023-17

第23回研究会

日本株式市場におけるdaytimeとovernight returnの間のVC相関解析†

著者†

落合友四郎(大妻女子大学), Jose Nacher(東邦大学)

概要†

While most financial engineering and econophysics studies have focused in daytime trading, much less investigation has been devoted to the non-trading or night periods. In this work, the correlation between overnight and daytime return (correlation ND) and the correlation between daytime return and following over night return (correlation DF) were investigated, which led to several findings. First, a weak negative correlation between overnight and daytime return (correlation ND) was observed in Japanese Stocks Market. Secondly, the application of Volatility Constrained correlation (VC correlation) method led to a significant amplification of this signal which benefits for increasing predictability of day time return compared to standard correlation. Furthermore, the analysis of the amplified signal derived from VC correlation for each stock revealed a linear scale relationship between the standard correlation and VC correlation. Therefore, this result indicates that by using the VC correlation, stronger correlation effect can be observed. Taking together, these findings suggest that the combination of VC approach with financial trading data over night paves the way to improve market predictability.

キーワード†

Japanese Stocks Market, correlation, overnight and daytime return

論文†

(10月9日以降に公表いたします)