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The analysis of the effect of regime uncertainty on financial markets

Research Project

Project/Area Number 26380390
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Money/ Finance
Research InstitutionHitotsubashi University (2016)
Yokohama National University (2014-2015)

Principal Investigator

Nishide Katsumasa  一橋大学, 大学院経済学研究科, 教授 (40410683)

Project Period (FY) 2014-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
Budget Amount *help
¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2015: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2014: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Keywordsファイナンス / 投資戦略 / 証券の価格付け / レジーム変化 / マルコフ連鎖 / リアルオプション / 金利期間構造 / 国際研究者交流 / 国際情報交換
Outline of Final Research Achievements

In this project, I study with theoretical models the effect of regime uncertainty on the firm's investment strategy, the asset price, and so on.It was found that the effect cannot be negligible, which indicates that we should take regime uncertainty into account when considering the above problems.

Report

(4 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • 2014 Research-status Report
  • Research Products

    (30 results)

All 2017 2016 2015 2014 2013 Other

All Int'l Joint Research (2 results) Journal Article (4 results) (of which Int'l Joint Research: 2 results,  Peer Reviewed: 4 results,  Open Access: 2 results,  Acknowledgement Compliant: 2 results) Presentation (21 results) (of which Int'l Joint Research: 7 results,  Invited: 3 results) Remarks (3 results)

  • [Int'l Joint Research] University of Adelaide(Australia)

    • Related Report
      2015 Research-status Report
  • [Int'l Joint Research] Mount Royal University(Canada)

    • Related Report
      2015 Research-status Report
  • [Journal Article] Leaders, Followers, and Equity Risk Premium in Booms and Busts2016

    • Author(s)
      Makoto, Goto, Katsumasa, Nishide, Ryuta Takashima
    • Journal Title

      Journal of Banking & Finance

      Volume: Available online 10 October Pages: 1-14

    • DOI

      10.1016/j.jbankfin.2016.08.010

    • NAID

      120006876266

    • Related Report
      2016 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] nvestment under Regime Uncertainty: Impact of Competition and Preemption2016

    • Author(s)
      Katsumasa Nishide and Kyoto Yagi
    • Journal Title

      International Journal of Industrial Organization

      Volume: 45 Pages: 47-58

    • DOI

      10.1016/j.ijindorg.2016.01.001

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Heston-type Stochastic Volatility with a Markov Switching Regime2015

    • Author(s)
      Robert J. Elliott, Katumasa Nishide and Carlton-James U. Osakwe
    • Journal Title

      Journal of Futures Markets

      Volume: 未定 Issue: 9 Pages: 902-919

    • DOI

      10.1002/fut.21761

    • Related Report
      2016 Annual Research Report 2015 Research-status Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Journal Article] Pricing of Discount Bonds with a Markov Switching Regime2013

    • Author(s)
      Elliott, R.J. and K. Nishide
    • Journal Title

      Annals of Finance

      Volume: 10 Issue: 3 Pages: 509-522

    • DOI

      10.1007/s10436-013-0244-3

    • Related Report
      2014 Research-status Report
    • Peer Reviewed
  • [Presentation] Pricing of Credit Default Swaps with CIR-Type Default Intensities2017

    • Author(s)
      西出 勝正
    • Organizer
      日本オペレーションズリサーチ学会2017年春季研究発表会
    • Place of Presentation
      沖縄県市町村自治会館、沖縄県、那覇市
    • Year and Date
      2017-03-15
    • Related Report
      2016 Annual Research Report
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2017

    • Author(s)
      Katsuamsa Nishide
    • Organizer
      International Conference on Business, Finance and Economics 2017
    • Place of Presentation
      Crowne Plaza Changi Airport, Singapore, Singapore
    • Year and Date
      2017-03-10
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Default Contagion and Systemic Risk in the Presence of Credit Default Swap2017

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Winter Workshop on Operations Research, Finance and Mathematics 2017
    • Place of Presentation
      Jozankei View Hotel, Sapporo, Japan
    • Year and Date
      2017-02-20
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      西出 勝正
    • Organizer
      平成28年度数理解析研究所研究集会(ファイナンスの数理解析とその応用)
    • Place of Presentation
      京都大学、京都府、京都市
    • Year and Date
      2016-11-28
    • Related Report
      2016 Annual Research Report
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      Katsumasa Nishide
    • Organizer
      6th Global Business and Finance Research Conference
    • Place of Presentation
      Howard Civil Service International House, Taipei, Taiwan ROC
    • Year and Date
      2016-10-27
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      西出 勝正
    • Organizer
      日本オペレーションズリサーチ学会2016年秋季研究発表会
    • Place of Presentation
      山形大学、山形県、山形市
    • Year and Date
      2016-09-15
    • Related Report
      2016 Annual Research Report
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Ninth World Congress of Bachelier Finance Society
    • Place of Presentation
      Crowne Plaza Times Square Hotel, New York, USA
    • Year and Date
      2016-07-15
    • Related Report
      2016 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Money Supply, Asset Prices and Interest Rates within a General Equilibrium Framework2016

    • Author(s)
      西出 勝正
    • Organizer
      日本経済学会2016年度春季大会
    • Place of Presentation
      名古屋大学、愛知県、名古屋市
    • Year and Date
      2016-06-18
    • Related Report
      2016 Annual Research Report
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2016

    • Author(s)
      Katsumasa Nishide
    • Organizer
      AJRC and HIAS Joint Conference on Recent Issues in Finance and Macroeconomics
    • Place of Presentation
      Australian National University
    • Year and Date
      2016-03-21
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2015

    • Author(s)
      西出 勝正
    • Organizer
      日本オペレーションズリサーチ学会2015年秋季研究発表会
    • Place of Presentation
      九州工業大学
    • Year and Date
      2015-09-09
    • Related Report
      2015 Research-status Report
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2015

    • Author(s)
      Katsumasa Nishide
    • Organizer
      University of Michigan Math Seminar
    • Place of Presentation
      University of Michigan
    • Year and Date
      2015-08-26
    • Related Report
      2015 Research-status Report
  • [Presentation] Money Supply, Asset Prices, and Interest Rates within a General Equilibrium Framework2015

    • Author(s)
      西出 勝正
    • Organizer
      日本オペレーションズリサーチ学会北海道支部・サマースクール
    • Place of Presentation
      稚内総合文化センター
    • Year and Date
      2015-08-05
    • Related Report
      2015 Research-status Report
    • Invited
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2015

    • Author(s)
      Katsumasa Nishide
    • Organizer
      The 27th European Conference on Operational Research
    • Place of Presentation
      University of Strathclyde
    • Year and Date
      2015-07-12
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2015

    • Author(s)
      Katsumasa Nishide
    • Organizer
      The 7th International IFABS Conference
    • Place of Presentation
      浙江大学
    • Year and Date
      2015-06-27
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2015

    • Author(s)
      西出 勝正
    • Organizer
      日本経済学会2015年度春季大会
    • Place of Presentation
      新潟大学
    • Year and Date
      2015-05-23
    • Related Report
      2015 Research-status Report
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2015

    • Author(s)
      Katsumasa Nishide
    • Organizer
      The 6th Conference on Mathematical Analysis in Economic Theory
    • Place of Presentation
      慶應義塾大学
    • Year and Date
      2015-01-26 – 2015-01-29
    • Related Report
      2014 Research-status Report
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2014

    • Author(s)
      西出勝正
    • Organizer
      本経済学会2014 年度秋季大会
    • Place of Presentation
      西南学院大学
    • Year and Date
      2014-10-11 – 2014-10-12
    • Related Report
      2014 Research-status Report
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2014

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Fourth IMS-FPS workshop 2014
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      2014-07-02 – 2014-07-06
    • Related Report
      2014 Research-status Report
  • [Presentation] Monopolistic Dealer versus Broker: Impact of Proprietary Trading with Transaction Fees2014

    • Author(s)
      西出勝正
    • Organizer
      岡山大学・横浜国立大学経済学部経済学部合同ワークショップ
    • Place of Presentation
      岡山大学
    • Year and Date
      2014-06-20
    • Related Report
      2014 Research-status Report
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2014

    • Author(s)
      Katsumasa Nishide
    • Organizer
      Eighth World Congress of Bachelier Finance Society, Brussels
    • Place of Presentation
      Brussels, Belgium
    • Year and Date
      2014-06-02 – 2014-06-06
    • Related Report
      2014 Research-status Report
  • [Presentation] Heston-Type Stochastic Volatility with a Markov Switching Regime2014

    • Author(s)
      西出 勝正
    • Organizer
      秋田県立大学ファイナンス研究会
    • Place of Presentation
      秋田県立大学
    • Year and Date
      2014-05-01 – 2014-05-02
    • Related Report
      2014 Research-status Report
  • [Remarks] 研究者ホームページ

    • URL

      http://www.econ.hit-u.ac.jp/~nishide/

    • Related Report
      2016 Annual Research Report
  • [Remarks] 個人ウェブ頁

    • URL

      http://www.econ.hit-u.ac.jp/~nishide

    • Related Report
      2015 Research-status Report
  • [Remarks] 個人ホームページ

    • URL

      http://www.knishide.ynu.ac.jp/

    • Related Report
      2014 Research-status Report

URL: 

Published: 2014-04-04   Modified: 2018-03-22  

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