市場急変時における銘柄間情報伝播の変化に関する分析
2014 年 2014 巻 FIN-012 号 p. 11-
詳細
2014 年 2014 巻 FIN-012 号 p. 11-
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.
