On the Measurement of FX Dealer Sentiment with AHP and their Investment Biases

2008 Fiscal Year Self-evaluation Report

• Project/Area Number: 18330070
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Nagasaki University
• Principal Investigator: MASAYUKI Susai Nagasaki University, 経済学部, 教授 (40206454)
• Project Period (FY): 2006 – 2009
• Keywords: 市場のセンチメント / 超高頻度データ / 多変量非線形時系列モデル

Research Abstract

外国為替ディーラーの経済指標等に対する主観的評価と客観的評価の差異を市場のセンチメントとして捉え、センチメントと為替レートの変動特性の関連性を実証的検証することを目的としている。また、実証分析の際には実際に取引に用いられた超高頻度の為替データによりテストを行う。

Research Products

• [Journal Article] Tokyo or New York : Which drives East Asian Stock Markets? (2008)
  • Author(s): M. Susai
  • Journal Title: Empirical Study on Asian Financial Markets(Susai.M and H. Okada, Kyushu University Press) Chap 1 Pages: 1-39
• [Journal Article] Volume or Order Flow-This is More Informative in Really Traded Yen/Dollar Foreign Market with New Data Set (2008)
  • Author(s): M. Susai
  • Journal Title: Proceedings of the 16^<th> Annual Conference on Pacific Basin Finance, Economics, Accounting and Management
• [Presentation] Volume or Order Flow-This is More Informative in Really Traded Yen/Dollar Foreign Market with New Data Set (2008)
  • Author(s): M. Susai
  • Organizer: The 20^<th> Asian Pacific Conference on International Accounting Issues(Le Meridien)
  • Place of Presentation: Montparnasse,Paris, France
  • Year and Date: 2008-11-11
• [Presentation] The Impact of Electronic Trading Systems on Market Efficiency : An Analysis of the Nikkei 225 Futures Market in Singapore (2007)
  • Author(s): M.Susai, H. Moriyasu
  • Organizer: The 15^<th> annual Conference on Pacific Basin Finance, Economics, Accounting and Management, The 15^<th> annual Conference on Pacific Basin Finance, Economics, Accounting and Management
  • Place of Presentation: Viet Nam
  • Year and Date: 20070700
• [Presentation] Empirical Analysis on the Volatility Spillover among Northeast Asian Stock Market with the effect of Bilateral Foreign Exchange Rate Fluctuation (2006)
  • Author(s): M. Susai
  • Organizer: The 18^<th> The Asian Pacific Conference on International Accounting Issues
  • Place of Presentation: Hawaii
  • Year and Date: 20060000
• [Book] Empirical Study on Asian Financial Markets (2008)
  • Author(s): M Susai and H. Okada (eds.)
  • Publisher: Kyusyu University Press