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“伝染”或いは“除外”? : 日本株式市場におけるバッドニュースの影響
https://uec.repo.nii.ac.jp/records/6997
https://uec.repo.nii.ac.jp/records/6997da1335c1-6d41-4137-a084-c9ac359acbc5
名前 / ファイル | ライセンス | アクション |
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9000000160.pdf (167.6 kB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2010-02-16 | |||||
タイトル | ||||||
言語 | ja | |||||
タイトル | “伝染”或いは“除外”? : 日本株式市場におけるバッドニュースの影響 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | "Contagion" or "Exclusion"? : Influence of the bad news in Japanese stock market | |||||
言語 | ||||||
言語 | jpn | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Japanese stock market | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Bad news | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Heteroskedasticity | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Correlation coefficient | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Contagion | |||||
キーワード | ||||||
言語 | en | |||||
主題 | Exclusion | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
佐々木, 豊史
× 佐々木, 豊史× 宮崎, 浩一 |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this article, we examine whether bad news on a company impacts on the correlations betweenthe equity return of the company and those of other companies based on the Japanese equity datain 1997, when some of major financial institutions bankrupted. We define "contagion" or "exclusion" as a significant increase or decrease, respectively, in the correlation after the announcement of thebad news. Our major findings are (1) whether the effect of the bad news is "contagion" or "exclusion" basically depends upon the nature of the bad news, (2) heteroskedasticity in thecorrelation has some influence on the identification of the bad news effect and it is important toadjust the heteroskedasticity in the correlation to correctly identify the effect. | |||||
書誌情報 |
ja : 電気通信大学紀要 巻 17, 号 1-2, p. 21-32, 発行日 2005-01-31 |
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出版者 | ||||||
出版者 | 電気通信大学 | |||||
ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 0915-0935 | |||||
著者版フラグ | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 |