Collection and Analysis of the Data for an elucidation of the stock price mechanism

数据收集和分析以阐明股价机制

• 批准号: 07630084
• 负责人: TSUTSUI Yoshiro
• 金额: $ 1.22万
• 依托单位: Osaka University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1995
• 资助国家: 日本
• 起止时间: 1995 至 1997
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-07630084/
• 关键词: questionnaire; stock price; Japanese and U.S.investors; アンケート; 投資行動

I conducted a survey twice a year, in August and February for these three years. Questionnaires that consist of about 40 questions were sent to about 400 institutional investors, i.e.banks, securities companies, investment trust, and investment consultant companies. The response rate was about 35 to 38%. In this survey, I asked their expectations on the future stoch prices in Japan and the U.S., evaluation of the current market conditions, predictions about future land prices, and so on. Responses are summarized in a ten-page report every time.This survey is a part of those conducted since 1989. Main questions have been asked in the U.S.by Professor Shiller of Yale University. A comparison of the Japanese and U.S.investors' answers gives us very interesting knowledge, and we wrote a paper elucidating the reason of the crash of the Japanese stock prices since 1990 (Review of Economics and Statistics, February 1996).I wrote an article analyzing the current situation of the U.S.stock prices (The Nikkei Daily Newspaper, October 1997). I judge that the U.S.stock prices are in a bubble situation, but the bubble is smaller than the one in the late 1980s in Japan. I also point out there that the U.S.investors are cooler than the Japanese investors in the late 1980s.Now, I am going to test whether or not the investors' expectations are rational expectation. Many previous studies argued that expectation data from surveys is not rational, and one paper argued that the deviation from rational expectation could be filled if we admit that a part of market participants is chartist. Since we asked our respondents if they are fundamentalist or chartist, we can make clear whether or not this hypothesis is valid, using our survey data ; which is now we are going to do.

项目成果

Shiller,Kon-Ya, Tsutsui: "Why did the Nikkei Crash? : Expanding the scope of expectations data collection" Review of Economics and Statistics. 78;1. 156-164 (1996)

Shiller、Kon-Ya、Ttsutsui：“日经指数为何崩盘？：扩大预期数据收集范围”《经济学与统计评论》。

Shiller, Kon・Ya, Tsutsui: "Why did the Nikkei Crash? : Expanding the scope of expectations data collection" Revies of Eeunomics 1 Statistics. Vol.78. 156-164 (1996)

Shiller、Kon・Ya、Ttsutsui：“日经指数为何崩盘？：扩大预期数据收集范围”《经济学评论》第 1 期统计第 156-164 卷（1996 年）。

Shiller,Kon-Ya,Tsntsni: "Why Did the Nikkei Crash? Erponding the Scepe of Expetation Data Collection" Review of Economics and Statistics. (forthcoming).

Shiller、Kon-Ya、Tsntsni：“日经指数为何崩盘？探讨预期数据收集的范围”经济与统计评论。

Shiller, Kon-Ya, Tsutsui: "Why did the Nikkei Crash? : Expanding the scope of expafation data collection" Review of Economics and Statistics. 78・1. 156-164 (1996)

Shiller、Kon-Ya、Ttsutsui：“日经指数为何崩溃？：扩大扩展数据收集的范围”《经济与统计评论》78・1（1996）。