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2023 Fiscal Year Research-status Report

Asset Pricing by Spatial Interaction Identified with Internet Co-search Relation

Research Project

Project/Area Number 22K01420
Research InstitutionTohoku University

Principal Investigator

KO IATMENG  東北大学, 経済学研究科, 准教授 (30939608)

Co-Investigator(Kenkyū-buntansha) 松田 安昌  東北大学, 経済学研究科, 教授 (10301590)
Project Period (FY) 2022-04-01 – 2026-03-31
KeywordsNetwork interconnection / Arbitrage Pricing Theory / Commodity Prediction
Outline of Annual Research Achievements

1. Data Preparation: We downloaded the crucial datasets for our analyses. Through adept cleansing procedures, we ensured the reliability of our dataset. This phase laid a robust foundation for our subsequent analyses.
2. Development and Testing of Spatial Arbitrage Pricing Theory (SAPT): With our prepared dataset, we started developing and testing the theory. Our findings unveiled compelling insights into market dynamics, shedding light on the interplay between co-search behavior and asset returns.
3. Completion of Academic Paper: We finished a paper titled "Can Storage Momentum and Its Difference Of A Nonferrous Metal Predict Price Return?" Our paper delved into the intriguing realm of storage momentum and its predictive power in price returns. It is under reviewed in the Journal of Futures Markets.

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 Spatial Arbitrage Pricing Theory has been developed successfully as expected. Empirical analyses further confirm the usefulness of the pricing model. Meanwhile, a related research paper is finished and submitted to academic journal.

Strategy for Future Research Activity

1. Finish all empirical analyses.
2. Finish writing the paper.
3. Present the paper in academic conference.
4. Submit the paper to academic journal.

  • Research Products

    (3 results)

All 2023

All Presentation (3 results) (of which Int'l Joint Research: 3 results)

  • [Presentation] Asset Pricing with Co-search Interaction2023

    • Author(s)
      Ko Iat Meng
    • Organizer
      The 6th International Conference on Econometrics and Statistics
    • Int'l Joint Research
  • [Presentation] Unveiling the Dynamics of Climate Change Effects on US Corn Yields: A Novel Approach for Measuring Adaptation2023

    • Author(s)
      Ko Iat Meng
    • Organizer
      International Conference on Agricultural and Environmental Economics
    • Int'l Joint Research
  • [Presentation] Unveiling the Dynamics of Climate Change Effects on US Corn Yields: A Novel Approach for Measuring Adaptation2023

    • Author(s)
      Ko Iat Meng
    • Organizer
      The Macroeconometric Modelling Workshop (MMW2023)
    • Int'l Joint Research

URL: 

Published: 2024-12-25  

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