Systemic risk in financial markets
| Project/Area Number |
17K13759
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Money/ Finance
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| Research Institution | International University of Japan (2019-2020)
Tohoku University (2017-2018) |
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Principal Investigator |
CHUANG HONGWEI 国際大学, 国際経営学研究科, 准教授(移行) (70732551)
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| Project Period (FY) |
2017-04-01 – 2021-03-31
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| Project Status |
Completed (Fiscal Year 2020)
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| Budget Amount *help |
¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2020: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2019: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2018: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2017: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | Asset Pricing / Risk Management / Momentum / Systemic Risk / Momentum Strategy / Financial Crisis / Fama-French Factors / Institutional investors / Herding / Momentum effect / systemic risk / financial network / CPIS / ファイナンス |
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| Outline of Final Research Achievements |
This project answers: (1) What are the factors that can explain the stick return?, and (2) Whether this factor can become a systemic factor? The research outputs have not only provided alternative factors that can significantly explain the stock return but also propose an indicator to determine the status of systemic risk in a stock market. These findings shed a light on the asset pricing and risk management literature.
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| Academic Significance and Societal Importance of the Research Achievements |
My research results provided more analytical methodologies from different perspectives than the conventional methods in contributing to the field of studying systemic risk in markets.
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Report
(5 results)
Research Products
(7 results)
