Empirical study on the order flow and the mechanism of abrupt rise and heavy decline in stock markets
| Project/Area Number |
20510153
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Fukuyama Heisei University |
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Principal Investigator |
MASKAWA Jun-Ichi Fukuyama Heisei University, 経済学部, 教授 (30199690)
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| Project Period (FY) |
2008 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2009: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2008: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
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| Keywords | 株式市場 / 高騰暴落 / 群れ行動 / 銘柄間相関 / 累積損失 / リスク指標 / 暴騰暴落 / ドローダウン / 主成分分析 / オーダーブック / 連続ダブルオークション / オープンマーケット / 実証研究 / 乱数行列理論 / ミクロモデル / マルチファクターモデル |
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| Research Abstract |
We have studied the mechanism of abrupt rise and heavy decline in stock markets from the perspective of herd behavior of market participants, which has an effect on the cross-correlations of returns among various stocks and the cumulative values of successive losses (drawdown). We have analyzed the time series of stock returns of issues listed on London Stock Exchange and Tokyo Stock Exchange to find that the synchronous movements of whole of issues appear during the period of large price change, and the large drawdown of each issue frequently occur throughout the same period.
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Report
(4 results)
Research Products
(33 results)
