Host: The Japan Society for Management Information
Name : Annual Conference of Japan Society for Management Information 2020
Location : [in Japanese]
Date : November 07, 2020 - November 08, 2020
We predicted daily stock price fluctuations in the Japanese market based on inter-firm relationships and examined the predictability of stock price changes between the normal and the corona shock period. Using Japanese securities reports, we examined the impact of stock price fluctuations on one firm's stock price on the other. As a result, we successfully predicted these fluctuations on a daily basis. In addition, the alpha value of the stock price fluctuations in the corona shock period was larger than those in normal times, suggesting that the effectiveness of the stock price predictability is higher. In particular, a significant impact on the stock price fluctuation was observed in a customer-to-supplier relation, a downside event, and/or a case in which the customer company is a large corporation.
