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2001 Fiscal Year Final Research Report Summary

Estimation of State-price Densities

Research Project

Project/Area Number 11630012
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field 経済理論
Research InstitutionHitotsubashi University (2001)
Osaka University (1999-2000)

Principal Investigator

SAITO Makoto  Hitotsubashi Univ., Graduate School of Economics, Professor, 大学院・経済学研究科, 教授 (10273426)

Co-Investigator(Kenkyū-buntansha) FUKUTA Yuichi  Kobe Univ., Faculty of Business, Associate Professor, 大学院・経営学研究科, 助教授 (00243147)
Project Period (FY) 1999 – 2001
KeywordsDerivative pricing / State-price densities / Nonparametric estimation / Market liquidity / Convenience yields / Asset pricing bubbles / Liquidity effects
Research Abstract

This research project has constructed theoretical models to analyze how risk premium, liquidity premium, and convenience yields are reflected in derivative pricing, and empirically tested those models using derivative prices observed in financial markets in Japan. "Nonparametric estimation of state-price densities : An application of the local polynomial estimator" by Takagi and Saito (under review) estimates state-price densities using the index option prices listed in the Osaka Stock Exchange. In particular, this study applies local polynomial estimators, one of nonparametric estimators, in consideration for fewer points of exercise prices in the OSE. Saito and Ohnishi (2001) investigate the impact of changes in securities included in the Nikkei Index in April 2000, and find that individual stock prices reflected changes in market liquidity significantly. Fukuta, Saito, and Takagi (forthcoming) quantify convenience yields on JGBs exploiting the information of interest-rate swap spreads, and identify several factors, which contribute to yielding convenience. Fukuta and Saito (forthcoming), on the other hand, empirically examines the liquidity effect on forward exchange rates.

  • Research Products

    (14 results)

All Other

All Publications (14 results)

  • [Publications] 齊藤誠, 高木真吾: "「オプション取引データに基づいた状態価格密度の推計について:大阪証券取引所の事例」"『インベストメント』. 53巻2号. 21-37 (2000)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yucihi Fukuta, Makoto Saito: ""Forward discount puzzle and liquidity effects: Some evidence from exchange rates among US, Canada, and Japan""Journal of Money, Banking, and Credit. (近刊).

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Yuichi Fukuta: ""A test for rational bubbles in stock prices""Empirical Economics. (近刊).

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 齊藤誠: "「資産価格形成における流動性要因:覚え書き」"『一橋論叢』. 126巻4号. 48-61 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 齊藤誠, 大西雅彦: "「日経平均株価の銘柄入替が個別銘柄の流動性に与えた影響について」"『現代ファイナンス』. 第9号. 67-82 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 齊藤誠: "「日本の金融政策:金融政策の理論と実際」"『経済研究』. 52巻2号. 97-106 (2001)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 福田祐一, 齊藤誠, 高木真吾: "「国債の価格形成とコンビーニエンス:1990年代後半の日本国債のケース」"齊藤誠・柳川範之編著『流動性の経済学』所収,東洋経済新報社,(近刊).

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Makoto Saito and Shingo Takagi: "Estimation of state-price densities : The case of the Osaka Stock Exchange (in Japanese)"Invesutomento. 53(2). 21-37 (2000)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yuichi Fukuta and Makoto Saito: "Forward discount puzzle and liquidity effects : Some evidence from exchange rates among US, Canada, and Japan"Journal of Money, Banking, and Credit. (forthcoming).

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yuichi Fukuta: "A test for rational bubbles in stock prices"Empirical Economics. (forthcoming).

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Makoto Saito: "Asset pricing and liquidity : A note (in Japanese)"Ikkyo-ronso. 126(4). 48-61 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Makoto Saito and Masahiko Ohnishi: "On liquidity impacts of changes in securities included in Nikkei Index (in Japanese)"Gendai-fainansu. 9. 67-82 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Makoto Saito: "On the monetary policy of BOJ (in Japanese)"Keizai-kenkyu. 52(2). 97-106 (2001)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Yuichi Fukuta, Makoto Saito, and Shingo Takagi: "On convenience yields of JGB : An empirical investigation"Makoto Saito and Noriyuki Yanagawa, eds., Economics of Liquidity, Toyo-keizai-shinpo-sha. (forthcoming).

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 2003-09-17  

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