JSAI Technical Report, Type 2 SIG
Online ISSN : 2436-5556
Analyzing the change of the information flow among stock index and individual stocks at the time of the market sudden change
Hiroshi SUZUKIKiyoshi IZUMIShinobu YOSHIMURA
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RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

2014 Volume 2014 Issue FIN-012 Pages 11-

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Abstract

In this paper, we analyze how the relationship among Nikkei average futures and individual stocks changes when a big event occurs, intending to give investors useful information for the risk management. We showed that the strong relationships had appeared after the Great East Japan Earthquake and we could detect them by using order books properly.

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