国際金融市場の統合と変動性に関する実証分析

研究成果発表報告書

• 研究課題/領域番号: 18330069
• 研究種目: 基盤研究(B)
• 配分区分: 補助金
• 応募区分: 一般
• 研究分野: 財政学・金融論
• 研究機関: 和歌山大学
• 研究代表者: マグレビ ナビル (MAGHREBI Nabil / NABIL MAGHREBI) 和歌山大学, 経済学部, 教授 (20283947)
• 研究分担者: 仁科 一彦 大阪大学, 大学院・経済学研究科, 教授 (30094311)
• 研究協力者: ホームス マーク Waikato Management School, Waikato University, NEW ZEALAND, Professor and Chairman ; キム ムソン College of Business Administration, Pusan National University, KOREA, Associate Professor
• 研究期間 (年度): 2006 – 2008

研究成果

• [雑誌論文] Is there a connection between monetary unification and realeconomic integration? Evidence from regime-switching stationarity tests (2008)
  • 著者名/発表者名: Mark J. Holmes and Nabil Maghrebi
  • 雑誌名: Journal of International Money and Finance 巻: 27 ページ: 958-970
  • 査読あり
• [雑誌論文] The Bank of Japan monetary policy meetings and the behaviour of the Nikkei225 implied volatility index (2008)
  • 著者名/発表者名: Nabil Maghrebi
  • 雑誌名: Osaka Economic Papers 巻: 57 ページ: 84-99
• [雑誌論文] The KOSPI200 implied volatility index : evidence of regime shifts in expected volatility (2007)
  • 著者名/発表者名: Nabil Maghrebi, Moo-Sung Kim and Kazuhiko Nishina
  • 雑誌名: Asia-Pacific Journal of Financial Studies 巻: 36 ページ: 163-187
  • 査読あり
• [雑誌論文] An introduction to the Nikkei 225 implied volatility index (2007)
  • 著者名/発表者名: Nabil Maghrebi
  • 雑誌名: The Wakayama Economic Review 号: 336 ページ: 35-55
• [雑誌論文] Are international real interest rate linkages characterized by asymmetric adjustments? (2006)
  • 著者名/発表者名: Mark J. Holmes and Nabil Maghrebi
  • 雑誌名: Journal of International Financial Markets, Institutions & Money 巻: 16 ページ: 384-396
  • 査読あり
• [雑誌論文] Are there asymmetries in the relationship between foreign exchange fluctuations and stock market volatility in Pacific Basincountries? (2006)
  • 著者名/発表者名: Nabil Maghrebi, Mark J. Holmes and Eric Pentecost
  • 雑誌名: Review of Pacific Basin Financial Markets and Policies 巻: 9 ページ: 229-256
  • 査読あり
• [学会発表] Estimation of Japanese equity risk with the model-free Nikkei225 implied volatility index (2009)
  • 著者名/発表者名: Nabil Maghrebi
  • 学会等名: Applied Statistics Workshop, The University of Tokyo
  • 発表場所: Tokyo, Japan
  • 年月日: 2009-01-23
• [学会発表] Market expectations of economic uncertainty around the Bank of Korea monetary policy meetings (2008)
  • 著者名/発表者名: Nabil Maghrebi and MooSung Kim
  • 学会等名: International Conference of Asia-Pacific Association of Derivatives
  • 発表場所: Pusan, Korea
  • 年月日: 2008-06-26 – 2008-06-27
• [学会発表] The Nikkei225 implied volatility index and the behavior of volatility expectations in the Japanese stock market (2007)
  • 著者名/発表者名: Nabil Maghrebi
  • 学会等名: Center for the Study of Finance and Insurance CSFI Workshop 2007
  • 発表場所: CSFI Osaka University, Japan
  • 年月日: 2007-12-01 – 2007-12-02
• [学会発表] The stochastic behaviour of the Nikkei225 implied volatility index (2007)
  • 著者名/発表者名: Nabil Maghrebi, Kazuhiko Nishina and MooSung Kim
  • 学会等名: The 15th Annual Meeting of Nippon Finance Association (Proceedings, pp. 218-227)
  • 発表場所: Keio University Tokyo, Japan
  • 年月日: 2007-06-16 – 2007-06-17
• [学会発表] The KOSPI200 implied volatility index : evidence of regime shifts in expected volatility (2006)
  • 著者名/発表者名: Nabil Maghrebi, MooSung Kim and Kazuhiko Nishina
  • 学会等名: The First International Conference on Asia-Pacific Financial Markets
  • 発表場所: Seoul, Korea
  • 年月日: 2006-12-08 – 2006-12-09