2019 Fiscal Year Research-status Report
A research on the response of Japan's financial markets to information/news on important changes in the international economy and policy
| Project/Area Number |
19K01756
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| Research Institution | Tohoku University of Community Service and Science |
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Principal Investigator |
スルトノフ ミルゾサイド 東北公益文科大学, 公私立大学の部局等, 教授 (00761016)
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| Project Period (FY) |
2019-04-01 – 2022-03-31
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| Keywords | Japan / news impact / information impact / financial markets / international events |
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| Outline of Annual Research Achievements |
I reviewed the literature, determined the appropriate models for estimation and arranged the data. I conducted pre-estimation robustness tests of the data, prepared figures and tables, calibrated the selected model for use in estimations.
I estimated the impact of news related to the Brexit referendum and the United States presidential election on returns and volatility of JPY, Nikkei and TOPIX as well as correlation and causality relationship between them. I run post-estimation tests for the robustness of the results.
The research findings were presented in the 94th Annual Conference of WEAI (June 28-July 2, 2019) and the 18th International Conference of JEPA (Nov. 16-17, 2019).
The important findings are submitted to a peer-reviewed journal for publication. The paper is under review.
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| Current Status of Research Progress |
Current Status of Research Progress
1: Research has progressed more than it was originally planned.
Reason
In 2019, I attended two international conferences, where I did presentations and discussions about important findings of my research supported by JSPS. The 94th Annual Conference of Western Economic Association International (June 28-July 2, 2019, San Francisco, CA, USA) and the 18th International Conference of the Japan Economic Policy Association (JEPA, Nov. 16-17, 2019, Tokyo, Japan). I had meetings and discussions with researchers from different universities of the world, where I had very good possibility to talk about my research findings. The comments and questions raised in all above-mentioned discussions and talks were very useful for further improvement of my research. The important findings are submitted to a journal for publication. The paper is under review process.
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| Strategy for Future Research Activity |
In 2020, I will research the impact of news/information about other recent domestic and foreign events with international importance on financial indicators of the Japanese economy. In particular, I focus on the impact of news/information on the stock price of large Japanese companies (industry and sector leaders).
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Research Products
(2 results)
