Studies on international spillovers of asset price fluctuations in financial markets
| Project/Area Number |
18K01703
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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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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Chuo University |
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Principal Investigator |
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| Project Period (FY) |
2018-04-01 – 2022-03-31
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| Project Status |
Completed (Fiscal Year 2021)
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| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2021: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2020: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2019: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2018: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
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| Keywords | スピルオーバー / アセット・プライシング / 金融市場間の波及・連動性 / 計量分析 / 多変量解析 |
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| Outline of Final Research Achievements |
This study is to conduct quantitative research of international spillovers between various assets, which mainly focuses on international financial markets. Some of the favorable outcomes are as follows. First, this study clarified the spillover effects between international banking sector equities. Second, this study also revealed the spillover effects between crude oil and oil equities from a global perspective. Furthermore, this study also uncovered the spillover effects between crude oil, biofuel crops, and US and European equities. These results well represent the achievements from quantitative analysis of this study as to international spillovers between specific sector assets or between different types of assets by applying new quantitative approaches.
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| Academic Significance and Societal Importance of the Research Achievements |
本研究は、金融及び関連する各種市場における種々の資産間の国際的なスピルオーバー(資産の変動性の他資産や他市場への漏出(spillovers))の状況・効果に関する実証・計量的な解明を目的とするものであった。本研究により、全てとはいかないものの、各種の資産が、どのような形で国際的に相互に繋がっているかが解明された。即ち、より具体的な意味合いとしては、本研究により今後世界的な視野で種々の事象を学術的・社会的に見ていくうえで有用な新しい証拠が複数提示できたと考える。これらが本研究とその成果の学術的及び社会的な意義である。
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Report
(5 results)
Research Products
(14 results)
