| Project/Area Number |
19K01756
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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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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Tohoku University of Community Service and Science |
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Principal Investigator |
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| Project Period (FY) |
2019-04-01 – 2022-03-31
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| Project Status |
Completed (Fiscal Year 2021)
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| Budget Amount *help |
¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2021: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
Fiscal Year 2020: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
Fiscal Year 2019: ¥260,000 (Direct Cost: ¥200,000、Indirect Cost: ¥60,000)
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| Keywords | Financial markets / International news / Japan / Yen / Nikkei / TOPIX / Volatility / Causality / sectoral stock indices / the TOPIX components / volatility / co-movement / Financial market / Exchange rate / Stock price / News impact / Brexit / Presidential election / news impact / information impact / financial markets / international events / Impact of news / International economy / International Policy |
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| Outline of Research at the Start |
Within the frame of this research, I investigate the impact of international information (news) on financial markets of Japan. I will examine how information about international important changes is covered, prepared, interpreted and delivered to its consumer and how it affects the behaviour and decisions of individuals and firms. I estimate the effects and suggest how to decrease the negative impact and increase the positive impact.
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| Outline of Final Research Achievements |
I conducted my research on the impact of news about important political and economic events on Japanese financial markets. I examined how news about the results of the Brexit referendum (BR) and the United States presidential election (USE) in 2016 affected foreign exchange rates and stock market indexes. I employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model, the cross-correlation function, and the daily logarithmic returns of JPY, Nikkei, TOPIX and the TOPIX components in estimations. This research revealed evidence of statistically significant changes in exchange rates and stock market indexes within two weeks after the BR and USE, and demonstrated how the impact of news about the results of BR and USE might spread among the variables indirectly within a week.
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| Academic Significance and Societal Importance of the Research Achievements |
The research is distinct from previous studies in two main ways. First, it incorporates the causality relationship for sectoral stock indices, making the results more informative. Second, it considers the indirect impact of internal and external shocks through volatility transmission.
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