Presentation 2017-06-30
Seasonality Analysis in J-REIT Market
Mingxin Zhang, Takashi Nakamura, Tomoya Suzuki,
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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
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)