The impact of capital market policy - based on the robust market return modeling-
Project/Area Number |
23530343
|
Research Category |
Grant-in-Aid for Scientific Research (C)
|
Allocation Type | Multi-year Fund |
Section | 一般 |
Research Field |
Economic policy
|
Research Institution | Doshisha University |
Principal Investigator |
ADACHI Mitsuo 同志社大学, 政策学部, 教授 (90340215)
|
Project Period (FY) |
2011 – 2013
|
Project Status |
Completed (Fiscal Year 2013)
|
Budget Amount *help |
¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2012: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2011: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
|
Keywords | 資本市場 / イベント・スタディ / 株価対策 / システム障害 / 売買停止措置 / 高頻度データ / 外国為替市場介入 / デリバティブ取引停止 / Granger因果性検定 / インパルス応答分析 / ETF |
Research Abstract |
These studies aimed at solving two research questions. One question is whether capital market policies can achieve its goal precisely. The other question is how capital market policies influence the markets through these processes. In order to solve these questions, these studies adopted Event Studies and 4 events. Events are (1) Price keeping operation plans, (2) Trading halts in the stock exchange, (3) Foreign exchange market interventions, and (4) Derivative trading halts. These studies also tried to improve the conventional way of Event Studies and to apply useful information gained from event studies to another analysis.
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Report
(4 results)
Research Products
(9 results)