+Working Paper
01■Risk Consistency and Professional Fund Managers` Investment Behavior: Questionnaire-based Analysis on Japanese Market*
Masayuki Susai(Nagasaki University)
Hiroshi Moriyasu(Nagasaki University)
++Abstract
In this paper, we investigate risk consistency and other investment behaviors of fund managers working at Japanese investment institutions using a questionnaire based survey that was conducted in October of 2005. In particular, we focused on the herding behavior and disposition effect of fund managers. We found that ‘risk inconsistent’ fund managers have a tendency to show disposition behavior. As for herding behavior, we could not find any strong evidence that might indicate a difference between the two groups.
Keywords: Risk Consistency, Disposition Effect, Herding Behavior
02■Volume or Order Flow? : Which contains more information in really traded Yen/Dollar Foreign Exchange Market?
Masayuki Susai(Nagasaki University)
++Abstract
In this paper, we use real traded foreign exchange data to test mixture of distribution hypothesis. Up to now, it is difficult to use traded foreign exchange rate because foreign exchange rate trade is only a bilateral between dealers in foreign exchange markets. In many papers with foreign exchange rate, they use quoted data or limited data gained from a dealer or a bank directly. With this special data, we find clear impact of trading volume on the volatility and GARCH effect of foreign exchange rate. In addition to trading volume, we explore the impact of order flow and find limited impact. From these findings, trading volume can be better proxy for information arrival than order flow.
Keywords :Traded Foreign Exchange Rate , MDH, GARCH model
01■Risk Consistency and Professional Fund Managers` Investment Behavior: Questionnaire-based Analysis on Japanese Market*
Masayuki Susai(Nagasaki University)
Hiroshi Moriyasu(Nagasaki University)
++Abstract
In this paper, we investigate risk consistency and other investment behaviors of fund managers working at Japanese investment institutions using a questionnaire based survey that was conducted in October of 2005. In particular, we focused on the herding behavior and disposition effect of fund managers. We found that ‘risk inconsistent’ fund managers have a tendency to show disposition behavior. As for herding behavior, we could not find any strong evidence that might indicate a difference between the two groups.
Keywords: Risk Consistency, Disposition Effect, Herding Behavior
02■Volume or Order Flow? : Which contains more information in really traded Yen/Dollar Foreign Exchange Market?
Masayuki Susai(Nagasaki University)
++Abstract
In this paper, we use real traded foreign exchange data to test mixture of distribution hypothesis. Up to now, it is difficult to use traded foreign exchange rate because foreign exchange rate trade is only a bilateral between dealers in foreign exchange markets. In many papers with foreign exchange rate, they use quoted data or limited data gained from a dealer or a bank directly. With this special data, we find clear impact of trading volume on the volatility and GARCH effect of foreign exchange rate. In addition to trading volume, we explore the impact of order flow and find limited impact. From these findings, trading volume can be better proxy for information arrival than order flow.
Keywords :Traded Foreign Exchange Rate , MDH, GARCH model
Information on:
The 4th East-Asian Conference on Finance and Accounting
Hosted by:Forum on Issues Surrounding the Business in East Asia, Nagasaki University Date:12-13, December 2008 Venue:Nagasaki Prefectural Art Museum, Nagasaki, Japan
Discipline Area:Finance and Accounting issue on East Asian countries and market Dead line for submitting abstract and manuscript:31, August 2008