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Interdependencies in Financial and Physical Asset Markets and their Effects on Investments and Risk Management.

Research Project

Project/Area Number 22330094
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionHitotsubashi University

Principal Investigator

OHASHI Kazuhiko  一橋大学, 大学院・国際企業戦略研究科, 教授 (50261780)

Co-Investigator(Kenkyū-buntansha) HAYASHI Fumio  一橋大学, 大学院・国際企業戦略研究科, 教授 (80159095)
HONDA Toshiki  一橋大学, 大学院・国際企業戦略研究科, 教授 (70303063)
OKIMOTO Tatsuyoshi  一橋大学, 大学院・国際企業戦略研究科, 准教授 (70420304)
Project Period (FY) 2010 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥17,160,000 (Direct Cost: ¥13,200,000、Indirect Cost: ¥3,960,000)
Fiscal Year 2012: ¥5,200,000 (Direct Cost: ¥4,000,000、Indirect Cost: ¥1,200,000)
Fiscal Year 2011: ¥5,460,000 (Direct Cost: ¥4,200,000、Indirect Cost: ¥1,260,000)
Fiscal Year 2010: ¥6,500,000 (Direct Cost: ¥5,000,000、Indirect Cost: ¥1,500,000)
Keywordsファイナンス / 金融市場 / 相関構造 / 商品先物 / 最適ポートフォリオ / パラメータ推定誤差 / 超過共変動 / マルコフスイッチングVARモデル / 平滑推移動的条件付き相関モデル / 新興国通貨 / 最小分散ポートフォリオ / マルコフスイッチングモデル / 相互依存性 / 共和分 / 超過リターン / 排出権価格 / 通貨の取引費用 / 大域的最少分散ポートフォリオ / 平滑推移モデル / コピュラ
Research Abstract

We analyzed asset prices and returns by incorporating linkages and relations among financial and physical asset markets. More precisely, we investigate theoretically and empirically the return characteristics of crude oil, heating oil, electricity, natural gas, emission allowance, several emerging currencies, interest rates, the global minimum variance portfolio, SRI and stock markets, short- and long-term bonds of several countries, and crude oil and price index of clean energy companies, by explicitly incorporating their interdependencies.

Report

(4 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • Research Products

    (49 results)

All 2013 2012 2011 2010 Other

All Journal Article (25 results) (of which Peer Reviewed: 23 results) Presentation (24 results)

  • [Journal Article] Emission Allowance as a Derivative on Commodity-Spread2013

    • Author(s)
      Katsushi Nakajima and Kazuhiko Ohashi
    • Journal Title

      Asia-Pacific FinancialMarkets

      Volume: Vol.20 Pages: 183-217

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] The Fundamentals of Commodity Returns2013

    • Author(s)
      Gary Gorton, Fumio Hayashi, and Geert Rouwenhorst
    • Journal Title

      Review of Finance

      Volume: Vol.17 Pages: 35-105

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Does the Price of Oil Interact with Clean Energy Prices in the Stock Market?2013

    • Author(s)
      Shunsuke Managi, and Tatsuyoshi Okimoto
    • Journal Title

      Japan and the World Economy

      Volume: Vol. 27 Pages: 1-9

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Emission Allowance as a Derivative on Commodity-Spread2013

    • Author(s)
      Katsushi Nakajima and Kazuhiko Ohashi
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 20 Pages: 183-217

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Fundamentals of Commodity Futures Returns2013

    • Author(s)
      Gary Gorton, Fumio Hayashi, and Geert Rouwenhorst
    • Journal Title

      Review of Finance

      Volume: 17 Issue: 1 Pages: 35-105

    • DOI

      10.1093/rof/rfs019

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Does the Price of Oil Interact with Clean Energy Prices in the Stock Market?2013

    • Author(s)
      Managi, Shunsuke, Okimoto, Tatsuyoshi, Matsuda, Akimi
    • Journal Title

      Japan and the World Economy

      Volume: 27 Pages: 1-9

    • DOI

      10.1016/j.japwor.2013.03.003

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Cointegrated Commodity Pricing Model2012

    • Author(s)
      Katsushi Nakajima and Kazuhiko Ohashi
    • Journal Title

      Journal of Futures Markets

      Volume: Vol.32 Pages: 995-1033

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Dynamic Optimal Pension Portfolios when Risk Preferences are Heterogenous among Pension Participants2012

    • Author(s)
      Toshiki Honda
    • Journal Title

      International Review of Finance

      Volume: Vol. 12 Pages: 329-355

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Do Socially Responsible Investment Indexes Outperform Conventional Indexes?2012

    • Author(s)
      Shunsuke Managi, Tatsuyoshi Okimoto, and Akimi Matsuda
    • Journal Title

      Applied Financial Economics

      Volume: Vol.22 Pages: 1511-1527

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] 株式市場インデッ クスの再検討-リスク削減とインデックスへの分散投資効果-2012

    • Author(s)
      本多俊毅 ・高橋克典
    • Journal Title

      証券アナリストジャー ナル

      Volume: Vol.49 Pages: 91-101

    • NAID

      40019163067

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] マクロ経済と公的年金財政: 公的年金積立金運用の視点から2012

    • Author(s)
      本多俊樹
    • Journal Title

      現代ファイナンス

      Volume: Vol.32 Pages: 55-85

    • NAID

      130007528339

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Dynamic Optimal Pension Fund Portfolios when Risk Preferences are Heterogeneous among Pension Participants2012

    • Author(s)
      Toshiki Honda
    • Journal Title

      International Review of Finance

      Volume: 12 Pages: 329-355

    • Related Report
      2012 Annual Research Report 2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] マクロ経済と公的年金財政 —公的年金積立金運用の視点から—2012

    • Author(s)
      本多俊毅
    • Journal Title

      現代ファイナンス

      Volume: 32 Pages: 55-85

    • NAID

      130007528339

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Cointegrated Commodity Pricing Model2012

    • Author(s)
      Katsushi Nakajima, Kazuhiko Ohashi
    • Journal Title

      Journal of Futures Markets

      Volume: (forthcoming)(掲載確定)

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 株式市場インデックスの再検討---リスク削減とインデックスへの分散投資効果---2012

    • Author(s)
      本多俊毅、高橋克典
    • Journal Title

      証券アナリストジャーナル

      Volume: 49 Pages: 91-101

    • NAID

      40019163067

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Do Socially Responsible Investment Indexes Outperform Conventional Indexes?2012

    • Author(s)
      Managi, Shunsuke, Okimoto, Tatsuyoshi, Matsuda, Akimi
    • Journal Title

      Applied Financial Economics

      Volume: 22 Pages: 1511-1527

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Emerging Market Currency Excess Returns2011

    • Author(s)
      Stephan Gilmore and Fumio Hayashi
    • Journal Title

      American Economic Journal: Macroeconomics

      Volume: Vol. 3 Pages: 85-111

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Dynamics of International Integration of Government Securities'Markets2011

    • Author(s)
      Kumar Manmohan S. and Tatsuyoshi Okimoto
    • Journal Title

      Journal of Banking and Finance

      Volume: Vol. 35 Pages: 142-154

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Japanese Government Debt and Sustainability of Fiscal and Monetary Policy2011

    • Author(s)
      Takero Doi, Takeo Hoshi, and Tatsuyoshi Okimoto
    • Journal Title

      Journal of Japanese and International Economies

      Volume: Vol.25 Pages: 414-433

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Emerging Market Currency Excess Returns2011

    • Author(s)
      Stephen Gilmore, Fumio Hayashi
    • Journal Title

      American Economic Journal : Macroeconomics

      Volume: 3 Issue: 4 Pages: 85-111

    • DOI

      10.1257/mac.3.4.85

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Japanese Government Debt and Sustainability of Fiscal and Monetary Policy2011

    • Author(s)
      Doi, Takero, Hoshi, Takeo, Tatsuyoshi Okimoto
    • Journal Title

      Journal of the Japanese and International Economies

      Volume: 25 Issue: 4 Pages: 414-433

    • DOI

      10.1016/j.jjie.2011.09.006

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Emerging Market Currency Excess Returns2011

    • Author(s)
      Fumio Hayashi, Stephen Gilmore
    • Journal Title

      American Economic Journal : Macroeconomics

      Volume: (Forthcoming(掲載確定))

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Dynamics of International Integration of Government Securities'Markets2011

    • Author(s)
      Manmohan S.Kumar, Tatsuyoshi Okimoto
    • Journal Title

      Journal of Banking and Finance

      Volume: 35 Pages: 142-154

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 低リスク運用としての最小分散ポートフォリオ2010

    • Author(s)
      本多 俊樹
    • Journal Title

      証券アナリストジャーナル

      Volume: Vol.48 Pages: 61-65

    • Related Report
      2012 Final Research Report
  • [Journal Article] 低リスク運用としての最少分散ポートフォリオ2010

    • Author(s)
      本多俊毅
    • Journal Title

      証券アナリストジャーナル

      Volume: 48巻11号 Pages: 61-65

    • Related Report
      2010 Annual Research Report
  • [Presentation] Increasing Trends in the Excess Comovements of Commodity Prices2013

    • Author(s)
      Tatsuyoshi Okimoto
    • Organizer
      International conference on Frontiers in Macroeconometrics
    • Place of Presentation
      一橋大学、東京
    • Year and Date
      2013-03-01
    • Related Report
      2012 Annual Research Report 2012 Final Research Report
  • [Presentation] Increasing Trends in the Excess Comovements of Commodity Prices2012

    • Author(s)
      Tatsuyoshi Okimoto
    • Organizer
      International conference on High-Frequency Data Analysis in Financial Markets
    • Place of Presentation
      広島大学、広島
    • Year and Date
      2012-11-17
    • Related Report
      2012 Annual Research Report 2012 Final Research Report
  • [Presentation] リスクとリターン2012

    • Author(s)
      本多俊毅
    • Organizer
      MPTフォーラム2012年度国際フォーラム
    • Place of Presentation
      湘南国際村センター、神奈川
    • Year and Date
      2012-10-30
    • Related Report
      2012 Annual Research Report 2012 Final Research Report
  • [Presentation] A Goodness-of-fit Criterion for Identifying the Maximum Domain of Attraction2012

    • Author(s)
      Tatsuyoshi Okimoto
    • Organizer
      2012 Joint Statistical Meeting、American Statistical Association
    • Place of Presentation
      San Diego Convention Center、San Diego、CA、USA
    • Year and Date
      2012-08-01
    • Related Report
      2012 Final Research Report
  • [Presentation] Analyzing Emission Allowance Prices as a Derivative on Commodity-Spread2012

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      2012 AJOU Workshop in Financial Economics and Mathematics
    • Place of Presentation
      Hotel Ramada Plaza、Suwon、Korea
    • Year and Date
      2012-07-15
    • Related Report
      2012 Final Research Report
  • [Presentation] マクロ経済と公的年金財政-公的年金積立金運用の視点から-2012

    • Author(s)
      本多俊毅
    • Organizer
      日本ファイナンス学会第20回大会
    • Place of Presentation
      一橋大学千代田キャンパス、東京
    • Year and Date
      2012-05-27
    • Related Report
      2012 Final Research Report
  • [Presentation] Analyzing Emission Allowance Prices as a Derivative on Commodity-Spread2011

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      2011 Financial Management Association Annual Meeting
    • Place of Presentation
      Sheraton DenverDowntown Hotel, Denver、Colorado、USA
    • Year and Date
      2011-10-20
    • Related Report
      2012 Final Research Report
  • [Presentation] Analyzing Emission Allowance As a Derivative of Commodity-Spread2011

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      Financial Management Association
    • Place of Presentation
      Denver, Colorado, USA
    • Year and Date
      2011-10-20
    • Related Report
      2011 Annual Research Report
  • [Presentation] Introduction to copula with application to dependence structures in international equity markets2011

    • Author(s)
      沖本竜義
    • Organizer
      第10回現象数理若手シンポジウム
    • Place of Presentation
      明治大学、東京
    • Year and Date
      2011-09-11
    • Related Report
      2012 Final Research Report
  • [Presentation] Analyzing Emission Allowance Prices as a Derivative on Commodity-Spread2011

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      2011 Asian Finance Association Annual Meeting
    • Place of Presentation
      Four Seasons Hotel, Macao, China
    • Year and Date
      2011-07-12
    • Related Report
      2012 Final Research Report
  • [Presentation] Analyzing Emission Allowance As a Derivative of Commodity-Spread2011

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      Asian Finance Association
    • Place of Presentation
      マカオ、中華人民共和国
    • Year and Date
      2011-07-12
    • Related Report
      2011 Annual Research Report
  • [Presentation] Pricing Emission Allowance Prices as a Derivative on Commodity-Spread2011

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      The 60th Midwest Finance Association Annual Meeting
    • Place of Presentation
      Westin Chicago River North, Chicago、IL、USA
    • Year and Date
      2011-03-03
    • Related Report
      2012 Final Research Report
  • [Presentation] 最小分散ポートフォリオ-新型爆弾か?竹槍か?2011

    • Author(s)
      本多俊毅
    • Organizer
      MPTフォーラム
    • Place of Presentation
      東洋経済新報社、東京
    • Year and Date
      2011-03-03
    • Related Report
      2012 Final Research Report
  • [Presentation] Pricing Emission Allowance Prices as a Derivative on Commodity-Spread2011

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      The 60th Midweat Finance Association Annual Meeting
    • Place of Presentation
      Chicago, IL, USA
    • Year and Date
      2011-03-03
    • Related Report
      2010 Annual Research Report
  • [Presentation] 最少分散ポートフォリオ---新型爆弾か?竹槍か?2011

    • Author(s)
      本多俊毅
    • Organizer
      MPTフォーラム
    • Place of Presentation
      東洋経済新報社
    • Year and Date
      2011-03-03
    • Related Report
      2010 Annual Research Report
  • [Presentation] Pricing Emission Allowance Prices as a Derivative on Commodity-Spread2010

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      The 1st Workshop onFinance and Accounting Research in the Asian Pacific Region
    • Place of Presentation
      名古屋国際会議場、愛知
    • Year and Date
      2010-12-18
    • Related Report
      2012 Final Research Report
  • [Presentation] Pricing Emission Allowance Prices as a Derivative on Commodity-Spread2010

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      The 1st Wbrkshop on Finance and Accounting Research in the Asian Pacific Region
    • Place of Presentation
      名古屋国際会議場
    • Year and Date
      2010-12-18
    • Related Report
      2010 Annual Research Report
  • [Presentation] Long-Run Trends in Dependence in International Equity Markets2010

    • Author(s)
      沖本竜義
    • Organizer
      数理経済学会
    • Place of Presentation
      神戸大学、神戸、兵庫
    • Year and Date
      2010-11-13
    • Related Report
      2012 Final Research Report
  • [Presentation] Long-Run IYends in Dependence in International Equity Markets2010

    • Author(s)
      沖本竜義
    • Organizer
      数理経済学会
    • Place of Presentation
      神戸大学
    • Year and Date
      2010-11-13
    • Related Report
      2010 Annual Research Report
  • [Presentation] Dependence Evolution in International Equity Markets2010

    • Author(s)
      沖本竜義
    • Organizer
      2010 Joint Statistical Meeting
    • Place of Presentation
      Vancouver Convention Center、Vancouver、 Canada
    • Year and Date
      2010-08-02
    • Related Report
      2012 Final Research Report
  • [Presentation] Dependence Evolution in International Equity Markets2010

    • Author(s)
      沖本竜義
    • Organizer
      2010 Joint Statistical Meetings
    • Place of Presentation
      Vancouver? Canada
    • Year and Date
      2010-08-02
    • Related Report
      2010 Annual Research Report
  • [Presentation] Analyzing Emission Allowance as a Derivative on Commodity-Spread

    • Author(s)
      Kazuhiko Ohashi
    • Organizer
      2012 AJOU Workshop in Financial Economics and Mathematics
    • Place of Presentation
      Hotel Ramada Plaza, Suwon, Korea
    • Related Report
      2012 Annual Research Report
  • [Presentation] マクロ経済と公的年金財政 -公的年金積立金運用の視点から-

    • Author(s)
      本多俊毅
    • Organizer
      日本ファイナンス学会第20回大会
    • Place of Presentation
      一橋大学千代田キャンパス、東京
    • Related Report
      2012 Annual Research Report
  • [Presentation] A Goodness-of-fit Criterion for Identifying the Maximum Domain of Attraction

    • Author(s)
      Tatsuyoshi Okimoto
    • Organizer
      2012 Joint Statistical Meeting, American Statictical Association
    • Place of Presentation
      San Diego Convention Center, San Diego, California, USA
    • Related Report
      2012 Annual Research Report

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Published: 2010-08-23   Modified: 2019-07-29  

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