Empirical study of interdependence between different types of asset classes in international financial markets
| Project/Area Number |
15K03552
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Chuo University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2017: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2016: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2015: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
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| Keywords | 相互依存（interdependence） / 時系列分析 / アセット・プライシング / 国際連関 / 相互依存(interdependence) |
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| Outline of Final Research Achievements |
This study is to conduct empirical studies of interdependence between different types of asset classes in international financial markets. Introducing one of the research publications from this research, we clarified that increases of implied volatility in the US well forecast Japanese large stock market declines. In this study, we examined the international interdependence between different types of asset classes in the US and Japanese financial markets from the viewpoint of downside risk, and the result of this study well represents the effectiveness and importance of investigating interdependence between different asset classes in international financial markets.
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Report
(4 results)
Research Products
(15 results)
