6.396% increase in the annual index futures return for the next month. Compared to traditional economic predictors, GO generates the most sizable out-of-sample R^2 and utility gains for a mean-variance investor. GO also outperforms several newly proposed predictors. Our results are robust to a series of tests.
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Global trade network and stock market returns: International evidence (Under review)
Abstract: We investigate the relationship between global trade network centrality and international stock market returns. Our empirical results show that trade network centrality negatively and significantly predicts international stock market returns, indicating that central (peripheral) economies have lower (higher) stock returns. The predictive power remains significant after controlling for traditional predictors. A centrality-based long-short trading strategy generates a significant centrality premium, which cannot be fully explained by the international risk factors of Fama and French (2012). We provide several potential and interesting explanations and find that global consumption risk exposure that controls for economy sizes, international consumption risk-sharing, conflict risk and information asymmetry are helpful in understanding the relationship between trade network centralities and stock market return differentials.
Working paper: SSRN
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National culture and international business cycle comovement（Revise&Resubmit）
Abstract: We investigate the relationship between national culture and international business cycle co-movements. We first characterize international business cycle co-movements with a dynamic latent factor model that decomposes 101 countries’ real GDP growth rates into world, regional and country-specific factors and estimate the proportion of real GDP growth rate variance explained by the world, regional and country factors for each country. We then regress these proportions on each of the five dimensions of Hofstede’s national culture with a set of control variables. We find that national culture is significantly related to business cycle co-movements, and the five dimensions have different impacts. In countries with higher power distance, masculinity and long-term orientation, the global factor explains a larger real GDP growth rate variance. Individualism and uncertainty avoidance weaken a country’s business cycle co-movements with the global business cycle. Countries with similar cultural values have similar economic structures and similar exposures to global shocks, which lead to business cycle co-movements. Our results are robust after addressing the issue of endogeneity and subsample analyses.
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National culture and central bank independence: International evidence (Under Review)
Working paper: SSRN
- 不确定性信息溢出能否提高股票市场波动预测精度？（Submitted）
- 个人投资者持股是否增加股价崩盘风险？基于中国股票市场的证据（Submitted）
- 气候变化对银行风险承担的影响研究：基于事前和事后风险承担视角（Submitted）
- 金融发展与经济增长的关联性：基于文化属性的新视角（In progress）
- Temperature shocks and foreign direct investment: City-level evidence in China (In progress)
- Climate shocks and the influence of monetary policy (In progress)
- Is climate risk priced in real estates of China? (In progress)
学术论文/Publications（按时间倒序，* 通讯作者）
- Xiaoni Song, Tong Fang*, 2023. Temperature shocks and bank systemic risk: Evidence from China. Finance Research Letters, 51: 103447. -Link-
- Tong Fang, Deyu Miao, Zhi Su, Libo Yin*, 2022. Uncertainty-driven oil volatility risk premium and international stock market volatility forecasting. Journal of Forecasting, online. -Link-
- Zhi Su, Peng Liu, Tong Fang, 2022. Uncertainty matters in US financial information spillovers: Evidece from a directed acyclic graph approach. Quarterly Review of Economics and Finance, 84: 229-242. -Link-
- 方彤、苏治：《一种基于LASSO的多变量混频GARCH模型设计与优化算法研究》，《数量经济技术经济研究》2021年第12期，146-163页。
- Libo Yin, Zhi Su, Tong Fang*, 2021. Do stock prices react to announcements of corporate executives’ first-time elections as congress deputies: New evidence from the Chinese political system. Finance Research Letters, 46(B):102446. -Link-
- Zhi Su, Peng Liu, Tong Fang*, 2021. Pandemic-induced fear and stock market returns: Evidence from China. Global Finance Journal, 54:100644. -Link-
- Tong Fang, Zhi Su, and Libo Yin*, 2021. Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market. Empirical Economics, 60: 2155-2176. -Link-
- Tong Fang, Zhi Su. 2020, Does uncertainty matter for US financial market volatility spillovers? Empirical evidence from a nonlinear Granger causality network. Applied Economics Letters incorporating Applied Financial Economics Letters 28: 1877-1883. -Link-
- Tong Fang, Zhi Su, Libo Yin*, 2020. Economic fundamentals or investor perception? The role of uncertainty in predicting cryptocurrency volatility. International Review of Financial Analysis 71: 101566. -Link-
- Tong Fang*, Tae-Hwy Lee, and Zhi Su, 2020. Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. Journal of Empirical Finance 58: 36-49. -Link-
- Zhi Su, Tong Fang, and Libo Yin, 2019. Understanding stock market volatility: What is the role of US uncertainty? The North American Journal of Economics and Finance 48: 582-590. -Link-
- 苏治、方彤*、马景义：《一类包含不同权重函数的混频GARCH族模型及其应用研究》，《数量经济技术经济研究》2018年第10期，126-143页。
- Zhi Su, Tong Fang, and Libo Yin*, 2018. Does NVIX matter for volatility? Evidence from Asia-Pacific markets. Physica A: Statistical Mechanics and Its Applications 492: 506-516. -Link
- 苏治、方彤、尹力博：《中国虚拟经济与实体经济的关联性——基于规模和周期视角的实证研究》，《中国社会科学》2017年第8期，87-109页。（被中国人民大学复印报刊资料《国民经济管理》2018年第1期全文转载）
- Zhi Su, Tong Fang, and Libo Yin*, 2017. The role of news-based implied volatility among US financial markets. Economics Letters 157: 24-27. -Link-
- 马景义、单璐琪、方彤：《一种增强型指数追踪模型设计：GLAR与折衷路径》，《数量经济技术经济研究》2017年第5期，107-121页。
- 苏治、方彤、秦磊：《一种基于规则化方法的最优稀疏指数追踪模型设计》，《数量经济技术经济研究》2016年第4期，145-160页。（被中国人民大学复印报刊资料《统计与精算》2016年第4期全文转载）
- 苏治、胡迪、方彤：《人民币加入SDR的国际影响——基于情景假设的量化测算》，《中国工业经济》2015年第12期，5-19页。（被中国人民大学复印报刊资料《世界经济导刊》2016年第3期全文转载）
- 苏治、秦磊、方彤：《含有图结构约束的稀疏最小方差资产组合模型》，《中国管理科学》2015年第9期，65-70页。
- 苏治、尹力博、方彤：《量化宽松与国际大宗商品市场：溢出性、非对称性和长记忆性》，《金融研究》2015年第3期，68-82页。
- 苏治、李进、方彤：《人民币区域接受程度：指数构建与影响因子计量——以东盟及中国香港为例》，《经济理论与经济管理》2014年第7期，51-63页。（被中国人民大学复印报刊资料《世界经济导刊》2014年第10期全文转载）
论著与教材/Books and chapters
- 常东风，陈晓莉，方彤等编：《金融教学案例（第一辑）》，经济科学出版社，ISBN 978-7-5218-2398-1
- 苏治，方彤主编：《数量经济学前沿文献导读》，中国财政经济出版社，ISBN 978-7-5223-0163-1。
- Zhuo Xu, Zhen Li, Tong Fang, 2020. Network centrality and cross-section of stock market returns. In IEIS 2020: Proceedings of the 7th International Conference on Industrial Economics Systems and Industrial Security Engineering, 1-8. Springer.
课题主持与参与/Academic fundings
- 山东省社科规划青年项目：国内国际双循环背景下的通货膨胀联动效应与影响因素研究（22DJJJ14），2022.8-2024.12，3万元，主持
- 山东省自然科学基金青年项目：不确定性对系统性金融风险传染影响的异质性：信息识别、内生检验与政策应用（ZR2020QG034），2021.1-2023.12，15万元，主持
- 山东大学青年学者未来计划（第六批）资助，2020-2025，20万元，主持
- 山东大学基本科研业务费资助项目：多维不确定性信息的内生性识别与应用研究，2019/10-2021/12，8万元，主持
- 中央财经大学博士研究生重点选题支持计划：不确定性冲击与资产价格动态演化的复杂机理研究（2016-ZDXT01），2016/10-2018/9，5万元，主持
- 国家哲学社会科学基金重大项目：“互联网+”推动经济转型机理与对策研究（15ZDC024），2016/03-2020/04，80万元，参与
- 国家自然科学基金面上项目：金融化背景下国际原油市场多维信息含量研究—基于涟漪扩散双重网络结构（71871234），2019/01-2022/12，47万元，参与
- 国家自然科学基金面上项目：货币总量转向信用总量—全球虚拟经济与实体经济背离机理与宏观政策应对（71473279），2015/01-2018/12，60万元，参与
- 国家自然科学基金青年项目：随机右删失数据半参数回归模型的光滑FIC平均估计理论及其应用（11301561），2014/01-2016/12，22万元，参与
- 北京市社科联决策咨询课题：“互联网+”战略下北京产业转型升级研究，2017/04-2017/11，15万元，参与
- 国家统计局全国统计科学研究重大项目：经济发展新动能指标体系及测算方法研究（2018LD04），2018/9-2020/9，15万元，参与
- 财政部中央文化企业国有资产监督管理领导小组办公室《国有文化企业发展报告》课题组，参与
学术会议/Conferences and seminars
- 2022 International Conference on Derivatives and Capital Markets: Gold-oil price ratio and index futures return, November 11-12th, Jinan, China (Online).
- 2020 China Accounting and Finance Conference: Global trade network and stock market returns: International evidence, January 8-9th, 2020, Beijing, China (Online).
- 全国数量经济学博士生学术论坛：Global trade network and stock market returns: International evidence，December 25-26th, 2021, Xiamen University, China (Online).
- Future Finance Conference 2021: Global trade network and stock market returns: International evidence, November 6th, Jiangxi University of Economics and Finance, Nanchang, China (Online).
- The 33rd Asian Finance Association Annual Meeting: Global trade network and stock market returns: International evidence, July 3-4th, Shandong University, Jinan, China (Online).
- 2021 Financial Markets and Corporate Governance Conference (FMCG): Gold price ratios and aggregate stock returns, April 7-9th, 2021, La Trobe University, Melbourne, Australia (Online).
- 第七届工业经济系统与工业安全工程国际会议IEIS2020：Network centrality and cross-section of stock returns，2020年7月，中国北京。
- International Conference on Internet Finance: Economic fundamentals or investor perceptions? The role of uncertainty in predicting the long-term cryptocurrencies volatility, August 23-24th, 2019, Hangzhou, China.
- 全国工业统计学教学研究会青年统计学家协会第一届会员大会暨中国青年统计学家论坛（优秀博士生分论坛报告论文）：Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection，2019年4月19-20日，中国上海。
- 山东大学经济学院高级经济学讲座：Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection，2018年12月13日，中国济南。
- The second Shanghai Risk Forum: Attention-based uncertainty and stock market performance: Evidence from Asia-Pacific markets, December 8th, 2016, Shanghai, China.
- European Financial Management Symposium: Does NVIX matter for volatility? Evidence from Asia-Pacific markets, April 7-9th, 2017, Xiamen, China.
- UCR Graduate Student Association Econometrics Seminar: Network centrality and cross-section of stock market returns, February 8th, 2018, Riverside, USA.
匿名审稿人/Reviewer
- 《管理科学学报》
- 《数量经济技术经济研究》
- 《经济与管理研究》
- 《财贸研究》
- Physica A
- International Review of Economics and Finance
- International Review of Financial Analysis
- Finance Research Letters