Statistical analysis of switching states in stock market
| Project/Area Number |
21730256
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Rikkyo University |
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Principal Investigator |
SHIBATA Mai Rikkyo University, 経営学部, 助教 (70448653)
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| Project Period (FY) |
2009 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2010: ¥390,000 (Direct Cost: ¥300,000、Indirect Cost: ¥90,000)
Fiscal Year 2009: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | TOPIX / ブル・ベア市場 / マルコフ・スイッチング / ボラティリティ / 持続期間 |
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| Research Abstract |
This is the statistical research for stock market's return series, especially middle to long term fluctuations in the return series. In this research, we investigate how the mean of the return series fluctuates, focusing on upward or downward trend. And we identify the switching point from upward (downward) to downward (upward) trend phase using statistical models. Using the relationship between the mean cyclical behavior and variance in the return series, we can identify the stock market's phases as statistically. And we investigate causes of the cyclical behavior in the stock return series.
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Report
(3 results)
Research Products
(3 results)
