“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

• 佐々木, 豊史

• 宮崎, 浩一

書誌事項

タイトル別名

• "Contagion" or "Exclusion"? : Influence of the bad news in Japanese stock market
• デンセン アルイワ ジョガイ ニホン カブシキ シジョウ ニ オケル バッドニュース ノ エイキョウ

抄録

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.

収録刊行物

• 電気通信大学紀要

  電気通信大学紀要 17 (1-2), 21-32, 2005-01-31

  電気通信大学

キーワード

• Japanese stock market
• Bad news
• Heteroskedasticity
• Correlation coefficient
• Contagion
• Exclusion

詳細情報

• CRID: 1050001202924539648
• NII論文ID: 110001059341
• NII書誌ID: AN10016842
• ISSN: 09150935
• NDL書誌ID: 7266676
• Web Site: https://uec.repo.nii.ac.jp/records/6997
• Web Site: http://id.ndl.go.jp/bib/7266676
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I7266676
• 本文言語コード: ja
• 資料種別: departmental bulletin paper
• データソース種別:
  • IRDB
  • NDL
  • CiNii Articles