Empirical analyses on dynamic predictor selection in the Japanese Stock Market
| Project/Area Number |
15K03559
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | Waseda University |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000)
Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2015: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
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| Keywords | 戦略の切り替え / バブル暴落発生原因 / 投資戦略 / バブル・暴落発生原因 |
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| Outline of Final Research Achievements |
There are mainly two research achievements on this project. First, we utilized a monthly panel dataset on the transaction history of 11 types of investors on the Tokyo Stock Exchange, and significantly identified foreign investors as trend-followers and individual investors, security companies, and investment trusts as fundamentalists. We also found that life or postal life insurance entities, trust banks, and industrial corporations interchangeably switch fundamental and technical rules over time. Therefore, the evidence provides significant support to severalagent-based models that theoretically explain empirical phenomena on price dynamics in real financial markets.
The second project utilized the transaction data of the individual stocks listed on the Nikkei 225. We demonstrated that switching strategies among several technical rules produce better performances than the buy and hold and non-switching strategies over our sample periods.
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Report
(4 results)
Research Products
(6 results)
