| 研究課題/領域番号 |
22K01420
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| 研究種目 |
基盤研究(C)
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| 配分区分 | 基金 |
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| 応募区分 | 一般 |
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| 審査区分 |
小区分07030:経済統計関連
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| 研究機関 | 東北大学 |
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研究代表者 |
KO IATMENG 東北大学, 経済学研究科, 准教授 (30939608)
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| 研究分担者 |
松田 安昌 東北大学, 経済学研究科, 教授 (10301590)
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| 研究期間 (年度) |
2022-04-01 – 2026-03-31
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| 研究課題ステータス |
交付 (2023年度)
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| 配分額 *注記 |
4,030千円 (直接経費: 3,100千円、間接経費: 930千円)
2025年度: 650千円 (直接経費: 500千円、間接経費: 150千円)
2024年度: 910千円 (直接経費: 700千円、間接経費: 210千円)
2023年度: 1,040千円 (直接経費: 800千円、間接経費: 240千円)
2022年度: 1,430千円 (直接経費: 1,100千円、間接経費: 330千円)
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| キーワード | Network interconnection / Arbitrage Pricing Theory / Commodity Prediction / Contagion test / COVID-19 / Capital asset pricing / EDGAR search traffic / Co-search / Spatial interaction |
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| 研究開始時の研究の概要 |
We explore the raw data from the US Securities and Exchange Commission’s (SEC) Electronic Data-Gathering, Analysis, and Retrieval (EDGAR) website which contains visitor’s IP address, timestamp, and the company that the visitor searched. The outline is as follow.
1. Our study conducts asset pricing models based on individual stocks, see Ang, Liu, and Schwarz (2020).
2. We adopt the Spatial Arbitrage Pricing Theory (S-APT) to study asset pricing with co-search relation. We extend the S-APT model to study general information-driven relationships.
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| 研究実績の概要 |
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.
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| 現在までの達成度 (区分) |
現在までの達成度 (区分)
2: おおむね順調に進展している
理由
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.
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| 今後の研究の推進方策 |
1. Finish all empirical analyses.
2. Finish writing the paper.
3. Present the paper in academic conference.
4. Submit the paper to academic journal.
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