研究者詳細

顔写真

コウ イツト メン
Ko Iat Meng
Ko Iat Meng
所属
大学院経済学研究科 経済経営学専攻 システム科学講座
職名
准教授
学位
  • Doctor of Philosophy(香港中文大学)

  • Master of Philosophy(香港中文大学)

e-Rad 研究者番号
30939608

経歴 3

  • 2021年 ~ 継続中
    東北大学

  • 2014年 ~ 2021年
    University of Macau Department of Finance and Business Economics Assistant Professor

  • 2013年 ~ 2014年
    The Chinese University of Hong Kong Shanghai-Hong Kong Development Institute Post Doctoral Fellow

学歴 3

  • The Chinese University of Hong Kong Ph.D. in Economics

    2008年 ~ 2013年

  • The Chinese University of Hong Kong M.Phil. in Economics

    2006年 ~ 2008年

  • Tsinghua University Bachelor in Finance

    2002年 ~ 2006年

研究キーワード 3

  • Empirical Social Network Model and Analysis

  • Financial Econometrics

  • Applied Econometrics

論文 13

  1. Can Storage Momentum and Its Difference of a Nonferrous Metal Predict Price Return? 査読有り

    Stanley lat‐Meng Ko, Chia Chun Lo, Liang Peng

    Journal of Futures Markets 2025年4月14日

    出版者・発行元: Wiley

    DOI: 10.1002/fut.22587  

    ISSN:0270-7314

    eISSN:1096-9934

    詳細を見る 詳細を閉じる

    ABSTRACT This study contributes to nonferrous metal market predictability by introducing dynamic measures, namely storage momentum and momentum difference, as innovative predictors for future contract returns. Our exploration reveals distinct predictability patterns, with compelling evidence in copper, zinc, and nickel, while aluminum displays comparatively lower predictability. Our proposed tailored predictability test accommodates correlated, heteroscedastic, and heavy‐tailed residuals, addressing the limitations of conventional tests. Out‐of‐sample forecasts affirm the sustained predictive performance of storage momentum and momentum difference for copper and nickel, establishing our work as a pioneering contribution to the nuanced landscape of nonferrous metal market predictability.

  2. Indian Buffet Process Factor Model for Counterfactual Analysis 査読有り

    Stanley Iat-Meng Ko

    Econometric Reviews 1-22 2024年9月17日

    出版者・発行元: Informa UK Limited

    DOI: 10.1080/07474938.2024.2393547  

    ISSN:0747-4938

    eISSN:1532-4168

  3. Non-representative Sampled Networks: Estimation of Network Structural Properties by Weighting 査読有り

    Chih-Sheng Hsieh, Yu-Chin Hsu, Stanley I.M. Ko, Jaromír Kovářík, Trevon D. Logan

    Journal of Econometrics 240 (1) 2024年3月

    出版者・発行元: Elsevier BV

    DOI: 10.1016/j.jeconom.2024.105689  

    ISSN:0304-4076

  4. A Contagion Test with Unspecified Heteroscedastic Errors 査読有り

    Ernest Aboagye, Stanley Iat-Meng Ko, Chia Chun Lo, Cody Yu-Ling Hsiao, Liang Peng

    Journal of Economic Dynamics and Control 159 2024年2月

    出版者・発行元: Elsevier BV

    DOI: 10.1016/j.jedc.2023.104804  

    ISSN:0165-1889

  5. Social Network Matters: Capital Structure Risk Control on REITs 査読有り

    Stanley Iat-Meng Ko, Rose Neng Lai, Zhenjiang Qin

    Journal of Real Estate Finance and Economics 66 (3) 709-742 2023年4月

    DOI: 10.1007/s11146-021-09833-5  

    ISSN:0895-5638

    eISSN:1573-045X

  6. A Two-step Quantile Regression Method for Discretionary Accounting 査読有り

    May Huaxi Zhang, Stanley Iat-Meng Ko, Andreas Karathanasopoulos, Chia Chun Lo

    Review of Quantitative Finance and Accounting 59 (1) 1-22 2022年7月

    出版者・発行元: Springer Science and Business Media {LLC}

    DOI: 10.1007/s11156-022-01048-w  

  7. Financial Relief Policy and Social Distancing During the COVID-19 Pandemic 査読有り

    Cody Yu-Ling Hsiao, Stanley Iat-Meng Ko, Nan Zhou

    PLOS Global Public Health 2022年6月30日

    DOI: 10.1371/journal.pgph.0000663  

  8. On Time and Frequency-varying Okun’s Coefficient: a New Approach Based on Ensemble Empirical Mode Decomposition 査読有り

    Myeong Jun Kim, Stanley Iat-Meng Ko, Sung Y. Park

    Empirical Economics 61 (3) 1151-1188 2021年9月

    DOI: 10.1007/s00181-020-01904-5  

    ISSN:0377-7332

    eISSN:1435-8921

  9. Are better-connected CEOs more socially responsible? Evidence from the U.S. restaurant industry 査読有り

    Jean J. Chen, Stanley I.M. Ko, Leona S.Z. Li, Fiona X. Yang

    Tourism Management 85 104304-104304 2021年8月

    出版者・発行元: Elsevier BV

    DOI: 10.1016/j.tourman.2021.104304  

    ISSN:0261-5177

  10. Spatial Modeling Approach for Dynamic Network Formation and Interactions 査読有り

    Xiaoyi Han, Chih Sheng Hsieh, Stanley Iat-Meng Ko

    Journal of Business and Economic Statistics 39 (1) 120-135 2021年

    DOI: 10.1080/07350015.2019.1639395  

    ISSN:0735-0015

    eISSN:1537-2707

  11. Lucky Lots and Unlucky Investors 査読有り

    Tao Chen, Andreas Karathanasopoulos, Stanley Iat-Meng Ko, Chia Chun Lo

    Review of Quantitative Finance and Accounting 54 (2) 735-751 2020年2月

    DOI: 10.1007/s11156-019-00805-8  

    ISSN:0924-865X

    eISSN:1573-7179

  12. Dirichlet Process Hidden Markov Multiple Change-point Model 査読有り

    Stanley Iat-Meng Ko, Terence T.L. Chong, Pulak Ghosh

    Bayesian Analysis 10 (2) 275-296 2015年

    DOI: 10.1214/14-BA910  

    ISSN:1936-0975

    eISSN:1931-6690

  13. Multivariate Density Forecast Evaluation: A Modified Approach 査読有り

    Stanley Iat-Meng Ko, Sung Y. Park

    International Journal of Forecasting 29 (3) 431-441 2013年7月

    DOI: 10.1016/j.ijforecast.2012.11.006  

    ISSN:0169-2070

︎全件表示 ︎最初の5件までを表示

講演・口頭発表等 8

  1. Asset Pricing and Stock Return Dependencies: The Role of Internet Co-search Interactions

    Macroeconometric Modelling Workshop, MMW2024 (Academia Sinica, Taiwan) 2024年12月11日

  2. Asset Pricing and Stock Return Dependencies: The Role of Internet Co-search Interactions 招待有り

    The 7th International Conference on Econometrics and Statistics (EcoSta 2024) 2024年7月17日

  3. Unveiling the Dynamics of Climate Change Effects on US Corn Yields: A Novel Approach for Measuring Adaption

    Macroeconometric Modelling Workshop, MMW2023 (Academia Sinica, Taiwan) 2023年11月27日

  4. Unveiling the Dynamics of Climate Change Effects on US Corn Yields: A Novel Approach for Measuring Adaption

    International Conference on Agricultural and Environmental Economics (National Taiwan University) 2023年9月3日

  5. Asset Pricing with Co-search Interaction

    The 6th International Conference on Econometrics and Statistics (EcoSta 2023) 2023年8月1日

  6. Forecasting Stock Returns with Conditional Quantile-Level Dependence

    3rd Tohoku-ISM-UUlm Joint Workshop 2022年10月14日

  7. Indian Buffet Process Factor Model for Counterfactual Analysis

    The 5th International Conference on Econometrics and Statistics (EcoSta 2022) 2022年6月4日

  8. Stock Market Contagion During the Covid-19 Pandemic: a Network Perspective

    2021 年度(第 29 回)関西計量経済学研究会プログラム 2022年1月9日

︎全件表示 ︎最初の5件までを表示

共同研究・競争的資金等の研究課題 1

  1. Asset Pricing by Spatial Interaction Identified with Internet Co-search Relation

    提供機関:Japan Society for the Promotion of Science

    制度名:Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C)

    研究種目:Grant-in-Aid for Scientific Research (C)

    研究機関:Tohoku University

    2022年4月 ~ 2026年3月

担当経験のある科目(授業) 4

  1. 上級計量経済学特論 ⅠⅠ 東北大学

  2. 上級計量経済学特論 Ⅰ 東北大学

  3. 中級計量経済学特論 ⅠⅠ 東北大学

  4. 中級計量経済学特論 Ⅰ 東北大学