2020 Fiscal Year Annual Research Report
Systemic risk in financial markets
| Project/Area Number |
17K13759
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| Research Institution | International University of Japan |
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Principal Investigator |
chuang hongwei 国際大学, 国際経営学研究科, 准教授(移行) (70732551)
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| Project Period (FY) |
2017-04-01 – 2021-03-31
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| Keywords | Momentum / Systemic Risk |
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| Outline of Annual Research Achievements |
The research outputs are (1) High momentum stocks with preserving substantial fundamental value are more likely to rebound after unexpected financial shocks, and (2)Extreme high/low nominal share price stocks lack price momentum and utilize more systemic risk which remains even controlling for stock splits.
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Research Products
(2 results)
