JSAI Technical Report, Type 2 SIG
Online ISSN : 2436-5556
Impact Analysis of Index Investments on Market Price Formation via Simulation
Izuru MATSUURA, Kiyoshi IZUMI, Hiroki SAKAJI, Hiroyasu MATSUSHIMA, Takashi SHIMADA
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RESEARCH REPORT / TECHNICAL REPORT FREE ACCESS

2019 Volume 2019 Issue FIN-022 Pages 116-

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Abstract

In this paper, we modeled stock markets to investigate the effect of index investing on stock price formation. We showed that index investing has little effect on stock price formation in our stock markets model by analyzing results from experiments with various market settings.

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