B-6-1 Fuzzy Cluster Analysis on International Stock Prices : Frequency Domain Approach(General Session in English(2))

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概要

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• This paper investigates comovement of international stock prices from the viewpoint of both region and industry. Specifically, we apply the cluster analysis to recent daily stock price data of Asian and U.S. firms. This paper extends the author's past papers by introducing the frequency domain approach. More precisely, the measure of comovement in this paper is the coherence, a well-known similarity measure that can distinguish short-run and long-run comovement. The empirical results indicate that the country effect surpasses the industry effect in both short run and long run, i.e., shares from the same country tend to move together but shares within the same industry do not. This finding suggests that choosing a country and then many kinds of industry therein is a riskier investment strategy than choosing an industry and then many countries. The dominant country effect also highlights a slow process of globalization.

• 2012-12-26

著者

• Motegi Kaiji

  Department Of Economics University Of North Carolina At Chapel Hill

• Shinkai Kimiaki

  Department Of Child Studies Tokyo Kasei Gakuin University

• MOTEGI Kaiji

  Department of Economics, University of North Carolina at Chapel Hill

• SHINKAI Kimiaki

  Department of Child Studies, Tokyo Kasei Gakuin University

• YAMASHITA Hajime

  Faculty of Political Science and Economics, Waseda University

関連論文

• Fuzzy Cluster Analysis and its Evaluation Method(Contribution to 21 Century Intelligent Technologies and Bioinformatics)
• 30A-C-1 Fuzzy Cluster Analysis on International Stock Prices(General Session in English)
• B-6-1 Fuzzy Cluster Analysis on International Stock Prices : Frequency Domain Approach(General Session in English(2))
• B-6-2 Education Evaluation Method Applying Fuzzy Theory and EM Algorithm(General Session in English(2))

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