SIG-FIN-011-07

第11回研究会

市場急変時における銘柄間情報伝播の変化に関する分析†

著者†

鈴木 裕士 (東京大学) 和泉 潔 (東京大学, CREST), 吉村 忍 (東京大学)

概要†

In this paper, we analyze how the relationship among Nikkei average futures and individual stocks changes when a big event occurs, intending to give investors useful information for the risk management. We showed that while there were few particular relationships among Nikkei average futures and individual stocks before the Great East Japan Earthquake, just after that, the relationships greatly changed, and there were some trends peculiar to individual stocks in how the relationships changed.

論文†

SIG-FIN-011-07.pdf