| Presentation | 2017-06-30 Seasonality Analysis in J-REIT Market Mingxin Zhang, Takashi Nakamura, Tomoya Suzuki, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | Seasonality in financial markets such as "Sell in May" effect has been reported by many previous studies, but there are few cases that focus on real estate investment trust (REIT) markets. For this reason, we analyzed its Japanese market (J-REIT), and could clearly confirm some seasonalities whose validity was also confirmed by statistical significance tests. It might be because office and commercial facility included in REIT are easily affected by the cycle of corporate activities and human life activities. Moreover, we performed some investment simulations using this seasonality and confirmed the possibility of getting attractive profits through long-term investments. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Seasonality / J-REIT Market / Anomaly / Complex Financial Systems |
| Paper # | CCS2017-6 |
| Date of Issue | 2017-06-22 (CCS) |
| Conference Information | |
| Committee | CCS |
|---|---|
| Conference Date | 2017/6/29(2days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Ibaraki Univ. |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Interaction and Communication, etc. |
| Chair | Naoki Wakamiya(Osaka Univ.) |
| Vice Chair | Mikio Hasegawa(Tokyo Univ. of Science) / Makoto Naruse(NICT) |
| Secretary | Mikio Hasegawa(Osaka Univ.) / Makoto Naruse(Tokyo City Univ.) |
| Assistant | Chisa Takano(Hirishima City Univ.) / Takashi Shimada(Univ. of Tokyo) / Tomoya Suzuki(Ibaraki Univ.) / Ryo Takahashi(AUT) |
| Paper Information | |
| Registration To | Technical Committee on Complex Communication Sciences |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Seasonality Analysis in J-REIT Market |
| Sub Title (in English) | |
| Keyword(1) | Seasonality |
| Keyword(2) | J-REIT Market |
| Keyword(3) | Anomaly |
| Keyword(4) | Complex Financial Systems |
| 1st Author's Name | Mingxin Zhang |
| 1st Author's Affiliation | Ibaraki University(Ibaraki Univ.) |
| 2nd Author's Name | Takashi Nakamura |
| 2nd Author's Affiliation | Tokai Tokyo Research Center(Tokai Tokyo) |
| 3rd Author's Name | Tomoya Suzuki |
| 3rd Author's Affiliation | Ibaraki University(Ibaraki Univ.) |
| Date | 2017-06-30 |
| Paper # | CCS2017-6 |
| Volume (vol) | vol.117 |
| Number (no) | CCS-112 |
| Page | pp.pp.23-28(CCS), |
| #Pages | 6 |
| Date of Issue | 2017-06-22 (CCS) |