投資家の株式需要関数におけるボラティリティの限界効果と構造変化
|
|
|
- ようた くだら
- 9 years ago
- Views:
Transcription
1 Fama Semi-strong form
2 BIS
3 TOPIX Kamesaka, Nofsinger and Kawakita Choe, Kho and Stulz Grinblatt and Keloharju Kang and Stulz Choe et al. Dahlquist and Robertsson Kalev, Nguyen and Oh Froot and Ramadorai Kamesaka et al. Bae, Yamada and Ito Choe et al. Kamesaka et al. Kalev et al. Bae et al. Shefrin and Statman Odean Barber and Odean Griffin, Harris and Topaloglu
4
5 x it VOL t volatility (VOL t) volatility RTNt return RFR it risk free rate EXR t exchange rate DFi dummy variable x it j u error term i i { }t
6 .... TIY BIY SIY I Y ETF REIT
7 t x itb it S it x it n
8 n.. VOL t VOL I t Volatility Index Japan S & P VIX VOL H k t TOPIX k Pt TOPIX P _ k k VOL H t
9 .. RTNtTOPIX TOPIX TOPIX Pt RTNt TOPIX TOPIX
10 .. RFR t FF FRB RFR t.. EXR t Granger and Newbold Said and Dickey Augmented Dickey-Fuller test ADF.. X t t {X t} AR ( )
11 t t {Xt} Xt Xt t {Xt}.. ADF ADF ADF ADF (p) H c, H c None InterceptTrend & Interceptc t nc c ct ADF FF RFR t RFR t EXR t ADF model None Intercept Trend & Intercept t p t p t p x t x t VOL I t VOL H t RTNt FF RFR t RFR t EXRt n OLS
12 .. OLS OLS x t z t ã b b ã x _, y _, z _ x t, y t, z t b b b b b ã a.. z t u t Cov (z t, u t) Sargan J Cov (z t, u t).. z t x t z t x t Cragg and Donald Stock and
13 Yogo Cragg and Donald Stock and Yogo FF RFR trfr t EXRt x it VOL t volatility (VOL t) volatility RTNt return x it u error term VOL t, (VOL t), RTNt, RTNt, RTNt using Implied Volatility p... VOL I t -... (VOL I t )... RTNt... x t... n S.E.R.. J p.. Cragg-Donald F. Stock-Yugo critical values.
14 using Historical Volatility p... VOL H t -... (VOL H t ) -... RTNt... x t... n S.E.R.. J p.. Cragg-Donald F. Stock-Yugo critical values. using Implied Volatility p -... VOLt I... (VOLt I ) -... RTNt -... x t... n S.E.R.. J p.. Cragg-Donald F. Stock-Yugo critical values. using Historical Volatility p -... VOL H t -... (VOL H t )... RTNt -... x t... n S.E.R.. J p.. Cragg-Donald F. Stock-Yugo critical values.
15 RSSR RSSURSSU RSSU F r, n r F r n F p using Implied Volatility.. using Historical Volatility.. using Implied Volatility.. using Historical Volatility..
16 VOL I t (VOL I t ) (..VOL I t ) VOL I t. RTNt x t VOL H t (VOL th ) S.E.R. Choe et al. Kamesaka et al. VOL I t (VOL I t ) (..VOL I t ) VOL I t. RTNt x t H VOL H t (VOL t ) S.E.R.
17 OLS
18 EViews RIETI -J- - Bae, K.E.E.H., T. Yamada, and K. Ito ( ) How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan, International Review of Finance, Vol., No. -, pp. -. Barber, B.M. and T. Odean ( ) Trading is hazardous to your wealth: The common stock investment performance of individual investors, The Journal of Finance, Vol., No., pp. -. Choe, H., B.C. Kho, and R.M. Stulz ( ) Do foreign investors destabilize stock markets? The Korean experience in, Journal of Financial Economics, Vol., No., pp. -. Cragg, J.G. and S.G. Donald ( ) Testing identifiability and specification in instrumental variable models, Econometric Theory, Vol., pp. -. Dahlquist, M. and G. Robertsson ( ) Direct foreign ownership, institutional investors, and firm characteristics, Journal of Financial Economics, Vol., No., pp. -. Fama, Eugene F ( ) Efficient Capital Markets: A Review of Theory and EmpiricalWork, Journal of Finance, Vol., No., pp. -. Froot, K.A. and T. Ramadorai ( ) The information content of international portfolio flows, Technical report, National Bureau of Economic Research. Granger, C.W.J. and P. Newbold ( ) Spurious regressions in econometrics, Journal of econometrics, Vol., No., pp. -. Griffin, J.M., J.H. Harris, and S. Topaloglu ( ) The dynamics of institutional and individual trading, The Journal of Finance, Vol., No., pp. -. Grinblatt, M. and M. Keloharju ( ) The investment behavior and performance of various investor types: a study of Finland's unique data set, Journal of Financial Economics, Vol., No., pp. -. Kalev, P.S., A.H. Nguyen, and N.Y. Oh ( ) Foreign versus local investors: Who knows more? Who makes
19 more? Journal of Banking Finance, Vol., No., pp. -. Kamesaka, A., J.R. Nofsinger, and H. Kawakita ( ) Investment patterns and performance of investor groups in Japan, Pacific-Basin Finance Journal, Vol., No., pp. -. Kang, J.K. and R.M. Stulz ( ) Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan, Journal of Financial Economics, Vol., No., pp. -. Odean, T. ( ) Are investors reluctant to realize their losses? The Journal of Finance, Vol., No., pp. -. Said, S.E. and D.A. Dickey ( ) Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, Vol., No., pp. -. Sargan, J.D. ( ) Wages and prices in the United Kingdom: a study in econometric methodology, Econometric analysis for national economic planning, Vol., pp. -. Shefrin, H. and M. Statman ( ) The disposition to sell winners too early and ride losers too long: Theory and evidence, Journal of Finance, Vol., pp. -. Stock, J.H. and M. Yogo ( ) Testing for weak instruments in linear IV regression.
23_02.dvi
Vol. 2 No. 2 10 21 (Mar. 2009) 1 1 1 Effect of Overconfidencial Investor to Stock Market Behaviour Ryota Inaishi, 1 Fei Zhai 1 and Eisuke Kita 1 Recently, the behavioral finance theory has been interested
わが国企業による資金調達方法の選択問題
* [email protected] ** [email protected] *** [email protected] No.05-J-3 2005 3 103-8660 30 No.05-J-3 2005 3 1990 * [email protected] ** [email protected]
fiúŁÄ”s‘ê‡ÌŁª”U…−…X…N…v…„…~…A…•‡Ì ”s‘ê™´›ß…−…^†[…fiŠ‚ª›Âfl’«
2016/3/11 Realized Volatility RV 1 RV 1 Implied Volatility IV Volatility Risk Premium VRP 1 (Fama and French(1988) Campbell and Shiller(1988)) (Hodrick(1992)) (Lettau and Ludvigson (2001)) VRP (Bollerslev
autocorrelataion cross-autocorrelataion Lo/MacKinlay [1988, 1990] (A)
![autocorrelataion cross-autocorrelataion Lo/MacKinlay [1988, 1990] (A)](/thumbs/93/112038541.jpg "autocorrelataion cross-autocorrelataion Lo/MacKinlay [1988, 1990] (A)")
Discussion Paper Series A No.425 2002 2 186-8603 [email protected] 14 1 24 autocorrelataion cross-autocorrelataion Lo/MacKinlay [1988, 1990] 1990 12 13 (A) 12370027 13 1 1980 Lo/MacKinlay [1988]
50-4 平井健之.pwd
GDP GNP Gupta 1967, Wagner and Weber 1977, Mann 1980, Abizadeh and Gray 1985, Ram 1987, Abizadeh and Yousefi 1988, Nagarajan and Spears 1990 GDP GNP GDP GNP GDP GNP Adolph Wagner Wagner 1967 Ram 1987,
上場変更と株価：株主分散と流動性変化のインパクト
Merton Amihud and Mendelson NASDAQ JASDAQ JASDAQ JASDAQ QUICK [email protected] [email protected] [email protected] [email protected] JASDAQ JASDAQ Merton
オーストラリア研究紀要 ３６号（Ｐ）☆／３．橋本
36 p.9 202010 Tourism Demand and the per capita GDP : Evidence from Australia Keiji Hashimoto Otemon Gakuin University Abstract Using Australian quarterly data1981: 2 2009: 4some time-series econometrics
アジアの資本移動の変化に関するクラスター分析 アジア域内の証券投資活性化に向けて
* ** 199 1 1996-97 relation * ** Seoul conference China and Emerging Asia: Reorganizing the Global Economy? held by KIEP and Seoul National University 26 5 11-12 Hugh Patrick Yung-Chul Park 26 9 9-1 East
Microsoft Word - Šv”|“Å‘I.DOC
90 ª ª * [email protected] i ii iii iv SNA 1 70 80 2 80 90 80 80 90 1 80 90 98 6 1 1 SNA 2 1 SNA 80 1SNA 1 19931998 1 2-190 1,2 2 2-2 2-3,4 3 2-5 4 2030 2-3 3 2-15 97 20 90 2-15 9198 1.
公務員倫理問題への新アプローチ
OECD CPI CPI CPI CPI CPI CPI / GDP / / / /.............................. Transparency International Corruption Perception Index CPI CPI 30 25 20 15 10 5 0 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007
, 3, 1999, 4,,
1, 1992 2005,,, 10 2,, 1992 1998 1,,, 1998 2002 2,, 3,,, 2002, 2002 3 1 2 1 , 3, 1999, 4,, 3 14 11 2 I, 10,, 1992 2005, 2,, 3, 4,, II,, 1992 1998 1,, 1998 2002 2 2002 3 II-1: 1 1993 1998 90,, 1995 6850,,
082_rev2_utf8.pdf
3 1. 2. 3. 4. 5. 1 3 3 3 2008 3 2008 2008 3 2008 2008, 1 5 Lo and MacKinlay (1990a) de Jong and Nijman (1997) Cohen et al. (1983) Lo and MacKinlay (1990a b) Cohen et al. (1983) de Jong and Nijman (1997)
産業・企業レベルデータで見た日本の経済成長.pdf
2003 11 10 IT IT JIP JCER ) 2003 CD-ROM http://www.esri.go.jp/jp/archive/bun/bun170/170index. html 1 JIP Jorgenson, Mun, andstiroh (2002) GDP 2 3 1951 1954 1957 1960 1963 1966 1969 1972 1975 1978 1981
Ł\”ƒ1PDFŠp
48 2006 89 103 Keiji ABE This article investigates the first-day return and underwriter s ability on initial public offerings (IPOs). First, we find that, on average, offer prices of 405 IPOs listed on
高齢化とマクロ投資比率―国際パネルデータを用いた分析―
196 2017 * ** ** ** ** 160 2 2 JEL Classification Codes E21, E22, J11 Keywords * ESRI 28 ESRI 29 3 17 ESRI ** 115 196 Population Aging and Domestic Investment An Analysis Using International Panel Data
Journal of Economic Behavior & Organization Quarterly Journal of Economics Review of Economics and Statistics Internal Labor Markets and Manpower Analysis Economics of Education Review Journal of Political
60 Vol. 44 No. 1 2 準市場 化の制度的枠組み: 英国 教育改革法 1988 の例 Education Reform Act a School Performance Tables LEA 4 LEA LEA 3
Summer 08 59 I はじめに quasi market II III IV V 1 II 教育サービスにおける 準市場 1 教育サービスにおける 準市場 の意義 Education Reform Act 1988 1980 Local Education Authorities LEA Le Grand 1991 Glennerster 1991 3 1 2 3 2 60 Vol. 44
untitled
2009 4 GCC 2000 2000 2006 GDP 65 60 70 78 82 115 2008 1970 2000 1 2 3 4 1 1. UAE UAE 7 [2003] UAE 1985 2000 UAE GDP GDP 2000 76.1 2006 62.7 1980 2000 2004 1 UAE 2000 15.5 2006 12.3 GDP 2000 2001 2002 2003
Walter et al. 2009: 1 Helleiner 1994 Strange 1971: Gilpin 1987: -65 Strange b, 1998c,
54 2012 77 92 E. Yano Shuichi 2011 11 2008 40 19821997 1998 LTCM 2001 IT 2007 1970 International Political Economy Helleiner 1994 54 2012 Walter et al. 2009: 1 Helleiner 1994 Strange 1971: Gilpin 1987:
BJ-No.7 01 三好秀和.indd
Vol. 72013 1 1 AIJ 1 AIJ AIJ AIJ AIJ 1 2 3 4 AIJ 2 1986 1986 1 21986 2007 7 2 Vol. 7 3 4 1986 1986 5 5 6 31981 1984 1986 23 3 23 3 247 502 6 22 17 26.4 19.8 5 4 18 7 12 16 10915 200737 41 AIJ 52007 7 62011
OECD Benartzi and Thaler Brown et al. Mottla and Utkus Rooiji et al. Atkinson et al. MacFarland et al. Elton et al. Tang et al. Benartzi and Thaler Br
IFRS. OECD Benartzi and Thaler Brown et al. Mottla and Utkus Rooiji et al. Atkinson et al. MacFarland et al. Elton et al. Tang et al. Benartzi and Thaler Brown et al. /n Benartzi and Thaler n /n Benartzi
IMES DISCUSSION PAPER SERIES Discuss ssion Paper No. 98-J-2 INSTITUTE FOR MONETARY AND ECONOMIC STUDIES BANK OF JAPAN 100-8630 203 IMES Discuss ssion Paper Series 98-J-2 1998 1 VaRVWAP E-mail: [email protected]
カルマンフィルターによるベータ推定（ ）
β TOPIX 1 22 β β smoothness priors (the Capital Asset Pricing Model, CAPM) CAPM 1 β β β β smoothness priors :,,. E-mail: [email protected]., 104 1 TOPIX β Z i = β i Z m + α i (1) Z i Z m α i α i β i (the
自由集会時系列part2web.key
spurious correlation spurious regression xt=xt-1+n(0,σ^2) yt=yt-1+n(0,σ^2) n=20 type1error(5%)=0.4703 no trend 0 1000 2000 3000 4000 p for r xt=xt-1+n(0,σ^2) random walk random walk variable -5 0 5 variable
Stepwise Chow Test * Chow Test Chow Test Stepwise Chow Test Stepwise Chow Test Stepwise Chow Test Riddell Riddell first step second step sub-step Step
Stepwise Chow Test * Chow Test Chow Test Stepwise Chow Test Stepwise Chow Test Stepwise Chow Test Riddell Riddell first step second step sub-step Stepwise Chow Test a Stepwise Chow Test Takeuchi 1991Nomura
A5 PDF.pwd
Kwansei Gakuin University Rep Title 日 本 版 不 動 産 投 資 信 託 ( J-REIT) における 利 益 相 反 問 題 Author(s) Kojima, Koji, 児 島, 幸 治 Citation 商 学 論 究, 63(3): 359-375 Issue Date 2016-03-10 URL http://hdl.handle.net/10236/14192
headquarter Gertner et al. winner-picking Wal-Mart s
CJEB The financial strategies of Japanese multinational enterprises and internal capital market, Columbia Business School, CJEB, Working Paper No., April,. headquarter Gertner et al. winner-picking Wal-Mart
LA-VAR Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2)
LA-VAR 1 1 1973 4 2000 4 Toda- Yamamoto(1995) VAR (Lag Augmented vector autoregressive model LA-VAR ) 2 2 Nordhaus(1975) 3 1 (D2) E-mail [email protected] 2 Toda, Hiro Y. and Yamamoto,T.(1995) 3
Title ベンチャー企業の研究開発支出の決定要因 日本と台湾の事例を中心に Author(s) 蘇, 顯揚 Citation 經濟論叢 (1996), 158(1): Issue Date URL Right
Title ベンチャー企業の研究開発支出の決定要因 日本と台湾の事例を中心に Author(s) 蘇, 顯揚 Citation 經濟論叢 (1996), 158(1): 54-76 Issue Date 1996-07 URL https://doi.org/10.14989/45083 Right Type Departmental Bulletin Paper Textversion publisher
日本の高齢者世帯の貯蓄行動に関する実証分析
196 2017 * ** ** 1 2 3 JEL Classification Codes D14, D15, E21 Keywords * 28 Hyun- Hoon Lee Robert Owen Kwanho Shin ** 29 196 An Empirical Analysis of the Saving Behavior of Elderly Households in Japan
,.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i
![,.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i](/thumbs/41/22289268.jpg ",.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i")
200520866 ( ) 19 1 ,.,.,,. [15],.,.,,., 2003 3 2006 2 3. 2003 3 2004 2 2004 3 2005 2, 1., 2005 3 2006 2, 1., 1,., 1,,., 1. i 1 1 1.1..................................... 1 1.2...................................
- March IMF IMF IMF ITO The General Agreement on Tariffs and Trade
M&A IMF IMF gold tranche - March IMF IMF IMF ITO The General Agreement on Tariffs and Trade IMF IMF IMF GATT OECD OECD BITs. - March. U I = I (r m, i, Z * r m i Z * (= Z / Z) I / r m > I / i < I / Z *
,.,,.,. NIRA,.,.,,, GDP.,., 1%, 2.0% 3).,,.,,., 1, 4).,,.,, GDP,.,,.,,,.,,., 2002.,,., 3), Q&A Q16 (http://www.stat.go.jp/data/kakei/qa-1.ht
1, 1, 2011 4 3-28,,.,,.,.,,.,,.,,.,.,. 1., 1), 1946.,, GDP,.,,,.,,., (2008) ( NIRA ), 23,.,,, 2).,,,.,,.,,., 657-8501 2-1, E-mail: [email protected] 1) 1. 2), 1990 2 21, 1993 6 12. 3 1 1 2011
Title Author(s) Kobe University Repository : Kernel 組 織 改 革 とパフォーマンス : 事 業 部 制 組 織 導 入 に 関 する 実 証 研 究 の 文 献 レビューとカンパニー 制 研 究 へのインプ リケーション 加 登, 豊 / 安 酸, 建 二 / 島, 吉 伸 Citation 国 民 経 済 雑 誌, 189(4): 45-66
z.prn(Gray)
1. 90 2 1 1 2 Friedman[1983] Friedman ( ) Dockner[1992] closed-loop Theorem 2 Theorem 4 Dockner ( ) 31 40 2010 Kinoshita, Suzuki and Kaiser [2002] () 1) 2) () VAR 32 () Mueller[1986], Mueller ed. [1990]
, 1), 2) (Markov-Switching Vector Autoregression, MSVAR), 3) 3, ,, , TOPIX, , explosive. 2,.,,,.,, 1
2016 1 12 4 1 2016 1 12, 1), 2) (Markov-Switching Vector Autoregression, MSVAR), 3) 3, 1980 1990.,, 225 1986 4 1990 6, TOPIX,1986 5 1990 2, explosive. 2,.,,,.,, 1986 Q2 1990 Q2,,. :, explosive, recursiveadf,
4.9 Hausman Test Time Fixed Effects Model vs Time Random Effects Model Two-way Fixed Effects Model
1 EViews 5 2007 7 11 2010 5 17 1 ( ) 3 1.1........................................... 4 1.2................................... 9 2 11 3 14 3.1 Pooled OLS.............................................. 14
株式保有構成と企業価値 ─コーポレート・ガバナンスに関する一考察─
q E-mail: [email protected] E-mail: [email protected] OECD Vives Tirole Shleifer and Vishny q %% %% % % Allen and Gale %% % Admati, Pfreiderer and Zechner Burkart, Gromb and Panunzi Cremer 1995Pagno
橡AIMRﾓﾉｸﾞﾗﾌ（荻島）.PDF
CIRJE-J-36 2000 12 (Cross-shareholdings and Equity Valuation in Japan) 2000 12 11 1 Abstract This paper reports our extensive study on the cross-shareholdings among Japanese companies and their impact
2007年度 修士論文
Interconnectedness in Triple Mission Model Variables for J-League Club 目次 1. 序章 5 2 章研究方法 8 3 章結果 1 8 3-1 勝利 8 3-2 普及 9 3-2-1 するスポーツ ( 登録選手数 ) 9 3-2-2 観るスポーツ ( 観客数 ) 10 3-3 市場 11 3-4 分析の枠組みの設計 12 3-5 トリプルミッションモデルの分析モデル
43 2 PD DR Sommar and Shahnazarianka [19] Simons and Rolwes [17] GDP Figlewski, Frydman and Liang [7] GDP Bonfim [2] 3 Bhattacharjee et al. [1] 2002 [
![43 2 PD DR Sommar and Shahnazarianka [19] Simons and Rolwes [17] GDP Figlewski, Frydman and Liang [7] GDP Bonfim [2] 3 Bhattacharjee et al. [1] 2002 [](/thumbs/88/115901185.jpg "43 2 PD DR Sommar and Shahnazarianka [19] Simons and Rolwes [17] GDP Figlewski, Frydman and Liang [7] GDP Bonfim [2] 3 Bhattacharjee et al. [1] 2002 [")
Transactions of the Operations Research Society of Japan Vol. 55, 2012, pp. 42 65 c ( 2011 10 25 ; 2012 3 1 ) ( PD) ( DR) 2007 DR PD 54 PD DR 0.72% PD :,,,,, 1. 1 ( PD: Probability of Default) 10 ( DR:
aragciv54mac.dvi
2013 3 25 ( 4 ) Modigliani-Miller(1963) 1 1 1 IRR ( ) NPV IRR NPV IRR NPV IRR 100 EBIT 20 20% τ (1 τ) 20% CC tax = S V ρ S + B V (1 τ)ρ B (1) S B V ρ S CAPM 1 ρ B *1 (1) MM *2 ( ) MM MM ( ) MM (1 τ) 20%
遺産相続、学歴及び退職金の決定要因に関する実証分析 『家族関係、就労、退職金及び教育・資産の世代間移転に関する世帯アンケート調査』
2-1. (2-1 ) (2-2 ) (2-3 ) (Hayashi [1986]Dekle [1989]Barthold and Ito [1992] [1996]Campbell [1997] [1998]Shimono and Ishikawa [2002]Shimono and Otsuki [2006] [2008]Horioka [2009]) 1 2-1-1 2-1-1-1 8 (1.
4703ALL01
473201010 *** (1999) 16 2017 20023 2 1 2 1220 (1999a),(1999b) (1998), (2002) (2003)(1999)(2003) Conjoint Analysis Conjoint Analysis Willingness to PayStandard gamble Time trade-off Rating Scale Willingness
NEXT FUNDS NASDAQ-100 連動型上場投信 TOPIX Exchange Traded Fund Year Index Value Daily NAV Daily Return Unit NAV -Month Day Return (per Unit) Return Differential Outstanding (i) The TOPIX Index Value and the
NEXT FUNDS NASDAQ-100 連動型上場投信 TOPIX Exchange Traded Fund Year Index Value Daily NAV Daily Return Unit NAV -Month Day Return (per Unit) Return Differential Outstanding (i) The TOPIX Index Value and the