Most stock markets are open for 6-8 hours per trading day. The Asian, European and American stock markets are separated in time by time-zone differences. We propose a statistical dynamic factor model for a large number of daily returns across multiple time zones. Our model has a common global factor as well as continental factors. Under a mild fixed-signs assumption, our model is identified and has a structural interpretation. We propose several estimators of the model: the maximum likelihood estimator-one day (MLE-one day), the quasi-maximum likelihood estimator (QMLE), an improved estimator from QMLE (QMLE-md), the QMLE-res (similar to MLE-one day), and a Bayesian estimator (Gibbs sampling). We establish consistency, the rates of convergence and the asymptotic distributions of the QMLE and the QMLE-md. We next provide a heuristic procedure for conducting inference for the MLE-one day and the QMLE-res. Monte Carlo simulations reveal that the MLE-one day, the QMLE-res and the QMLE-md work well. We then apply our model to two real data sets: (1) equity portfolio returns from Japan, Europe and the US; (2) MSCI equity indices of 41 developed and emerging markets. Some new insights about linkages among different markets are drawn.
翻译：多数股票市场每交易日开放6-8小时。亚洲、欧洲和美国股票市场按时区差异时间分隔。我们建议了一个统计动态因素模型,用于跨越多个时区的大量每日回报。我们的模型既有共同的全球因素,也有大陆因素。在一种温和的固定标志假设下,确定了我们的模型,并有结构解释。我们提出模型的若干估计者:最高估计-1日(MLE-1日)的最大可能性估计-1日(MLE-1日),准估计概率41度(QMLE),一个改进的估测器,来自QMLE(QMLE-Md)、QMLE-res(类似于MLE-1日)和Bayesian估测器(Gibbs抽样),我们确定了QMLE和Q-MLE模型的一致和无规律分布。我们随后为MLE-I和Q-MLE-C-C-Q-C-C-C-C-CML-C-C-I-ML-ML-ML-I-S-S-C-C-C-Simimactal-ID-MLML-ML-ML 和ML-S-S-ML-MLMLML-S-S-I-S-S-ML-S-S-S-S-S-S-S-MF-NF-S-S-S-S-S-S-S-S-S-S-S-S-S-S-ML-N-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-N-I-S-ND-NF-S-S-S-S-S-S-M-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-S-
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