Comparative Study of Stock Market Reactions to Offenses against Food Safety
| Project/Area Number |
24580310
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Agro-economics
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| Research Institution | Hokkaido University |
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Principal Investigator |
NAKATANI Tomoaki 北海道大学, (連合)農学研究科(研究院), 准教授 (60280864)
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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Report
(4 results)
Research Products
(16 results)
