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武蔵大学論集 「The Journal of Musashi University」 >
2016年度・第64巻 第2号 >

Please use this identifier to cite or link to this item: http://hdl.handle.net/11149/1877

Title: Excess comovement and investor attention in the Japanese stock market
Authors: TOKUNAGA, Toshifumi
YAMAMOTO, Rei
徳永, 俊史
山本, 零
Keywords: daily individual stock return, monthly correlation
limited attention
sector; turnover ratio
Issue Date: 20-Dec-2016
Publisher: 武蔵大学経済学会
Abstract: We investigate the monthly excess comovement of three groups categorized by two industry classifications from 1985 to 2013 . Defining excess comovement as a correlation between two stocks beyond what would be justified by the Fama-French three factor model, we find that 42 % of excess comovement for the group of stocks within the same sectors in the 33 sector classification can be explained by some variables, including the attention measurement, short-term interest rate, market liquidity, market-wide uncertainty, and information heterogeneity. Results support the hypothesis that excess comovement among stocks within the same sectors correlates positively with the corresponding investor attention.
Description: JEL Classifications: D82, G12, G14
URI: http://hdl.handle.net/11149/1877
Appears in Collections:2016年度・第64巻 第2号

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