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)

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


Working Paper 02

Volume or Order Flow? : Which contains more information in really traded Yen/Dollar Foreign Exchange Market?

Masayuki Susai (Nagasaki University)

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


Empirical Study on Asian Financial Markets

Edited by Masayuki Susai Hiromasa Okada