2013 Fiscal Year Final Research Report
An behavior finance approach to asset price correlations and applications to financial engineering
| Project/Area Number |
23330104
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Kyoto University |
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Principal Investigator |
EGAMI Masahiko 京都大学, 経済学研究科(研究院), 教授 (40467395)
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| Co-Investigator(Kenkyū-buntansha) |
WAKAI Katsutoshi 京都大学, 大学院・経済学研究科, 准教授 (80455708)
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| Project Period (FY) |
2011-04-01 – 2014-03-31
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| Keywords | 構造変化 / 資産価格相関 / 行動学的要因 / 流動性 / ファンドマネージメント |
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| Research Abstract |
After the global financial crisis, a number of research papers on the U.S. stock market report a higher correlation among indusries. This phenomenon may not be explained through the conventional risk-return analysis. We apply a Markov switching model that contains both reversible and irreversible chains and find that the structural change of the market seemed to occur in 2003, well before the crisis.
We also analyse bid-ask spreads, one of the liquidity measures, in the credit default swap (CDS) markets. These spreads are determined by the behaviors of the market participants. We successfully fit a self-exciting process combinded with time-changed Brownian motion. Moreover, we investigate the fund manager's optimal stopping problem where the fund is leveraged.
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Research Products
(11 results)
