2018 Fiscal Year Research-status Report
Systemic risk in financial markets
| Project/Area Number |
17K13759
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| Research Institution | Tohoku University |
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Principal Investigator |
chuang hongwei 東北大学, 経済学研究科, 准教授 (70732551)
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| Project Period (FY) |
2017-04-01 – 2021-03-31
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| Keywords | Institutional investors / Herding / Momentum effect |
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| Outline of Annual Research Achievements |
I have been supported by JSPS KAKENHI [17K13759 JP] to study the issues of systemic risk in financial markets. Recently, my research results
were accepted to publish in international journals. One is just forthcoming in Empirical Economics entitled "The impacts of institutional ownership on stock returns." I find the relation between institutional investors' trading persistence and stock returns by using a unique monthly institutional ownership data to present new empirical evidence. Institutional trading not only has a short-term positive impact on stock returns but can also have a long-term negative effect. The results show that stocks with the lower accumulated growth of institutional ownership tend to have greater momentum than stocks with higher such growth.
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
Analyzing various and unstructured data sets in attracting useful information to have an impact on our society becomes a challenging work. Especially, studying the threat of systemic failures in a financial system spilling over into real economy based on these data sets is not easy. With two-year funding support from JSPS, some research outputs have shown in academic society and international journals. The progressing of my research is quite smoothly and I expect the following two more years can produce more fruitful results.
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| Strategy for Future Research Activity |
In the finance literature of studying nominal share price, the faith of theoretical research is, in a frictionless market, that nominal share prices should have no impact on a firm's value. However, empirical evidence has shown that market frictions do exist and corporate financial managers seem to believe that there is an optimal trading range for a firm's stock. Remaining the nominal share price in a constant level over time is not only a phenomenon for many stocks but also seems a puzzle which could not be explained by standard economics hypotheses. Therefore, in the following study, I am going to examine the nominal share price puzzle from the perspective of investors and ask whether there exits an optimal trading price range for a firm's shares in the market?
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| Causes of Carryover |
I was resigned from the Graduate School of Economics and Management at Tohoku University and appointed as an associate professor in the Graduate School of International Management at International University of Japan in 2019. To continue and finish my research about systemic risk in financial markets, I would need the funding support from JSPS. Japan's financial dependence in the global world puts its economy on the edge of danger. The 2008 subprime crisis in the US and 2011 European sovereign debt have demonstrated that Japanese central bankers primarily focus on fighting inflation while efforts to maintain financial stability but neglect the whole system. Japanese policymakers and private sectors were also inadequately prepared for such a systemic risk in a financial crisis.
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Research Products
(1 results)
