変化点検出と日本株式市場の季節性アノマリー

抄録

We detect turning points of the non-stationary time series data of Nikkei 225 index for the period between 1993 and 2010 using 'change finder'. We also calculate the market sentiment using news data prior to the turning point. Our findings are in two-fold. Firstly, the 'change finder' signals the bullish turning points following the rise of the optimistic sentiment and vice versa. Secondly, bullish change occurs significantly more in the first half of the year than the latter half. Our findings are consistent with the view that the reported 'Dekansho-bushi' effect in the Japanese Stock Market is driven by the market psychology.