Asset Pricing by Spatial Interaction Identified with Internet Co-search Relation

Research Project

Project/Area Number	22K01420
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Multi-year Fund
Section	一般
Review Section	Basic Section 07030:Economic statistics-related
Research Institution	Tohoku University
Principal Investigator	KO IATMENG 東北大学, 経済学研究科, 准教授 (30939608)
Co-Investigator(Kenkyū-buntansha)	松田安昌東北大学, 経済学研究科, 教授 (10301590)
Project Period (FY)	2022-04-01 – 2026-03-31
Project Status	Granted (Fiscal Year 2022)
Budget Amount *help	¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000) Fiscal Year 2025: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000) Fiscal Year 2024: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000) Fiscal Year 2023: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000) Fiscal Year 2022: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywords	Contagion test / Network interconnection / COVID-19 / Capital asset pricing / EDGAR search traffic / Co-search / Spatial interaction
Outline of Research at the Start	We explore the raw data from the US Securities and Exchange Commission’s (SEC) Electronic Data-Gathering, Analysis, and Retrieval (EDGAR) website which contains visitor’s IP address, timestamp, and the company that the visitor searched. The outline is as follow. 1. Our study conducts asset pricing models based on individual stocks, see Ang, Liu, and Schwarz (2020). 2. We adopt the Spatial Arbitrage Pricing Theory (S-APT) to study asset pricing with co-search relation. We extend the S-APT model to study general information-driven relationships.
Outline of Annual Research Achievements	The year achievement is summarized as follows 1. Completed one academic paper entitled "Stock Market Interconnection and Contagion during the COVID-19 Pandemic: A Network Perspective". It has been submitted and is currently under reviewed in the Journal of Financial Econometrics. 2. The internet traffic data on the US Securities and Exchange Commission's (SEC) Electronic Data Gathering, Analysis, and Retrieval (EDGAR) website is successfully collected. This data is subsequently used in the Spatial Arbitrary Pricing Theory (S-APT) study. 3. One conference presentation has been conducted at the 5th International Conference on Econometrics and Statistics (EcoSta 2022) in Jun. 4-6 2022 at Ryukoku University, Kyoto.
Current Status of Research Progress	Current Status of Research Progress 2: Research has progressed on the whole more than it was originally planned. Reason The big data of internet ip footprint has been collected. The process of data cleaning is in progress. Meanwhile, a related research paper is finished and submitted to academic journal.
Strategy for Future Research Activity	1. Finish cleaning of the internet data. 2. Collect financial market data for financial securities. 3. Develop the Spatial-APT model for asset pricing incorporating the internet data. 4. Preliminary model estimation.