伝染或いは"除外"?日本株式市場におけるバッドニュースの影響

In this article, we examine whether bad news on a company impacts on the correlations between the equity return of the company and those of other companies based on the Japanese equity data in 1997, when some of major financial institutions bankrupted. We define "contagion" or "exclusion" as a significant increase or decrease, respectively, in the correlation after the announcement of the bad news. Our major findings are (1) whether the effect of the bad news is "contagion" or "exclusion" basically depends upon the nature of the bad news, (2) heteroskedasticity in the correlation has some influence on the identification of the bad news effect and it is important to adjust the heteroskedasticity in the correlation to correctly identify the effect