| Project/Area Number |
18330070
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Nagasaki University |
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Principal Investigator |
SUSAI Masayuki (MASAYUKI Susai) Nagasaki University, 経済学部, 教授 (40206454)
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| Co-Investigator(Kenkyū-buntansha) |
FUJITA Wataru 長崎大学, 経済学部, 教授 (30264196)
FUKUZAWA Katsuhiko 長崎大学, 経済学部, 教授 (00208935)
MORIYASU Hiroshi 長崎大学, 経済学部, 准教授 (10304924)
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| Project Period (FY) |
2006 – 2009
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| Project Status |
Completed (Fiscal Year 2009)
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| Budget Amount *help |
¥17,540,000 (Direct Cost: ¥14,900,000、Indirect Cost: ¥2,640,000)
Fiscal Year 2009: ¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2008: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2007: ¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2006: ¥6,100,000 (Direct Cost: ¥6,100,000)
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| Keywords | マーケットセンチメント / AHP投資行動バイアス / 市場のミクロ構造 / 超高頻度データ / 外国為替市場 / オーダーフロー / リーマンショック / 市場のセンチメント / 多変量非線形時系列モデル / AHP / 投資行動バイアス / 高頻度データ |
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| Research Abstract |
In this research, we are exploring the relations between behavioral biases of investors and market sentiment through the analysis with quantitative and qualitative data such as ultra high frequent data, survey and hearing. From the survey and hearing to the Fund Managers in financial institutions in Tokyo market, we find that there exists the difference between risk perception and risk attitude even in professional investors. Among the investors showing inconsistency between risk perception and risk attitude, we can point out the behavioral biases. The tendency above is obvious especially in the market that unknown event occurs. From the econometric analysis with ultra high frequent FX data, we find that the volatility structure in FX market is different when unknown event such as Lehman's shock occurs. Therefore, we conclude that investors with risk inconsistency can be showing behavioral biases when they face the unknown event, and the dealings by such investors may have significant impact on volatility structure.
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