Global shocks and financial market correlation structures

2023 Fiscal Year Final Research Report

• Project/Area Number: 20K01757
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Meisei University
• Principal Investigator: Nakata Hayato 明星大学, 経済学部, 教授 (10366916)
• Project Period (FY): 2020-04-01 – 2024-03-31
• Keywords: グローバルショック / リスクオフ / 石油価格 / 安全通貨 / 金融政策 / ETF

Outline of Final Research Achievements

(1) Before the Asian currency crisis, the impact of oil fluctuation shocks on the real stock price returns of ASEAN countries was asymmetric. Therefore, oil fluctuation shocks during the same period may have had a certain impact on the correlation between stock price returns in ASEAN countries. (2) The status of the US dollar, Japanese yen, and Swiss franc as safe currencies (currencies that appreciate in a risk-off environment) has fluctuated over time. In particular, the timing of changes in the status of safe-haven currencies often coincided with the timing of global shocks. (3) The Bank of Japan's ETF purchasing policy had pushed Japanese stock prices to higher levels than expected based on stock price fluctuations in other countries.

Free Research Field

国際金融論

Academic Significance and Societal Importance of the Research Achievements

地政学的事象や金融危機といったグローバルショックが株式、外国為替など各国間の資産市場の相関関係に少なからず影響を与えていることが明らかになった。政策当局者、金融市場関係者は安定的な資産市場間の関係を前提にせずに意思決定をする必要性がある。また、新興市場国の株式市場のように相関構造が変動した場合、背後にあるメカニズムを慎重に検討することが重要である。