2012 Fiscal Year Final Research Report
Interdependencies in Financial and Physical Asset Markets and their Effects on Investments and Risk Management.
| Project/Area Number |
22330094
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
OHASHI Kazuhiko 一橋大学, 大学院・国際企業戦略研究科, 教授 (50261780)
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| Co-Investigator(Kenkyū-buntansha) |
HAYASHI Fumio 一橋大学, 大学院・国際企業戦略研究科, 教授 (80159095)
HONDA Toshiki 一橋大学, 大学院・国際企業戦略研究科, 教授 (70303063)
OKIMOTO Tatsuyoshi 一橋大学, 大学院・国際企業戦略研究科, 准教授 (70420304)
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| Project Period (FY) |
2010 – 2012
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| Keywords | ファイナンス |
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| Research Abstract |
We analyzed asset prices and returns by incorporating linkages and relations among financial and physical asset markets. More precisely, we investigate theoretically and empirically the return characteristics of crude oil, heating oil, electricity, natural gas, emission allowance, several emerging currencies, interest rates, the global minimum variance portfolio, SRI and stock markets, short- and long-term bonds of several countries, and crude oil and price index of clean energy companies, by explicitly incorporating their interdependencies.
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