| Project/Area Number |
19330071
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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 | Musashi University |
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Principal Investigator |
MARU Junko Musashi University, 経済学部, 教授 (30239149)
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| Co-Investigator(Kenkyū-buntansha) |
TOKUNAGA Toshifumi 武蔵大学, 経済学部, 教授 (30329750)
OHNO Sanae 武蔵大学, 経済学部, 准教授 (40307145)
ITO Nariyasu 武蔵大学, 経済学部, 教授 (60203155)
IMAI Hidehiko 武蔵大学, 経済学部, 教授 (90184803)
KUBOTA Keiichi 中央大学, 戦略経営研究科, 教授 (00120858)
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| Project Period (FY) |
2007 – 2009
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| Project Status |
Completed (Fiscal Year 2009)
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| Budget Amount *help |
¥16,900,000 (Direct Cost: ¥13,000,000、Indirect Cost: ¥3,900,000)
Fiscal Year 2009: ¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2008: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2007: ¥8,190,000 (Direct Cost: ¥6,300,000、Indirect Cost: ¥1,890,000)
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| Keywords | 流動性 / 市場構造 / 情報効率 / 質への逃避 / 投資家行動 / 信用リスク |
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| Research Abstract |
The purposes of this research project are two-folds ; to investigate effects of risk factors on asset prices, and to analyze relationship between liquidity and market microstructure. The research reports that liquidity squeeze and counterparty risk from financial guarantees had enormous impacts on asset prices during the global financial crisis. As for the second research purpose, it has been also found that return reversal are likely to be prominent for illiquid markets or markets in stagnated economic conditions. Furthermore it infers that the new quarterly disclosure reporting requirements helped reduce the degree of private information-based trades, leading to price stability.
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