Comparative Study of Stock Market Reactions to Offenses against Food Safety

• Project/Area Number: 24580310
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Agro-economics
• Research Institution: Hokkaido University
• Principal Investigator: NAKATANI Tomoaki 北海道大学, (連合)農学研究科(研究院), 准教授 (60280864)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Project Status: Completed (Fiscal Year 2014)
• Budget Amount: ¥5,590,000 (Direct Cost: ¥4,300,000、Indirect Cost: ¥1,290,000); Fiscal Year 2014: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2013: ¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000); Fiscal Year 2012: ¥2,470,000 (Direct Cost: ¥1,900,000、Indirect Cost: ¥570,000)
• Keywords: 食に関する事件・事故 / 中国 / 食品関連企業 / 株価変動 / 多変量GARCHモデル / 動的相関係数 / 統計解析環境R / 時系列解析 / 商品先物価格 / ジャンプ / R / 確率過程 / ジャンプ検定 / 商品先物市場 / コメ / ティックデータ

Outline of Final Research Achievements

The main purpose of this research is to investigate the behavior of dynamic conditional correlations of stock returns of Chinese food related companies in occurrence of offenses against food safety. Two groups of companies are focused: one includes the companies directly related to affairs and the other contains the firms not committing any scandals.
The results show that the degrees of changes in dynamic conditional correlations are smaller compared to the outcomes in Japanese cases found in previous researches.
In addition, an add-on package for the open-source statistical environment R has been developed and published on the Internet for researchers who are interested in conducting similar research topics.

Research Products

• [Journal Article] コメ先物市場における価格変動－ティックデータによるジャンプ検出－ (2013)
  • Author(s): 中谷朋昭
  • Journal Title: 日本農業経済学会論文集 Volume: 2013年度 Pages: 234-241
  • Peer Reviewed
• [Journal Article] 食品安全情報と外食産業における株価変動－超高頻度データのジャンプ検定－ (2013)
  • Author(s): 中谷朋昭
  • Journal Title: フードシステム研究 Volume: 20 Pages: 215-220
  • Peer Reviewed
• [Journal Article] 東京穀物商品取引所におけるトウモロコシ先物価格の変動 (2013)
  • Author(s): 高城務・中谷朋昭
  • Journal Title: フードシステム研究 Volume: 20 Pages: 281-286
  • Peer Reviewed
• [Presentation] Handling Conditional Correlation GARCH Models with the ccgarch2 Package (2014)
  • Author(s): Nakatani, T.
  • Organizer: the 8th International Conference on Computational and Financial Econometrics
  • Place of Presentation: University of Pisa, Pisa, Italy
  • Year and Date: 2014-12-06
  • Invited
• [Presentation] Handling Conditional Correlation GARCH Models with the ccgarch2 Package (2014)
  • Author(s): Nakatani, T.
  • Organizer: useR! 2014: the R User Conference 2014
  • Place of Presentation: University of California Los Angeles, Los Angeles, USA
  • Year and Date: 2014-07-02
• [Presentation] Estimating Negative Volatility Spillovers in the Conditional Correlation GARCH Models: Some Technical Notes (2014)
  • Author(s): Nakatani, T.
  • Organizer: Workshop on High-Frequency Data and Financial Econometrics
  • Place of Presentation: Hitotsubashi University（国立市）
• [Presentation] Jump Detection in High Frequency Corn Futures Prices in Japan (2013)
  • Author(s): Takagi, T. and T. Nakatani
  • Organizer: The 2nd Korea University - Hokkaido University Joint Workshop on Statistics
  • Place of Presentation: Korea University (Korea)
• [Presentation] 食品安全情報と外食産業における株価変動－超高頻度データのジャンプ検定－
  • Author(s): 中谷朋昭
  • Organizer: 日本フードシステム学会
  • Place of Presentation: 筑波大学（つくば市）
• [Presentation] トウモロコシ先物市場における価格変動
  • Author(s): 高城努・中谷朋昭
  • Organizer: 日本フードシステム学会
  • Place of Presentation: 筑波大学（つくば市）
• [Presentation] 多変量GARCHモデルを推定するためのR用パッケージccgarch2
  • Author(s): 中谷朋昭
  • Organizer: 2013年度統計関連学会連合退会
  • Place of Presentation: 大阪大学（豊中市）
• [Presentation] 統計解析環境Rにおける多変量GARCHモデルの推定とパッケージ化
  • Author(s): 中谷朋昭
  • Organizer: 統計数学セミナー
  • Place of Presentation: 東京大学（東京都目黒区）
• [Presentation] 多変量GARCHモデルを推定するためのR用パッケージccgarch2
  • Author(s): 中谷朋昭
  • Organizer: 研究集会「高頻度データを用いた資産市場のミクロ構造とボラティリティの計量分析」
  • Place of Presentation: 一橋大学（国立市）
• [Presentation] コメ先物市場における価格変動－ティックデータによるジャンプ検出－
  • Author(s): 中谷朋昭
  • Organizer: 日本農業経済学会
  • Place of Presentation: 東京農業大学（世田谷区）
• [Book] Frontiers of Agricultural Science (2015)
  • Author(s): Nakatani, T.
  • Total Pages: 277
  • Publisher: Shoukadoh Book Sellers
• [Book] Chapman and Hall/CRC Press (2014)
  • Author(s): Aizaki, H., T. Nakatani and K. Sato
  • Total Pages: 254
  • Publisher: Stated Preference Methods using R
• [Remarks] Stated Preference Methods Using R
  • URL: http://www.agr.hokudai.ac.jp/spmur/