2011 Fiscal Year Final Research Report
Stock Market Reactions to Offences against Food Safety
| Project/Area Number |
21780201
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Agro-economics
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| Research Institution | Hokkaido University |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2011
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| Keywords | 食をめぐる事件 / 食品関連企業 / 株価変動 / 動的相関係数 / 多変量 GARCH モデル / 超高頻度データ |
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| Research Abstract |
The purpose of this research is to investigate stock market reactions to offences against food safety and reliability. Given the fact that information such as predictions on future performances of a company is accumulated in the stock market, it is possible to analyze social responses against misconducts committed by food-related companies through the share prices of the firms concerned. The time-series-based event study approach is used to study the behavior of the stock returns.
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