近年の世界の株価の連鎖構造分析(持続可能な社会経済システムと地域総合デザイン)

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In this paper, as a method to grasp and to help interpret the structure of chain reaction among world stock markets, integrated use of "time order method" and "directed KeyGraph" is presented. Two processes are necessary to make a convincing scenario for chain reacting stock markets-one is to grasp relations among stock movements by statistical method and the other is to estimate back ground of the grasped relations. The presented method is to help execute these processes in effective and integrated manner. As a case study, this method is applied to analyze the movements of world's major stock markets around "Lehman shock" and to write a scenario. Lehman Brothers, a major U.S. investment bank, bankrupted on September 15, 2008. On that day, U.S. stock index dropped 4.4 % from the previous day, and other major world stock markets also fell dramatically. This event is called as "Lehman shock". "Lehman shock" is generally regarded as to be triggered by "sub-prime loan problem". And the scenario, generally used among business and media persons, for the following downturn of world stock markets and world economy, can be summarized as follows; "sub-prime loan problem→Lehman's bankruptcy→decline of U.S. stocks→decline of world stock markets→global recession". We show that when we apply the presented method to grasp relations among the movements of the major world stock markets and interpret it in conjunction with major economic and political events, another more compelling scenario can be created.
社会・経済システム学会の論文
2010-10-30

近年の世界の株価の連鎖構造分析(持続可能な社会経済システムと地域総合デザイン)

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