2022 Fiscal Year Research-status Report
Asset Pricing by Spatial Interaction Identified with Internet Co-search Relation
| Project/Area Number |
22K01420
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| Research Institution | Tohoku University |
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Principal Investigator |
KO IATMENG 東北大学, 経済学研究科, 准教授 (30939608)
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| Co-Investigator(Kenkyū-buntansha) |
松田 安昌 東北大学, 経済学研究科, 教授 (10301590)
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| Project Period (FY) |
2022-04-01 – 2026-03-31
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| Keywords | Contagion test / Network interconnection / COVID-19 |
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| Outline of Annual Research Achievements |
The year achievement is summarized as follows
1. Completed one academic paper entitled "Stock Market Interconnection and Contagion during the COVID-19 Pandemic: A Network Perspective". It has been submitted and is currently under reviewed in the Journal of Financial Econometrics.
2. The internet traffic data on the US Securities and Exchange Commission's (SEC) Electronic Data Gathering, Analysis, and Retrieval (EDGAR) website is successfully collected. This data is subsequently used in the Spatial Arbitrary Pricing Theory (S-APT) study.
3. One conference presentation has been conducted at the 5th International Conference on Econometrics and Statistics (EcoSta 2022) in Jun. 4-6 2022 at Ryukoku University, Kyoto.
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| Current Status of Research Progress |
Current Status of Research Progress
2: Research has progressed on the whole more than it was originally planned.
Reason
The big data of internet ip footprint has been collected. The process of data cleaning is in progress. Meanwhile, a related research paper is finished and submitted to academic journal.
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| Strategy for Future Research Activity |
1. Finish cleaning of the internet data.
2. Collect financial market data for financial securities.
3. Develop the Spatial-APT model for asset pricing incorporating the internet data.
4. Preliminary model estimation.
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