2009 Fiscal Year Final Research Report
Research on the effect of investors' information strategies on the dynamics of security prices.
| Project/Area Number |
19730225
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Single-year Grants |
|---|
| Research Field |
Public finance/Monetary economics
|
|---|
| Research Institution | Sophia University |
|---|
Principal Investigator |
KAWANISHI Satoshi Sophia University, 経済学部, 教授 (90317503)
|
|---|
| Project Period (FY) |
2007 – 2009
|
| Keywords | ファイナンス / 動学モデル / 投資情報 / 行動ファイナンス / 非対称情報 |
|---|
| Research Abstract |
This research project studied theoretically and empirically on the effect of investors' information strategies on the dynamics of security prices. The main results are as follows.
In theoretical studies, it was shown that three different information strategies can coexist in the equilibrium of the security market model where 2 different types of investment information are available, and that, when the equilibrium has three strategies, the strategy adjustment process by investors can exhibit detours and cyclical oscillation.
In empirical studies, it was shown that there is a significant difference in the rate of return from investment in stocks listed in Tokyo Stock Exchange depending on the time of day, and that the difference is related on the trading data of different types of investors.
In addition, the theoretical model of information strategies were applied to study the foreign exchange market, and it was shown that the model can explain the effect of invention announcement by the monetary authority.
|
Research Products
(10 results)
