| Project/Area Number |
20330065
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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 | Nagoya University |
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Principal Investigator |
KATO Hideaki 名古屋大学, 経済学研究科, 教授 (80177435)
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| Co-Investigator(Kenkyū-buntansha) |
TSUTSUI Yoshiro 大阪大学, 経済学研究科, 教授 (50163845)
NAKAJIMA Hideki 名古屋大学, 経済学研究科, 准教授 (90510214)
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| Co-Investigator(Renkei-kenkyūsha) |
TAKAHASHI Hiroshi 慶應義塾大学, 経営管理研究科, 准教授 (60420478)
HIRAYAMA Kenjiro 関西学院大学, 経済学部, 教授 (70165207)
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| Project Period (FY) |
2008 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥14,170,000 (Direct Cost: ¥10,900,000、Indirect Cost: ¥3,270,000)
Fiscal Year 2010: ¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2009: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2008: ¥6,240,000 (Direct Cost: ¥4,800,000、Indirect Cost: ¥1,440,000)
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| Keywords | ファイナンス / 行動ファイナンス / 投資家行動 / 個人投資家 / 損失回避行動 / ハーディング / ネット取引 |
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| Research Abstract |
Focusing on the investment behavior of margin traders under the standardized margin transactions, we find that the increase in margin buying predicts the increase in future stock price. Our finding implies that individual investors, considered to be as irrational traders, have the information advantage over other investors. This is completely opposite to the findings in the past literature. As per the study on stock investors in Japan and the U. S. using questionnaire survey, we showed that change in investors' expectation played an important role in causing a long slump in 1990s and that the IT bubble in the U. S. in the late of 1990s was not a rational one, Furthermore, we investigated interdependencies of stock prices between Japan and China to find that there exists uni-directionally causality from China to Japan ; in other words, Chinese stock prices do not respond to those of Japan(Tsutsui and Hirayama, 2009).
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