SIG-FIN-012-04

第12回研究会

変化点検出と日本株式市場の季節性アノマリー†

著者†

山崎高弘（大阪産業大学工学部）, 岡田克彦（関西学院大学大学院経営戦略研究科）

概要†

We detect turning points of the non-stationary time series data of Nikkei 225 index for the period between 1993 and 2010 using 'change nder'. We also calculate the market sentiment using news data prior to the turning point. Our ndings are in two-fold. Firstly, the 'change nder' signals the bullish turning points following the rise of the optimistic sentiment and vice versa. Secondly, bullish change occurs signicantly more in the rst half of the year than the latter half. Our ndings are consistent with the view that the reported 'Dekansho-bushi' effect in the Japanese Stock Market is driven by the market psychology.

論文†

SIG-FIN-012-04.pdf