SIG-FIN-018-02

2017-03-21 (火) 11:16:22 (35d) | Topic path: Top / SIG-FIN-018-02

第18回研究会

人工市場シミュレーションを用いたレバレッジドETFが原資産価格変動に与える影響分析

著者

八木勲(神奈川工科大学 情報学部),水田孝信(スパークス・アセット・マネジメント株式会社)

概要

Financial markets occasionally become highly volatile, as a result of a financial crisis or other factors. Previously, index futures trading and program trading have been singled out as direct causes of market destabilization, but more recently it has been suggested that leveraged ETFs (funds aimed at amplifying several-fold the movement of a price index such as the Nikkei Stock Average or underlying assets) rebalancing trades may also be a factor. This study uses a financial market simulation (artificial market) constructed virtually on a computer to assess the impact of leveraged ETF rebalancing trades on the underlying assets market. Analysis results showed that a larger amount of the managed assets of leveraged ETFs corresponds to a higher volatility of the underlying securities market. They also demonstrated that leveraged ETF trading can destroy the underlying assets market, if the leveraged ETF trading impact on the market is greater than that of ordinary volatility of the underlying assets.

キーワード

レバレッジドETF,マーケットインパクト,人工市場,マルチエージェントシミュレーション,金融市場

論文

fileSIG-FIN-018-02.pdf

添付ファイル: fileSIG-FIN-018-02.pdf 21件 [詳細]
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