023-19

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[[第23回研究会>023]]

*因果チェーンを用いたリードラグ効果の実証分析 [#uc57f194]

**著者 [#a95600f2]
中川慧, 指田晋吾(野村アセットマネジメント), 坂地泰紀, 和泉潔(東京大学)

**概要 [#g3055bc8]
A lead-lag effect in stock markets describes the situation where one (leading) stock return is cross-correlated with another (lagging) stock return at later times.
There are various methods for stock return forecasting based on such a lead-lag effect.
One of the most representative methods is based on the supply chain network.
In this research, we propose a stock return forecasting method with an economic causal chain.
The economic causal chain refers to a cause and effect network structure constructed by extracting a description indicating a causal relationship from the texts of Japanese financial statement summaries.
We examine the following lead-lag effect.
(1) whether lead-lag effect spreads to the 'effect' stock group when there is a large stock fluctuation in the 'cause' stock group in the causal chain.
(2) whether lead-lag effect spreads to the 'cause' stock group when there is a large stock fluctuation in the 'effect' stock group in the causal chain.
We confirm the existence of the both side of lead-lag effect and the evidence of stock return predictability across causally linked firms in the Japanese stock market. 

**キーワード [#g836d6b1]
Economic Casual Chain, Lead-lag effect, Stock Price Prediction

**論文 [#x1b5e57d]

(10月9日以降に公表いたします)
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//&ref(19_SIG-FIN-23.pdf);
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