2020 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 | Financial market / Exchange rate / Stock price / News impact / Brexit / Presidential election |
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| Outline of Annual Research Achievements |
In 2020, the research results of the previous year were improved and prepared as an academic article. The academic article was submitted to a Scopus listed peer-reviewed academic journal (International Journal of Financial Studies). The original version of the paper was revised three times after submission based on the feedback and suggestions by three anonymous referees. The final version was published under the title "The impacts of international political and economic events on Japanese financial markets". In the paper, I examined how news about the results of the Brexit referendum (BR) and the United States presidential election (USE) affected foreign exchange rates and stock market indexes.
Furthermore, applying autoregressive conditionally heteroscedastic type models and cross-correlation function to daily data, I estimated how the returns, volatility and co-movement of the sectoral stock indices, including the TOPIX components with the weight of five percent and more, change when the news about some important international economic and political events is spread. The research results were presented and discussed at the Global Conference on Advances in Business and Social Sciences (Dec. 2020). Many feedbacks and suggestions for improvements were received. Nowadays, I am working on the modification of this part of my research.
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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
I published a paper in a Scopus indexed peer-reviewed academic journal. I presented the research findings at an international conference, where the paper was discussed and many useful feedback and suggestions were received.
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| Strategy for Future Research Activity |
From now on, I will prepare a new academic paper about the impact of international news on the returns, volatility and co-movement of the sectoral stock indices, including the TOPIX components with the weight of five percent and more (namely, transportation equipment index, electric appliances index, banks index, information and communication index, chemicals index and machinery index).
I am planning to present and discuss the first version of the paper at an international conference and to submit the improved version to a peer-reviewed academic journal for publication.
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