| 研究実績の概要 |
In 2020, the research results of the previous year were improved and prepared as an academic article. The academic article was submitted to a Scopus listed peer-reviewed academic journal (International Journal of Financial Studies). The original version of the paper was revised three times after submission based on the feedback and suggestions by three anonymous referees. The final version was published under the title "The impacts of international political and economic events on Japanese financial markets". In the paper, I examined how news about the results of the Brexit referendum (BR) and the United States presidential election (USE) affected foreign exchange rates and stock market indexes.
Furthermore, applying autoregressive conditionally heteroscedastic type models and cross-correlation function to daily data, I estimated how the returns, volatility and co-movement of the sectoral stock indices, including the TOPIX components with the weight of five percent and more, change when the news about some important international economic and political events is spread. The research results were presented and discussed at the Global Conference on Advances in Business and Social Sciences (Dec. 2020). Many feedbacks and suggestions for improvements were received. Nowadays, I am working on the modification of this part of my research.
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| 今後の研究の推進方策 |
From now on, I will prepare a new academic paper about the impact of international news on the returns, volatility and co-movement of the sectoral stock indices, including the TOPIX components with the weight of five percent and more (namely, transportation equipment index, electric appliances index, banks index, information and communication index, chemicals index and machinery index).
I am planning to present and discuss the first version of the paper at an international conference and to submit the improved version to a peer-reviewed academic journal for publication.
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