| 研究課題/領域番号 |
22K01420
|
|---|
| 研究種目 |
基盤研究(C)
|
| 配分区分 | 基金 |
|---|
| 応募区分 | 一般 |
|---|
| 審査区分 |
小区分07030:経済統計関連
|
|---|
| 研究機関 | 東北大学 |
|---|
研究代表者 |
KO IATMENG 東北大学, 経済学研究科, 准教授 (30939608)
|
|---|
| 研究分担者 |
松田 安昌 東北大学, 経済学研究科, 教授 (10301590)
|
|---|
| 研究期間 (年度) |
2022-04-01 – 2026-03-31
|
| 研究課題ステータス |
交付 (2022年度)
|
| 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)
|
|---|
| キーワード | Contagion test / Network interconnection / COVID-19 / Capital asset pricing / EDGAR search traffic / Co-search / Spatial interaction |
|---|
| 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.
|
| 研究実績の概要 |
The year achievement is summarized as follows
1. Completed one academic paper entitled "Stock Market Interconnection and Contagion during the COVID-19 Pandemic: A Network Perspective". It has been submitted and is currently under reviewed in the Journal of Financial Econometrics.
2. The internet traffic data on the US Securities and Exchange Commission's (SEC) Electronic Data Gathering, Analysis, and Retrieval (EDGAR) website is successfully collected. This data is subsequently used in the Spatial Arbitrary Pricing Theory (S-APT) study.
3. One conference presentation has been conducted at the 5th International Conference on Econometrics and Statistics (EcoSta 2022) in Jun. 4-6 2022 at Ryukoku University, Kyoto.
|
| 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 big data of internet ip footprint has been collected. The process of data cleaning is in progress. Meanwhile, a related research paper is finished and submitted to academic journal.
|
| 今後の研究の推進方策 |
1. Finish cleaning of the internet data.
2. Collect financial market data for financial securities.
3. Develop the Spatial-APT model for asset pricing incorporating the internet data.
4. Preliminary model estimation.
|
