日本株式市場における経済レジームファクターの役割

Size: px

Start display at page:

Download "日本株式市場における経済レジームファクターの役割"

ひろきののした
5 years ago
Views:

1 Takuya Tokunaga, Koichi Miyazaki The University of Electro-Communications 1 David(1997) Veronesi$(1999)$ (2010) Veronesi(1999) Merton(1973) Merton(1973) Lo and Wang(2006) (2008) Lo and Wang(2006) CAPM Fama and French(1993) SMB, HML Arzu(2009) Merton(1973) Arzu(2009) Beliefs Uncertainty 2 eliefs Uncertainty $B$ 1 ( )

$) Sasaki and Miyazaki(2012) SMB HML $\searrow$ ( ) (2010) (2010), (2009) ( ) Arzu(2009) 3$

2 Arzu(2009) Arzu(2009) CAPM Fama and French(1993) 3 (SMB, HML) B 2 ( (2006), (2010), ) Sasaki and Miyazaki(2012) SMB HML $\searrow$ ( ) (2010) (2010), (2009) ( ) Arzu(2009) 3 4

3 $\epsilon_{s_{t},t} $ $h_{s_{t}}$ (Regime-switching model; RSM) [Arzu(2009)] Arzu(2009) 2.1 $\Delta IP_{t}$ $\beta_{s}$, ( $IP$ ) (1) $IP$ $S_{t}(s_{t}=1,2)$ $IP$ $0$ $\epsilon_{s_{t},t}$, $\ln(h_{s_{t}})$ $\lambda_{s_{l}}$ $\Delta IP_{t}=\beta_{s_{t}}+\epsilon_{s_{t},t} \epsilon_{s,,t}\sim N(0,h_{s_{t}}) \ln(h_{s_{l}})=\lambda_{s}, s_{t}=1,2$ (1) 2.2 TOPIX TOPIX (2) $Def$, $\ovalbox{\tt\small REJECT} $ $LS$, $I$, TOPIX $r_{m,t}$ TOPIX $DY$ $0$, $h_{s_{t}} $ RSM $h_{s_{t}} $ $\lambda_{s}^{j}$ $\lambda_{s_{l}},$ 1, (2) (2012) $r_{m,t}=\beta_{s_{t}} +\beta_{s_{l}}^{def}def_{t-1}+\beta_{s}^{ls}ls_{t-1}+\beta_{s_{t}}^{i}i_{t-1}+\beta^{dy}dy_{t-1}+\epsilon_{s_{/},t} $ (2) $\epsilon_{s_{t},t} \sim N(0, h_{s_{t}} ) \ln(h_{s},)=\lambda_{s_{t}} +\lambda_{s_{l}}^{i}i_{t-1}s, =1,2$ $IP$ TOPIX (3) $t-1$ $t$ 1 (4) $t-1$ $t$ 2 $Pr(s_{t}=1 s_{t-1}=1;\delta CLI_{t-1})=\phi(\eta_{0}+\eta_{1}\Delta CLI_{t-1})$ (3) $Pr(s_{t}=2 s_{t-1}=2;\delta CLI_{t-1})=\phi(\eta_{0}+\eta_{2}\Delta CLI_{t-1})$ (4)

4 50 $\Delta CLI$ $\phi(\cdot)$ $\eta_{0}$ $\eta_{1},\eta_{2}$ 1( 2) $\Delta CLI$ 2.3 $IP$ TOPIX (5) (s, 2) $=$ $\pi_{t}^{l}=p\iota\{s_{t}=2 z_{t}\}$ (5) $t$ $z_{t}$ (6) $q$ $\equiv\pi_{t}^{l}(1-\pi_{t}^{l})$ (6) $\pi_{l}^{l}$ $1-\pi_{t}^{L}$ $\pi^{l}$ $0$ $UC_{t}$ $0$ $\pi^{l}$ $IP$ TOPIX $\pi^{l}$ $IP$ TOPIX TOPIX $UC$

5 $201O$ ( ) 2. ( ) ( ) 4. ( ) CAPM Fama and French(1993) 3 (7) $\Delta\pi^{L},$ (8) $\epsilon_{t}$ $\Delta\pi_{l}^{L}$ (7) (8) $\epsilon$, $UC_{l}$ $AR$ (2) $\Delta UC_{t}$ $\Delta\pi_{t}^{L}=\pi_{t}^{L}-\pi_{t-1}^{L}$ (7) $UC_{t}=a+bUC_{t-1}+cUC_{t-2}+\epsilon_{t}$ (S)

6 52 $a$ $AR$(2) $b,c$ $AR$(2) $IP$ TOPIX (9) (12) $p$ $r_{m,t}=\alpha^{r,\pi^{l}}+\beta^{r,\pi^{l}}\pi_{-1}^{l}+\epsilon_{t}$ (9) $r_{m,t}=\alpha^{r,uc}+\beta^{r,uc}uc_{t-1}+\epsilon_{t}$ (10) $\sigma_{m,t}=\alpha^{\sigma,\pi^{l}}+\beta^{\sigma,\pi^{l}}\pi_{t-1}^{l}+\epsilon_{t}$ (11) $\sigma_{m,t}=\alpha^{\sigma,uc}+\beta^{\sigma,uc}uc_{l-1}+\epsilon_{t}$ (12) (9), (10) $t-1$ 1 (11), (12) $t-1$ 1 GARCH 3.4

7 Fama-MacBeth(1973) $\Delta\pi^{L}$ (13) (21) 9 $\Delta UC$ $IP$ (15), (16), (17), (20), TOPIX (21) $IP$ TOPIX 2 $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\epsilon_{t}$ (13) $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{mom}mom_{t-1}+\epsilon_{t}$ (14) $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{\delta\pi^{l}}\delta\pi_{t-1}^{l}+\epsilon_{t}$ (15) $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{\delta UC}\Delta UC_{t-1}+\epsilon_{t}$ (16) $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{\delta\pi^{l}}\delta\pi_{t-1}^{l}+\beta_{i}^{\delta UC}\Delta UC_{l-1}+\epsilon_{t}$ (17) $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{smb}smb_{t-1}+\beta_{i}^{pml}hml_{f-1}+\epsilon$, (ls) $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{smb}smb_{t-1}+\beta_{i}^{pml}hm4_{-1}+\beta_{i}^{mom}mom_{t-1}+\epsilon_{t}$ (19) $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{\delta\pi^{l}}\delta\pi_{t-1}^{l}+\beta_{i}^{\delta UC}\Delta UC_{t-1}+\beta_{i}^{MOM}MOM_{t-1}+\epsilon_{t}$ (20) $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{smb}smb_{t-1}+\beta_{i}^{pml}hml_{\uparrow-1}+\beta_{i}^{\delta\pi^{l}}\delta\pi_{t-1}^{l}+\beta_{i}^{\delta UC}\Delta UC_{t-1}+\epsilon_{t}$ (21) (17) (22), (23) 2 Fama-MacBeth(1973) Stepl : (22)

8 54 Step2 : $*23$ ) Stepl $T$ 1 $r_{i,t}=\alpha_{i}+\beta_{i}^{mkt}mkt_{t-1}+\beta_{i}^{\delta\lambda^{l}}\delta\pi_{t-1}^{l}+\beta_{j}^{\delta UC}\Delta UC_{l-1}+\epsilon_{t} (i:fix, t:1..t)$ (22) $r_{i,/}=\gamma_{i}+\beta_{i}^{mkt}\lambda_{l-1}^{mkt}+\beta_{i}^{\delta\pi^{l}}\lambda_{t-1}^{\delta\pi^{l}}+\beta_{i}^{\delta UC}\lambda_{l-1}^{\Delta UC}+\eta_{t} (i:1..n,t:fix)$ (23) $r_{i,/}$ $t$ $\sqrtmkti,\beta_{i}^{\delta\prime r^{l}},\beta_{i}^{\delta UC}$ $i$ $MKT_{t-1}$ $t-1$ $i$ $\epsilon_{t}$ $\eta$, ( $)$ SMB HML Arzu(2009) (13), (17), (18), (21) ) (18) MKT (SMB HML ) 2 3 (SMB HML ) (14), (19), $\Delta\pi^{L}$ (20) $\Delta UC$ MKT (15), (16) 2

$2 - $\grave{}$ IV (11), (12) GARCH (24), (25) IV $IV=\alpha^{W,\pi^{L}}+\beta^{W,\pi^{L}}\pi_{t}^{L}+\epsilon_{t}$ (24)$

9 55 1 MKT MKT (SMB, HML) 2 SMB HML GARCH 1 1 ( (IV) ) $\grave{}$ IV (11), (12) GARCH (24), (25) IV $IV=\alpha^{W,\pi^{L}}+\beta^{W,\pi^{L}}\pi_{t}^{L}+\epsilon_{t}$ (24) $IV_{t}=\alpha^{W,UC}+\beta^{W,UC}UC_{t}+\epsilon_{t}$ (25) $IV_{t}$ $t+1$ ( 10 ) $t+2$ ( 30 ) $t$ IV (ATM), 500 (OTM(500)), 1000 (OTM(1000)) 3

10 56 IV ( ) 30 ( ) IV ( ) IV $\searrow$ IV $-c-2005$ 4 $-arrow-$ $-arrow-2005$ OTM OTM ATM (1000) $\langle$500) TOPIX, 5 ( $Aaa-$ Baa ), ( -TIBOR (3 ) ), SMB HML ATM 500 OTM(500) OTM(1000) 3 IV

11 $IP$ TOPIX 6. $IP$ $ $ TOPIX 6 $IP$ TOPIX Arzu(2009) Arzu(2009) OO2 2O $IP$ TOPIX 1 1 $\pi^{l}$ $UC$ 1 ( ) GARCH ( )

$$r_{i4^{t}}$ $\sigma_{i4^{1}}$ 0.027 58 1. $\frac{ : \pi^{l}}{topix}$ $\frac{ : UC}{TOPIXIP}$ $\frac{\beta^{\pi}r^{2}\frac{ip}{-0.1110.003\beta^{\pi}r^{2}}}{-0.236^{***}0.$

12 $r_{i4^{t}}$ $\sigma_{i4^{1}}$ $\frac{ : \pi^{l}}{topix}$ $\frac{ : UC}{TOPIXIP}$ $\frac{\beta^{\pi}r^{2}\frac{ip}{ \beta^{\pi}r^{2}}}{-0.236^{***}0.013} \frac{\overline{\beta^{u\mathbb{c}}r^{2}}\beta^{uc}r^{2}}{ }$ $***$ $***$ $***$ $***$ 1% $\pi^{l}$ 1 TOPIX $IP$ Arzu(2009) Arzu(2009) TOPIX $IP$ ( TOPIX ) 1 TOPIX $IP$ $UC$

13 $ffl_{\backslash }u_{\phi}^{\ovalbox{\tt\small REJECT}}\mathbb{R}e_{\underline{*}}$ $fflrw\hslash-$ $\blacksquare R^{2}$ GARCH ( ) Arzu(2009) 8 8 Arzu(2009) $\Delta\pi^{L}$ $\Delta UC$ Retum ( ) $R^{2}$ ( ) 8. Arzu(2009) ( 8) %

$60 HML FF3 Model SMB 10% 2 (3Factor Model $(\Delta\pi L+\Delta UC(IP))$ ) 80% 27% FF3 Model 45%, 57% ( 20%, 3%) 20% 23% 9 10$

14 60 HML FF3 Model SMB 10% 2 (3Factor Model $(\Delta\pi L+\Delta UC(IP))$ ) 80% 27% FF3 Model 45%, 57% ( 20%, 3%) 20% 23% 9 10 Arzu(2009) CRSP index $S$&P TOPIX TOPIX TOPIX $S$&P500 $S$&P500 9 TOPIX

15 TOPIX ( ) $ S $ 10. $S$&P500 ( ) 3 ( ) FF3 Model SMB HML $3FactorModel(\Delta\pi L+\Delta UC(IP))$ 5Factor Model $(\Delta\pi L+\Delta UC+FF3$ ( $IP$ $)$ ) $3FactorModel(\Delta\pi L+\Delta UC(IP))$ $5FactorModel(\Delta\pi L+\Delta UC+FF3$ $)$ (Return) SMB, HML SMB HML SMB, HML 8 $\Delta\pi^{L}$ $\Delta UC$

$62 CAPM $2F\kappa 1orMode\ovalbox{\tt\small REJECT}$ $2Fa\alpha or$ Model $2F\cdot\alpha or$ Model $3F*\omega rmode\ovalbox{\tt\small REJECT}$ FF3 Model $4F\kappa/or$ Model $4$Factor Model $5$ Factor$

16 62 CAPM $2F\kappa 1orMode\ovalbox{\tt\small REJECT}$ $2Fa\alpha or$ Model $2F\cdot\alpha or$ Model $3F*\omega rmode\ovalbox{\tt\small REJECT}$ FF3 Model $4F\kappa/or$ Model $4$Factor Model $5$ Factor Model $\langle MOM\rangle$ $(\Delta \mathfrak{n}l\rangle$ $\langle\lambda UC\rangle$ $(\Lambda\pi L\star\Delta UC $ $(FF3*MOM (\Delta \mathfrak{n}l*\delta UC*MOM) \mathfrak{n}l\ \cup C*FF3)$ $\pi_{l}$ $UC$ TOPIX Factor Model(MOM) CAPM 11% 2Factor Model(MOM) FF3 Model ( 30%) FF3 Model $4FactorModel(FF3+MOM)$ FF3 Model 13% $\Delta\pi^{L}$ $2$ Factor Model(MOM) $2FactorModel(\Delta\pi L)$ 6% 2 SMB HML 4 (3Factor Model FF3 Model, $4FactorModel(FF3+MOM),$ Factor Model( $(\Delta\pi L+\Delta UC)$ $4$ $\Delta\pi L+\Delta UC+$ MOM)$)$ FF3 Model $4$ Factor Model(FF3 MOM) FF3 Model $+$ 3Factor Model Factor Model( MOr $(\Delta\pi L+\Delta UC)$ $4$ $\Delta\pi L+\Delta UC+$

17 IV 4.3 IV 3 IV IV $3O$ 2. IV ( 10 ) TOPIX $\frac{\beta^{\pi}r^{2}}{atm0.138^{***}0.230}$ $\pi^{l}$ : IP $\frac{\beta^{\pi}r^{2}}{0.163^{***}0.234}$ OTM(500) $***$ $***$ OTM(1000) $***$ $211***$ OTM(500)-ATM $***$ $***$ $\underline{olm(1000)-alm0.036^{***} ^{***}0169}$ $***$ 1% 3. IV ( $3O$ ) TOPIX $\frac{\beta^{\pi}r^{2}}{atm0.120^{***}0.229}$ $\pi^{l}$ : IP $\frac{\beta^{\pi}r^{2}}{0.154^{***}0.276}$ OIM(500) $***$ $***$ OIM(1000) $***$ $***$ OTM(500)-ATM $***$ $***$ OTM(1000)-ATM $***$ $***$ $***$ 1% 2 3 TOPIX $IP$

$64 4.3 GARCH IV IV OTM(1000) 5 IV 10 30 10 30 10 30 10 30 IV 2 IV OTM IV ATM IV IV IV IV 3 IV 2 4 5 10 30 IV 4. IV (10 ) $\overline{\frac{ _{}: UC}{TOPIXIP}}$ $\frac{\beta^{uc}r^{2}}{atm-0.296^{**}0.$

18 GARCH IV IV OTM(1000) 5 IV IV 2 IV OTM IV ATM IV IV IV IV 3 IV IV 4. IV (10 ) $\overline{\frac{ _{}: UC}{TOPIXIP}}$ $\frac{\beta^{uc}r^{2}}{atm-0.296^{**}0.039}$ $\frac{\beta^{uc}r^{2}}{ }$ OTM(500) $**$ OIM(1000) $**$ $OTM(500)-AlM$ $OlM(1OOO)$ $A1M$ $*$ $**$ 5% $*$ 10%

19 65 5. IV (30 ) $\frac{m_{-\re Bfi \ovalbox{\tt\small REJECT}\Re : UC}^{-}\underline{--}}{TOPIXIP}$ $\frac{\beta^{uc}r^{2}}{atm-0.247^{**}0.035}$ $\frac{\beta^{uc}r^{2}}{ }$ $OM$(500) $**$ OIM(1000) $**$ OTM(500)-ATM OTM(1000)-A$1M$ $**$ $**$ 5% GARCH IV $-J^{\backslash }$ OTM(500)-ATM IV IV 5. Arzu(2009) 3 Arzu(2009)

20 66 ( ) IV IV TOPIX Arzu(2009) [1] Arzu Ozoguz Good Times or Bad Times? Investors Uncertainty and Stock Retums. The Review offinancial Studies 22: [2] Daisuke Sasaki, Koichi Miyazaki Credit Rating Matters in Contrarian Return-Evidence From the Japanese Equity Market-. Journal ofthe Operations Research Society ofjapan 55 (2) $: $ [3] David, A Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility. Journal offinancial and Quantitative Analysis 32: [4] Fama, E.., and J. D. MacBeth Risk, Retum and Equilibrium: Empirical Tests. Journal of $F$ Political Economy 81: [5] Fama, E.., and K.R. French Common Risk Factors in the Returns on Stocks and Bonds. $F$ Journal offinancial Economics 33 (1) $:3-56.$ [6] Hamilton, J. $D$ Time Series Analysis, Princeton: Princeton University Press.

21 67 [7] Lo, Andrew $W$., and Jiang Wang Trading Volume: Implications ofan Intertemporal Capital Asset Pricing Model. Journal offinance 61: [8] Merton, R. $C$ An IntertemPoral CaPital Asset Pricing Model. Econometrica 41: [9] Veronesi, P Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model. Review offinancial Studies 12: [10] : [11] (10) $: $ [12] ICAPM 1580: [13] (8) $: $ [14] (2) $:51-64.$ [15] : [16] (2) $:58-69.$ [17] (9) $: $ $\overline{t} $ $E$-mail address: t @edu.$cc.uec.ac$ jp : miyazaki@se.uec.ac jp

1 CAPM: I-,,, I- ( ) 1 I- I- I- ( CAPM) I- CAPM I- 1 I- Jensen Fama-French 3 I- Fama-French 3 I- Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 1 Fama-Fr

1 CAPM: I-,,, I- ( ) 1 I- I- I- ( CAPM) I- CAPM I- 1 I- Jensen Fama-French 3 I- Fama-French 3 I- Fama-MacBeth I- SMB-FL, HML-FL Fama-MacBeth 1 Fama-French (FF) 3 [5] (Capital Asset Pricing Model; CAPM