Title: On trend change mechanisms of financial markets
Authors: Yoko Tanokura - Meiji University (Japan) [presenting]
Sato Seisho - The University of Tokyo (Japan)
Genshiro Kitagawa - Meiji University and The University of Tokyo (Japan)
Abstract: Political events and economic problems in one country have increasingly influenced the economies and financial markets worldwide. For example, the global economic crisis occurred at the end of 2008 was first triggered by the US subprime mortgage problem in the summer of 2007. In a financial market, the trend of the asset price can be regarded as the gradually changing long-term fluctuations caused by characteristics specific to the asset. On the other hand, the short-term cyclical fluctuations can sensitively be influenced by those of any other asset prices, and may lead to a future change in the trend direction. Aiming to analyze the mechanism of causing changes of the long-term trend, we extract the long-term trend component, the seasonal component if exists, and the short-term cyclical component from a financial market index, based on a seasonal adjustment model. The aim is to investigate the fluctuation structure of the long-term trend component of the Nikkei average, focusing on the relationship with the short-term cyclical components. It is found that the short-term cyclical component of the Nikkei average which was influenced by those of the other stock market indices, prompted changes of the long-term trend component of the Nikkei average.