2010 Fiscal Year Final Research Report

Statistical analysis of switching states in stock market

Research Project

Project/Area Number	21730256
Research Category	Grant-in-Aid for Young Scientists (B)
Allocation Type	Single-year Grants
Research Field	Public finance/Monetary economics
Research Institution	Rikkyo University
Principal Investigator	SHIBATA Mai Rikkyo University, 経営学部, 助教 (70448653)
Project Period (FY)	2009 – 2010
Keywords	TOPIX / ブル・ベア市場 / マルコフ・スイッチング / ボラティリティ / 持続期間
Research Abstract	This is the statistical research for stock market's return series, especially middle to long term fluctuations in the return series. In this research, we investigate how the mean of the return series fluctuates, focusing on upward or downward trend. And we identify the switching point from upward (downward) to downward (upward) trend phase using statistical models. Using the relationship between the mean cyclical behavior and variance in the return series, we can identify the stock market's phases as statistically. And we investigate causes of the cyclical behavior in the stock return series.

(2 results)