人工市場を用いた分散投資規制が市場に与える影響分析～ファンダメンタル価格急落時と急騰時における比較～

抄録

In recent years the risk of mutual funds has become difficult to assess. This is because mutual funds have come to choose various assets, some of which may have high risk, and there may be some funds whose performances depend on dangerously much those of a part of the assets that the funds hold, and so on. Companies managing mutual funds are expected to perform risk control to prevent investors from taking unforeseen risk of funds. A related revision to the investment fund legal system in Japan led to establishing what is known as"the rule for investment diversification." Some papers discussed that the rule for investment diversification affected price formation at the time of a market crash; however, we could not find that it affects price formation at the time of a soaring market. In this paper, we investigated that the rule for investment diversification affected price formation in financial markets where two types of investors who followed the rule and did not follow it participated at the time of a soaring (crashing) market that was caused by the bulge (collapse) of an asset fundamental price using agent-based simulations and discussed the difference between these effects. As results, we found that, in two-asset markets where two types of investors who followed the rule and did not follow it participated, when one asset fundamental price soared, the rule for investment diversification prevented its price rising, and when one asset fundamental price collapsed, the rule promoted the other's price to decline.