Prof Hai Lin

Prof Hai Lin profile picture

Deputy Head of School School of Economics and Finance


Teaching in 2019


BA, MA, PhD Xiamen University

Research interests

Fixed-Income Securities, Asset Pricing, Market Microstructure


Selected Journal articles

  • 'Are there gains from using information over the surface of implied volatilities?' (with B. Guo and Q. Han), Journal of Futures Markets, forthcoming.
  • 'Are tightened trading rules always bad? Evidence from the Chinese index futures market' (with Y. Wang), Quantitative Finance, forthcoming.
  • 'Forecasting corporate bond returns with a large set of predictors: An iterated combination approach' (with Chunchi Wu, Guofu Zhou), Management Science,forthcoming.
  • 'Information diffusion and the predictability of New Zealand stock market returns' (with D. Quill), Accounting and Finance, 56 (2016), pp. 749-785.
  • 'Predictions of corporate bond excess returns' (with J. Wang and C. Wu), Journal of Financial Markets, 21 (2014), pp. 123-152.
  • 'Liquidity risk and momentum spillover from stocks and bonds' (with J. Wang and C. Wu), The Journal of Fixed Income, 23, 1 (2013), pp. 5-42.
  • ‘Are corporate bond returns predictable?’ (with Y.M Hong and C. Wu), Journal of Banking and Finance, 36 (2012), pp. 2216-2232.
  • 'The roles of speculation and fundamentals in commodity markets: The case of U.S. natural gas futures market' (with M. Ji and Z. Zheng), Review of Futures Markets,19 (2011), pp. 217-247.
  • 'Liquidity risk and expected corporate bond returns’ (with J. Wang and C. Wu), Journal of Financial Economics, 99 (2011), pp. 628-650.
  • 'Dissecting corporate bond and CDS spread' (with S. Liu and C. Wu), Journal of Fixed Income, 20 (2010), pp. 7-39 (lead article). Abstract appears in The Finance Professionals’ Post, January 13, 2011, and CFA Digest, 41, 2 (May 2011); 2011 Peter L. Bernstein Award for best paper in an Institutional Investor journal.
  • ‘Modeling the dynamics of Chinese spot interest rates’ (with Y. Hong and S. Wang), Journal of Banking and Finance, 34 (2010), pp. 1047-1061.
  • 'Price discovery and trading after hours in the U.S. treasury market’ (with Y. He, J. Wang and C. Wu), Journal of Financial Intermediation,18 (2009), pp. 464-490.
  • ‘The 2000 presidential election and the information cost of sensitive Vs. non-sensitive S&P 500 Stocks’ (with Y. He, C. Wu and U. Dufrene), Journal of Financial Markets, 12 (2009), pp. 54-86.

Book chapters

  • ‘On-/off-the-run yield spread puzzle: Evidence from the Chinese treasury market’ (with R. Chen and Q. Yuan), Handbook of Financial Econometrics and Statistics(edited by C.F. Lee), Springer Publisher, forthcoming.
  • Term structure of default-free and defaultable securities: Theory and empirical evidence’ (with C. Wu),Handbook of Quantitative Finance and Risk Managementedited by C.F. Lee and A. C. Lee), 2010, Springer Publisher, 979-1005.


Teaching in 2019