2009 Fiscal Year Final Research Report
A Research on the Measurement of Market Sentiment with AHP and FX Daeler's Behavioral Biases
| Project/Area Number |
18330070
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Nagasaki University |
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Principal Investigator |
SUSAI Masayuki Nagasaki University, 経済学部, 教授 (40206454)
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| Co-Investigator(Kenkyū-buntansha) |
FUJITA Wataru 長崎大学, 経済学部, 教授 (30264196)
FUKUZAWA Katsuhiko 長崎大学, 経済学部, 教授 (00208935)
MORIYASU Hiroshi 長崎大学, 経済学部, 准教授 (10304924)
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| Project Period (FY) |
2006 – 2009
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| Keywords | マーケットセンチメント / AHP投資行動バイアス / 市場のミクロ構造 / 超高頻度データ / 外国為替市場 |
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| Research Abstract |
In this research, we are exploring the relations between behavioral biases of investors and market sentiment through the analysis with quantitative and qualitative data such as ultra high frequent data, survey and hearing. From the survey and hearing to the Fund Managers in financial institutions in Tokyo market, we find that there exists the difference between risk perception and risk attitude even in professional investors. Among the investors showing inconsistency between risk perception and risk attitude, we can point out the behavioral biases. The tendency above is obvious especially in the market that unknown event occurs. From the econometric analysis with ultra high frequent FX data, we find that the volatility structure in FX market is different when unknown event such as Lehman's shock occurs. Therefore, we conclude that investors with risk inconsistency can be showing behavioral biases when they face the unknown event, and the dealings by such investors may have significant impact on volatility structure.
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