| Project/Area Number |
17K03824
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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 | Nagoya University of Commerce & Business |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2020-03-31
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| Project Status |
Completed (Fiscal Year 2019)
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| Budget Amount *help |
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2019: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2018: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Keywords | 外国人投資家 / 金融危機 / ファイヤー・セール / 脆弱性 / 機関投資家 / 市場の脆弱性 / グローバル金融危機 / 株式の脆弱性 / ファイナンス |
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| Outline of Final Research Achievements |
As preliminary results, we show that, during the global financial crisis years from 2007 to 2008, Japanese stocks with a higher foreign investors’ ownership, those with a higher sensitivity of their ownership to their money flows into Japanese stock market before the crisis, and those with a larger increase in their ownership during two years before the crisis experienced a larger decline in their ownership. We also show that stocks with a larger decline in foreign investors’ownership during years 2007 to 2008 suffered from a sharper drop in the price, and higher volatility.
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| Academic Significance and Societal Importance of the Research Achievements |
我々の研究結果は、グローバル金融危機に際し、外国人投資家が日本株を大規模に売却し、ファンダメンタルズ要因では説明できないような影響を株価にもたらす可能性があることを示している。これは機関投資家及び個人投資家の資金運用におけるリスク・マネジメントに示唆を与えることになるだろう。また企業金融への応用、例えば長期保有を行う投資家への優遇措置を伴う証券の発行を再考する議論の契機にもなるだろう。更に、政策対応の議論の契機ともなるだろう。
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