A Rebound after a Sharp Fall of Stock Markets—Comparing a Simulation Study—

DOI
  • Mizuta Takanobu
    SPARX Asset Management Co. Ltd., School of Engineering, The University of Tokyo
  • Yagi Isao
    Faculty of Information Technology, Kanagawa Institute of Technology
  • Izumi Kiyoshi
    School of Engineering, The University of Tokyo

Bibliographic Information

Other Title
  • 特別セッション：株式市場急落後の反発に関する分析～シミュレーション研究との比較～

Abstract

Prices of stock markets sometimes rebound after a sharp fall. Many empirical studies show that the rebounds reach statistical significance and propose an Over Reaction Hypothesis. In this study shows that TOPIX include dividends, a Japanese stock market index, also rebounds statistical significantly after a sharp fall and build a theoretical model consistent with previous simulation study results. The result shows that a market price fall down less than a fundamental price, which means most fundamentalist agents estimate by fundamentals, after that, the market price rebounds to the fundamental price. Therefore the rebound mechanism does not need to include the Over Reaction Hypothesis. In addition, there is a possibility that even if there are only fundamental agents, we can explain a volatility clustering which is not explained by Efficient Market Hypothesis. We emphasize that this study build the theoretical model consistent with simulation studies and empirical studies, and few such study has yet been conducted.

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Keywords

Details 詳細情報について

  • CRID
    1390282680322500992
  • NII Article ID
    130004554889
  • DOI
    10.11167/jbef.4.33
  • ISSN
    21853568
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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