Research activity information

• Apr. 2024 IETI Transactions on Data Analysis and Forecasting (iTDAF), Best Paper Award

  Jin Shang, Tamotsu Nakamura, Shigeyuki Hamori

  共同研究・競争的資金等の業績IDIRI


• Mar. 2024 Singapore Economic Review, Outstanding Reviewer in 2023

  Shigeyuki Hamori


• Jul. 2022 International Engineering and Technology Institute, IETI Annual Scientific Award

  Shigeyuki Hamori


• Jan. 2021 Institute of Data Science and Artificial Intelligence, Distinguished Fellow (DFIDSAI)

  Shigeyuki Hamori


• Apr. 2020 Journal of Risk and Financial Management,, Outstanding Reviewer Award

  Shigeyuki Hamori


• Feb. 2020 Review of Integrative Business & Economics Research,, RIBER Best Paper Prize

  Kohei MATSUOKA, Shigeyuki HAMORI

  共同研究・競争的資金等の業績IDIRI


• Jan. 2020 SIBR 2020 Sydney Conference on Interdisciplinary Business & Economics Research,, Best Paper Award

  Kohei MATSUOKA, Shigeyuki HAMORI

  共同研究・競争的資金等の業績IDIRI


• Sep. 2018 SIBR 2018 Hong Kong Conference on Interdisciplinary Business & Economics Research,, Best Paper Award

  Takahiro KUME, Shigeyuki HAMORI

  International society

  共同研究・競争的資金等の業績IDIRI


• 2018 International Engineering and Technology, Institute, Distinguished Fellow (DFIETI)

  HAMORI SHIGEYUKI

  Others


• 2015 Lifescience Glogal, Journal of Reviews on Global Economics, Editor's Choice

  KINKYO TAKUJI, HAMORI SHIGEYUKI

  Official journal


• 2013 野村ホールディングス株式会社, Nomura Award

  HAMORI SHIGEYUKI

  Others


• 2002 村尾育英会, The Murao Award for Young Scholars

  Shigeyuki Hamori

• How Geopolitical Crises Influence BRICS Financial Markets and Macroeconomic Growth: Insights from the Russia-Ukraine War Using GARCH-MIDAS and Quantile Regression

  Wenting Zhang, Shigeyuki Hamori, Xiaojing Cai

  2026, Singapore Economic Review, forthcoming, English

  [Refereed]

  Scientific journal


• Spillover Effects Between Policy Uncertainty, Economy and Financial System in China and the United States: A Mixed-Frequency Connectedness Approach

  Chengyao Xie, Heguang Zhao, Xie He, Shigeyuki Hamori

  This study investigates the risk spillovers of economic policy uncertainty (EPU) across macroeconomic and financial systems in China and the United States using mixed-frequency data. Employing Cotter et al.’s (2023) mixed-frequency connectedness approach, this study integrates monthly macroeconomic indicators and weekly financial variables to capture cross-country transmission mechanisms more accurately. In China, domestic EPU mainly affects the macroeconomic sector, whereas in the United States, domestic EPU primarily affects the financial system. Both countries experienced sharply intensified spillovers during the COVID-19 pandemic. These findings highlight the heterogeneity of the effects of policy uncertainty across national systems and underscore the importance of mixed-frequency analysis in developing targeted macroprudential policies.

  World Scientific Pub Co Pte Ltd, Nov. 2025, The Singapore Economic Review, English

  [Refereed][Invited]

  Scientific journal


• When Climate Risks Meet Equity Markets: Evidence from Return and Volatility Spillovers

  Konoka Hamada, Yuichiro Hamada, Shigeyuki Hamori

  Climate change presents significant risks to the global economy and financial markets through both physical and transition channels. This study examines the transmission of climate-related risks, measured by two news-based indicators—the Physical Risk Index (PRI) and the Transition Risk Index (TRI)—to equity markets. Using the Diebold–Yilmaz and Baruník–Křehlík connectedness frameworks, we analyze three representative equity benchmarks: the S&P 500 (SP500), the iShares ESG MSCI KLD 400 Index (DSI), and the iShares Global Clean Energy Index (ICLN). The empirical results show three main findings. First, both the PRI and TRI have relatively weak spillover effects on equity markets but display strong mutual interactions, indicating interdependence between physical and transition risk dimensions. Second, return spillovers are more prominent in the short term, while volatility spillovers dominate over longer horizons, reflecting structural asymmetry in risk transmission. Third, major global shocks—including the 2011 Libyan conflict, the COVID-19 pandemic, and U.S. tariff shocks in 2018 and 2025—increase both return and volatility spillovers. Overall, the findings indicate that volatility is the primary channel for long-term transmission of climate-related uncertainty. Climate-related news, although not yet fully integrated into equity market dynamics, is increasingly relevant for financial stability and the broader energy transition. Therefore, incorporating climate risk considerations into financial market analysis and policy design is necessary.

  Redfame Publishing, Nov. 2025, Applied Economics and Finance, 12(4) (4), 1 - 21, English

  [Refereed]

  Scientific journal


• Financial Mechanisms of Corporate Bankruptcy: Are They Different or Similar Across Crises?

  Katsuyuki Tanaka, Takuo Higashide, Takuji Kinkyo, Shigeyuki Hamori

  One primary objective of the early warning system literature is to construct more accurate financial vulnerability prediction models and investigate the mechanisms and key factors that differentiate healthy from vulnerable financial states. Despite the importance of identifying and predicting financial vulnerabilities, existing research does not fully explain whether—and how—the financial behavior associated with corporate bankruptcy differs across crises. This study investigates (1) whether the financial mechanisms of corporate bankruptcy differ across three crises—the Global Financial Crisis, the European debt crisis, and the COVID-19 crisis; (2) whether these crises differ from tranquil periods before the Global Financial Crisis and after the European debt crisis; and (3) how these differences manifest. To conduct this analysis, we introduce a unique framework based on a random forest model, utilizing a corporate bankruptcy dataset spanning 2002–2023. The results show that the bankruptcy mechanisms during the Global Financial Crisis and the European debt crisis are not significantly different, whereas the COVID-19 crisis exhibits distinct characteristics. Additionally, we find that “Credit period days,” “Collection period days,” “Gross margin,” and “Solvency ratio (asset-based)” are key financial factors distinguishing these events.

  MDPI AG, Aug. 2025, Risks, 13(8) (8), #158, English

  [Refereed]

  Scientific journal

  Link to Kobe Univ. Repository (Kernel)


• Portfolio implications based on quantile connectedness among cryptocurrency, stock, energy, and safe-haven assets

  Yulian Zhang, Shigeyuki Hamori

  Elsevier BV, Jul. 2025, Journal of Commodity Markets, #100494, English

  [Refereed]

  Scientific journal


• Different moments create different spillovers: A study of commodity markets

  Xie He, Shigeyuki Hamori

  Corresponding, Jun. 2025, Singapore Economic Review, 70(03) (03), 537 - 558, English

  [Refereed]

  Scientific journal


• A Multi-Stage Financial Distress Early Warning System: Analyzing Corporate Insolvency with Random Forest

  Katsuyuki Tanaka, Takuo Higashide, Takuji Kinkyo, Shigeyuki Hamori

  Apr. 2025, Journal of Risk and Financial Management, 18(4) (4), #195, English

  [Refereed]

  Scientific journal

  Link to Kobe Univ. Repository (Kernel)


• Is the time-varying frequency connectedness across crude oil prices, geopolitical risk, economic policy uncertainty, and foreign exchange rates different between Asian and non-Asian countries?

  Jin Shang, Shigeyuki Hamori

  Elsevier BV, Mar. 2025, Resources Policy, 102(#105518) (#105518), English

  [Refereed]

  Scientific journal


• Conditional threshold effects of stock market volatility on crude oil market volatility

  Kaiji Motegi, Shigeyuki Hamori

  Elsevier BV, Mar. 2025, Energy Economics, 143(#108189) (#108189), English

  [Refereed]

  Scientific journal

  Link to Kobe Univ. Repository (Kernel)


• Currency cluster and volatility co-movement: The role of common global factors

  Xie He, Takuji Kinkyo, Shigeyuki Hamori

  World Scientific Pub Co Pte Ltd, Feb. 2025, The Singapore Economic Review, forthcoming, English

  [Refereed]

  Scientific journal


• Reality Hits Early Warning System: Based on Unsupervised Isolation Forest Anomaly Detection

  Katsuyuki Tanaka, Takuo Higashide, Takuji Kinkyo, Shigeyuki Hamori

  2025, Singapore Economic Review, forthcoming, English

  [Refereed]

  Scientific journal


• Time-varying frequency connectedness analysis across crude oil, geopolitical risk, economic policy uncertainty, and stock markets

  Jin Shang, Shigeyuki Hamori

  2025, Singapore Economic Review, 70(1) (1), 3 - 71, English

  [Refereed]


• Asymmetric Higher-Moment spillovers between sustainable and traditional investments

  Xie He, Shigeyuki Hamori

  Elsevier BV, Dec. 2024, Journal of International Financial Markets, Institutions and Money, 97(#102078) (#102078), English

  [Refereed]

  Scientific journal


• Quantile Connectedness of Uncertainty Indices, Carbon Emissions, Energy, and Green Assets: Insights from Extreme Market Conditions

  Tiantian Liu, Yulian Zhang, Wenting Zhang, Shigeyuki Hamori

  Nov. 2024, Energies, 17(22) (22), #5806, English

  [Refereed]

  Scientific journal

  Link to Kobe Univ. Repository (Kernel)


• How does venture capital play a role in corporate green innovation? Evidence from China

  Peiyou Yu, Hui Dai, Jianhua Zhu, Shigeyuki Hamori, Rebecca Kechen Dong, Xiaoguang Yue

  Elsevier BV, Sep. 2024, International Review of Economics & Finance, #103654, English

  [Refereed]

  Scientific journal


• The response of oil-importing and oil-exporting countries’ macroeconomic aggregates to crude oil price shocks: some international evidence

  Jin Shang, Shigeyuki Hamori

  Sep. 2024, Eurasian Economic Review, English

  [Refereed]

  Scientific journal


• Integrating Textual and Financial Time Series Data for Enhanced Forecasting*

  Shangyang Mou, Qiang Xue, Wenting Zhang, Takuji Kinkyo, Shigeyuki Hamori, Jinhui Chen, Tetsuya Takiguchi, Yasuo Ariki

  IEEE, Jul. 2024, 2024 16th IIAI International Congress on Advanced Applied Informatics (IIAI-AAI), 541 - 544

  International conference proceedings


• The higher the better? Hedging and investment strategies in cryptocurrency markets: Insights from higher moment spillovers

  Xie He, Shigeyuki Hamori

  Elsevier BV, May 2024, International Review of Financial Analysis, 95 Part A, #103359, English

  [Refereed]

  Scientific journal


• Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?

  Wenting Zhang, Shigeyuki Hamori

  May 2024, North American Journal of Economics and Finance, 72, #102149, English

  [Refereed]

  Scientific journal


• Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU

  Jin Shang, Shigeyuki Hamori

  Elsevier BV, Apr. 2024, Energy Economics, 132, #107473, English

  [Refereed]

  Scientific journal


• Empirical study about the effect of parental and child longevity on child education under COVID-19

  Koji Yasuda, Tomoko Kinugasa, Shigeyuki Hamori, Kazufumi Yugami, Kouhei Masumoto

  Springer Science and Business Media LLC, Mar. 2024, International Journal of Economic Policy Studies, 18(2) (2), 341 - 356, English

  [Refereed]

  Scientific journal


• Editorial: Collaborative economy CE5P (planet, people, partnership, prosperity, peace)

  Otilia Manta, Mohammed K. A. Kaabar, Valentina Vasile, Shigeyuki Hamori

  Frontiers Media SA, Feb. 2024, Frontiers in Environmental Science, 12, English

  [Refereed]

  Scientific journal


• Does the electric vehicle industry help achieve sustainable development goals?—evidence from China

  Peiyao Lu, Shigeyuki Hamori, Li Sun, Shuairu Tian

  Electric vehicles (EVs) are regarded as a key low-carbon technology to address sustainability challenges like climate change and air pollution. However, the real-world environmental impacts resulting from rapid EV adoption remain uncertain. This study develops a theoretical framework to quantify the impacts of EV adoption on energy consumption, carbon emissions, and air quality. Then we empirically investigates the influence of surging EV uptake in China using provincial panel data from 2015 to 2020. Our results indicate that increased EV stocks significantly reduced gasoline consumption but boosted coal-based power demand, shifting emissions and air pollutants from transportation to the electricity sector rather than yielding absolute reductions. We find important regional heterogeneity based on differences in grid generation profiles. In provinces more reliant on coal power, the environmental impacts were more severe. The findings also reveal a spatial spillover effect, with emissions transferred from net power-importing regions to exporters. Overall, the rapid EV transition alone appears insufficient to guarantee emissions cuts and environmental gains. Complementary efforts across sectors are essential to align industrial promotion with sustainability objectives. The empirical evidence informs integrated policy design and metrics to maximize decarbonization as EVs are deployed globally. Future research can build on this study by expanding geographical scope, incorporating projections, adopting a multi-disciplinary lens, leveraging microdata, and applying cutting-edge analytical techniques. Pursuing these directions will further advance knowledge on sustainable EV transitions.

  Frontiers Media SA, Jan. 2024, Frontiers in Environmental Science, 11, English

  [Refereed]

  Scientific journal


• The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments

  Wenting Zhang, Xie He, Shigeyuki Hamori

  Oct. 2023, International Review of Financial Analysis, 89(#102735) (#102735), English

  [Refereed]

  Scientific journal


• Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods, Sustainability

  Jin Shang, Shigeyuki Hamori

  Sep. 2023, Sustainability, 15(19) (19), #14445, English

  [Refereed]

  Scientific journal


• Changes in subjective mortality expectations and savings during COVID-19: empirical analysis using questionnaire data in Japan

  Tomoko Kinugasa, Kouhei Masumoto, Koji Yasuda, Kazufumi Yugami, Shigeyuki Hamori

  Informa UK Limited, Aug. 2023, Applied Economics, 1 - 13

  Scientific journal


• Do Large Datasets or Hybrid Integrated Models Outperform Simple Ones in Predicting Commodity Prices and Foreign Exchange Rates?

  Jin Shang, Shigeyuki Hamori

  Jun. 2023, Journal of Risk and Financial Management, 16(6) (6), #298, English

  [Refereed]

  Scientific journal

  Link to Kobe Univ. Repository (Kernel)


• Modeling the global sovereign credit network under climate change

  Lu Yang, Shigeyuki Hamori

  May 2023, International Review of Financial Analysis, 87(#102618) (#102618), English

  [Refereed]

  Scientific journal


• A multiple timescales conditional causal analysis on the carbon-energy relationship: Evidence from European and emerging markets

  Lu Yang, Shigeyuki Hamori, Xiao-Jing Cai

  Apr. 2023, Emerging Markets Finance and Trade, 59(8) (8), 2775 - 2785, English

  [Refereed]

  Scientific journal


• Risk spillover from international financial markets and China's macro-economy: A MIDAS-CoVaR-QR model

  Lu Yang, Xue Cui, Lei Yang, Shigeyuki Hamori, Xiaojing Cai

  Mar. 2023, International Review of Economics & Finance, 84, 55 - 69, English

  [Refereed]

  Scientific journal


• Can ESG investments and new environmental law improve social happiness in China?

  Peiyao Lu, Shigeyuki Hamori, Shuairu Tian

  Air pollution was a serious issue in China in the early 2010s, threatening public health and sustainable economic development. The Chinese government established a new environmental protection law in 2015 in order to address air pollution and other environmental issues. This paper investigates the impact of the new environmental law and ESG investments on air pollution and social happiness. We discovered that the implementation of the new environmental law and ESG investments significantly improved social happiness by reducing air pollution. One unit increase in ESG investments would result in a 0.334 unit decrease in air pollution and 0.225 unit increase in social happiness.

  Frontiers Media SA, Jan. 2023, Frontiers in Environmental Science, 11, #1089486, English

  [Refereed]

  Scientific journal


• Does the sentiment index help predict crude oil prices?

  Jin Shang, Tamotsu Nakamura, Shigeyuki Hamori

  Corresponding, 2023, IETI Transactions on Data Analysis and Forecasting, 1(1) (1), 54 - 65, English

  [Refereed]

  Scientific journal


• Editorial: ESG investment and its societal impacts

  Shigeyuki Hamori, Xiao-Guang Yue, Lu Yang, M. James, C. Crabbe

  Lead, Frontiers Media SA, Nov. 2022, Frontiers in Environmental Science, 10(#1088821) (#1088821), English

  [Refereed]

  Scientific journal


• Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach

  Wenting Zhang, Xie He, Shigeyuki Hamori

  Elsevier BV, Oct. 2022, International Review of Financial Analysis, 83(#102223) (#102223), English

  [Refereed]

  Scientific journal


• Policy effect of the “blue sky plan” on air pollution, ESG investment, and financial performance of china’s steel industry

  Peiyao Lu, Shigeyuki Hamri, Shuairu Tian

  Aug. 2022, Frontiers in Environmental Science, 25, English

  [Refereed]

  Scientific journal


• A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy

  Yulian Zhang, Shigeyuki Hamori

  2022, Economic Analysis and Policy, 76, 182 - 203, English

  [Refereed]

  Scientific journal


• Macro Factor, Market Volatility, and Stock-Bond Correlation: A Dynamic Mixed Data Sampling Forecast

  Qian Chen, Xiang Gao, Chen Chen, Shuairu Tian, Shigeyuki Hamori

  2022, Singapore Economic Review, 近刊, English

  [Refereed]

  Scientific journal


• The connectedness between the sentiment index and stock return volatility under COVID-19: A time-varying parameter vector autoregression approach

  Wenting Zhang, Shigeyuki Hamori

  2022, Singapore Economic Review, 近刊, English

  [Refereed]

  Scientific journal


• ASSESSMENT OF THE IMPACT OF ECONOMIC AGENT VULNERABILITY ON ECONOMIC - FINANCIAL PERFORMANCE INDICATORS

  Otilia Manta, Xiao-Guang Yue, Iuliana Militaru, Shigeyuki Hamori, Deimante Teresiene

  2022, Problems of Information Society, 13(1) (1), 95 - 109, English

  [Refereed]

  Scientific journal


• Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis

  Jin Shang, Shigeyuki Hamori

  Nov. 2021, Resources Policy, 74(#102400) (#102400), English

  [Refereed]

  Scientific journal


• Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach

  Yulian Zhang, Shigeyuki Hamori

  Elsevier BV, Nov. 2021, The Quarterly Review of Economics and Finance, 82, 145 - 162, English

  [Refereed]

  Scientific journal


• The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?

  Lu Yang, Shigeyuki Hamori

  Elsevier BV, Oct. 2021, International Review of Financial Analysis, 77(#101864) (#101864), English

  [Refereed]

  Scientific journal


• Not all bank systemic risks are alike: Deposit insurance and bank risk revisited

  Wang Chen, Zhiwen Zhang, Shigeyuki Hamori, Takuji Kinkyo

  Elsevier BV, Oct. 2021, International Review of Financial Analysis, 77(#101855) (#101855), English

  [Refereed]

  Scientific journal


• Is volatility spillover enough for investor decisions? A new viewpoint from higher moments

  Xie He, Shigeyuki Hamori

  Elsevier BV, Sep. 2021, Journal of International Money and Finance, 116(#102412) (#102412), English

  [Refereed]

  Scientific journal


• Does ESG Index Have Strong Conditional Correlations with Sustainability Related Stock Indices?

  Wenting Zhang, Tadahiro Nakajima, Shigeyuki Hamori

  Springer Singapore, Jul. 2021, SpringerBriefs in Economics, 21 - 35

  In book


• How Does the Environmental, Social, and Governance Index Impacts the Financial Market and Macro-Economy?

  Yulian Zhang, Tadahiro Nakajima, Shigeyuki Hamori

  Springer Singapore, Jul. 2021, SpringerBriefs in Economics, 71 - 100

  In book


• The impact of economic uncertainty caused by COVID-19 on renewable energy stocks

  Tiantian Liu, Tadahiro Nakajima, Shigeyuki Hamori

  Springer Science and Business Media LLC, Jun. 2021, Empirical Economics, 62, 1495 - 1515, English

  [Refereed]

  Scientific journal


• Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach

  Tiantian Liu, Shigeyuki Hamori

  We investigated the connectedness of the returns and volatility of clean energy stock, technology stock, crude oil, natural gas, and investor sentiment based on the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach. The empirical results indicate that the average total connectedness is higher in the volatility system than in the return system. The investor sentiment has a weak impact on clean energy stock. Our results show that the dynamic total connectedness across assets in the system varies with time. Furthermore, the dynamic total connectedness increases significantly during financial turmoil. Dynamic total volatility connectedness is more sensitive to financial turmoil. By comparing the connectedness estimated by the TVP-VAR model with the rolling-window VAR model, we find the dynamic total return connectedness of the TVP-VAR model is similar to the estimated results of a 200 day rolling-window VAR model.

  MDPI AG, Jun. 2021, Energies, 14(12) (12), #3442, English

  [Refereed]

  Scientific journal


• New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?

  Takuo Higashide, Katsuyuki Tanaka, Takuji Kinkyo, Shigeyuki Hamori

  This study analyzes the importance of the Tokyo Stock Exchange Co-Location dataset (TSE Co-Location dataset) to forecast the realized volatility (RV) of Tokyo stock price index futures. The heterogeneous autoregressive (HAR) model is a popular linear regression model used to forecast RV. This study expands the HAR model using the TSE Co-Location dataset, stock full-board dataset and market volume dataset based on the random forest method, which is a popular machine learning algorithm and a nonlinear model. The TSE Co-Location dataset is a new dataset. This is the only information that shows the transaction status of high-frequency traders. In contrast, the stock full-board dataset shows the status of buying and selling dominance. The market volume dataset is used as a proxy for liquidity and is recognized as important information in finance. To the best of our knowledge, this study is the first to use the TSE co-location dataset. The experimental results show that our model yields a higher forecast out-of-sample accuracy of RV than the HAR model. Moreover, we find that the TSE Co-Location dataset has become more important in recent years, along with the increasing importance of high-frequency trading.

  MDPI AG, May 2021, Journal of Risk and Financial Management, 14(5) (5), #215 - 215, English

  [Refereed]

  Scientific journal


• Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates

  Lei. Xu, Shigeyuki Hamori, Takuji Kinkyo

  Elsevier BV, Apr. 2021, The North American Journal of Economics and Finance, 56(#101360) (#101360)

  [Refereed]

  Scientific journal


• Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany

  Wenting Zhang, Shigeyuki Hamori

  Elsevier BV, Mar. 2021, International Review of Financial Analysis, 74(#101702) (#101702), English

  [Refereed]

  Scientific journal


• Systemic risk and economic policy uncertainty: International evidence from the crude oil market

  Lu Yang, Shigeyuki Hamori

  Elsevier BV, Mar. 2021, Economic Analysis and Policy, 69, 142 - 158, English

  [Refereed]

  Scientific journal


• On the Predictability of China Macro Indicator with Carbon Emissions Trading

  Qian Chen, Xiang Gao, Shan Xie, Li Sun, Shuairu Tian, Shigeyuki Hamori

  Accurate and timely macro forecasting requires new and powerful predictors. Carbon emissions data with high trading frequency and short releasing lag could play such a role under the framework of mixed data sampling regression techniques. This paper explores the China case in this regard. We find that our multiple autoregressive distributed lag model with mixed data sampling method setup outperforms either the auto-regressive or autoregressive distributed lag benchmark in both in-sample and out-of-sample nowcasting for not only the monthly changes of the purchasing managers’ index in China but also the Chinese quarterly GDP growth. Moreover, it is demonstrated that such capability operates better in nowcasting than h-step ahead forecasting, and remains prominent even after we account for commonly-used macroeconomic predictive factors. The underlying mechanism lies in the critical connection between the demand for carbon emission in excess of the expected quota and the production expansion decision of manufacturers.

  MDPI AG, Feb. 2021, Energies, 14(5) (5), 1271 - 1271, English

  [Refereed]

  Scientific journal


• ESG Disclosures and Stock Price Crash Risk

  Rio Murata, Shigeyuki Hamori

  In this study, we investigate the relationship between environmental, social, and governance (ESG) disclosures and stock price crash risk. A stock price crash is a dreadful event for market participants. Thus, exploring stock price crash determinants is helpful for investment decisions and risk management. In this study, we use samples of major market index components in Europe, the United States, and Japan to perform regression analyses, after controlling for other potential stock price crash determinants. We estimate static two-way fixed-effect models and dynamic GMM models. We find that coefficients of firm-level ESG disclosures are not statistically significant in the static model. ESG disclosure coefficients in the dynamic model are not statistically significant in the U.S. market sample. On the other hand, coefficients of ESG disclosure scores in the dynamic model are statistically significant and negative in the European and Japanese marker sample. Our findings suggest that ESG disclosures lower future stock price crash risk; however, the effect and predictive power of ESG disclosures differ among regions.

  MDPI AG, Feb. 2021, Journal of Risk and Financial Management, 14(2) (2), 70 - 70, English

  [Refereed]

  Scientific journal


• ESG Investment in the Global Economy

  Tadahiro Nakajima, Shigeyuki Hamori, Xie He, Guizhou Liu, Wenting Zhang, Yulian Zhang, Tiantian Liu

  Springer Singapore, 2021, SpringerBriefs in Economics


• Forecasting WTI Futures Prices Using Recurrent Neural Networks

  Kohei Matsuoka, Shigeuki Hamori

  2021, Review of Integrative Business & Economics Research, 10(1) (1), 34 - 50, English

  [Refereed]

  Scientific journal


• Recent Advancements in Section “Financial Technology and Innovation”

  Shigeyuki Hamori

  We have published a lot of interesting and excellent research articles in the Journal of Risk and Financial Management [...]

  Lead, MDPI AG, Dec. 2020, Journal of Risk and Financial Management, 13(12) (12), 1 - 2, English

  [Refereed]

  Scientific journal


• The Influence of Quality and Variety of New Imports on Enterprise Innovation: Evidence from China

  Guifu Chen, Shan Zhan, Shigeyuki Hamori

  In this study, we introduce the concept of differentiated quality inputs with knowledge-driven specifications for research and development (R&D) under an open economy to the endogenous growth model of knowledge spillover. Using matching industry enterprise and customs data from 2001 to 2007, which is representative of micro data at the Chinese industry level, we theoretically analyze the influence of the quality and variety of imported products on Chinese enterprises’ innovation and economic growth. We find that, first, the improvement of the quality and variety of new imported products can promote enterprise innovation. Second, new imported intermediate inputs and capital goods, new imported high-technology products, and products imported from Organization for Economic Co-operation and Development (OECD) countries have stronger promoting effects on enterprise innovation. We conclude that imported products stimulate the growth of the economy through two channels: expanding the variety and increasing the quality of inputs. To verify the stability of our model, we conducted robustness tests by defining new imported products based on a base year, measuring enterprise innovation by the number of patent applications, and measuring the quality of new imported products in a new way.

  MDPI AG, Nov. 2020, Sustainability, 12(22) (22), 1 - 20, English

  [Refereed]

  Scientific journal


• Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?

  Yulian Zhang, Xie He, Tadahiro Nakajima, Shigeyuki Hamori

  Elsevier BV, Nov. 2020, The North American Journal of Economics and Finance, 54(101220) (101220), 101220 - 101220, English

  [Refereed]

  Scientific journal


• Copula-based regression models with data missing at random

  Shigeyuki Hamori, Kaiji Motegi, Zheng Zhang

  Elsevier BV, Nov. 2020, Journal of Multivariate Analysis, 180, 104654 - 104654, English

  [Refereed]

  Scientific journal


• Spillover effects between energies, gold, and stock: the United States versus China

  Xie He, Tetsuya Takiguchi, Tadahiro Nakajima, Shigeyuki Hamori

  Oct. 2020, Energy & Environment, 31(8) (8), 1416 - 1447, English

  [Refereed]

  Scientific journal


• Moving average threshold heterogeneous autoregressive (MAT-HAR) models

  Kaiji Motegi, Xiaojing Cai, Shigeyuki Hamori, Haifeng Xu

  Oct. 2020, Journal of Forecasting, 39(7) (7), 1035 - 1042, English

  [Refereed]

  Scientific journal


• Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach

  Lu Yang, Shigeyuki Hamori

  Jul. 2020, Energies, 13(14) (14), 1 - 27, English

  [Refereed]

  Scientific journal


• Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?

  Tiantian Liu, Shigeyuki Hamori

  This paper examines the spillovers of return and volatility transmitted from fossil energies (crude oil and natural gas) and several important financial variables (stock market index, bonds, and the volatility index) to renewable stock markets in the US and Europe under the time-frequency domain frameworks. The total spillovers of return and volatility from all variables to renewable stock markets in the US are higher than those in Europe. Stock markets transmit the highest return spillovers to renewable energy stocks, which far exceed the spillovers from fossil energy to renewable energy stocks in both regions. In addition, both return and volatility spillovers could be enhanced, possibly due to specific events or sudden changes in prices. In particular, extreme events such as the Brexit referendum in 2016 influenced mostly the volatility spillovers across European markets. Moreover, the spillovers of return and volatility are contingent on frequency, and most return spillovers are concentrated at the high frequency, whereas most volatility spillovers are concentrated at the low frequency. These results remind investors that it is necessary to consider the investment horizon when making their financial decisions on renewable energy investment.

  MDPI AG, Jun. 2020, Energies, 13(12) (12), #3162, English

  [Refereed]

  Scientific journal


• CAN BRICS’S CURRENCY BE A HEDGE OR A SAFE HAVEN FOR ENERGY PORTFOLIO? AN EVIDENCE FROM VINE COPULA APPROACH

  YIJIN HE, TADAHIRO NAKAJIMA, SHIGEYUKI HAMORI

  In this paper, we examine the role of Brazil, Russia, India, China and South Africa’s (BRICS) currency in energy market by using vine copula method. The value-at-risk (VaR) and expected shortfall of two portfolios are calculated. One is a benchmark portfolio which is consisted of only energy prices, the other is a portfolio which adding the BRICS’s exchange rate into the benchmark portfolio. The data period is from 24 August 2010 to 29 November 2019. Our results show the BRICS’s currency can reduce the risk in energy investment.

  World Scientific Pub Co Pte Lt, Jun. 2020, The Singapore Economic Review, 65(04) (04), 805 - 836, English

  [Refereed]

  Scientific journal


• Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach

  Lu Yang, Lei Yang, Kung-Cheng Ho, Shigeyuki Hamori

  Elsevier BV, Jun. 2020, Journal of Asian Economics, 68(C) (C), 101200 - 101200, English

  [Refereed]

  Scientific journal


• HUMAN CAPITAL AND ENERGY: A DRIVER OR DRAG FOR ECONOMIC GROWTH

  YOUNGHO CHANG, ZHENG FANG, SHIGEYUKI HAMORI

  This paper examines a causal relationship between energy consumption, human capital and GDP for the ASEAN-5 (namely, Malaysia, Indonesia, Thailand, Singapore and the Philippines) over the period 1965–2011. It differs from the existing energy-growth nexus literature greatly by taking into consideration the role of human capital across countries. Both the single-equation estimation and the Johansen’s cointegration analysis suggest the presence of a long-run relationship among these variables. The exclusion test finds that human capital is a crucial factor in the cointegration space as much as conventional inputs of physical capital; and energy seems to play a less important role when human capital increases, indicating a possible substitution effect between the two variables. Using the Toda–Yamamoto test, it finds no long-run Granger causal link between energy use and economic development in the two net energy-exporter countries Malaysia and Indonesia and the city state Singapore, while in the Philippines economic growth Granger causes energy use and in Thailand a feedback effect is identified. Based on these results, policy implications are drawn.

  World Scientific Pub Co Pte Lt, Jun. 2020, The Singapore Economic Review, 65(03) (03), 683 - 714, English

  [Refereed]

  Scientific journal


• Diversification and Desynchronicity: An Organizational Portfolio Perspective on Corporate Risk Reduction

  Xue-Feng Shao, Kostas Goulliamos, Ben Nanfeng Luo, Shigeyuki Hamori, Stephen Satchell, Xiao-Guang Yue, Jane Qiu

  May 2020, Risks, 8(2) (2), 1 - 16, English

  [Refereed]

  Scientific journal


• The Response of US Macroeconomic Aggregates to Price Shocks in Crude Oil vs. Natural Gas

  Jin Shang, Shigeyuki Hamori

  May 2020, Energies, 13(10) (10), 1 - 18, English

  [Refereed]

  Scientific journal


• Forecasting Crude Oil Market Crashes Using Machine Learning Technologies

  Yulian Zhang, Shigeyuki Hamori

  May 2020, Energies, 13(10) (10), 1 - 14, English

  [Refereed]

  Scientific journal


• Do Machine Learning Techniques and Dynamic Methods Help Forecast US Natural Gas Crises?

  Wenting Zhang, Shigeyuki Hamori

  May 2020, Energies, 13(9) (9), 1 - 25, English

  [Refereed]

  Scientific journal


• Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

  Tiantian Liu, Xie He, Tadahiro Nakajima, Shigeyuki Hamori

  Corresponding, Apr. 2020, Energies, 13(8) (8), 1 - 20, English

  [Refereed]

  Scientific journal


• Dynamic effects of financial spillovers on bank lending: evidence from local projection-based impulse response analysis

  Wang Chen, Shigeyuki Hamori, Takuji Kinkyo

  Mar. 2020, Applied Economics Letters, 27(5) (5), 400 - 405, English

  [Refereed]

  Scientific journal


• Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?

  Guizhou Liu, Shigeyuki Hamori

  Corresponding, Mar. 2020, Energies, 13(5) (5), 1 - 21, English

  [Refereed]

  Scientific journal


• The Predictability of the Exchange Rate When Combining Machine Learning and Fundamental Models

  Yuchen Zhang, Shigeyuki Hamori

  Corresponding, {MDPI} {AG}, Mar. 2020, Journal of Risk and Financial Management, 13(3) (3), 48 - 48, English

  [Refereed]

  Scientific journal


• How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe

  Wenting Zhang, Xie He, Tadahiro Nakajima, Shigeyuki Hamori

  Corresponding, {MDPI} {AG}, Feb. 2020, Energies, 13(3) (3), 727 - 727, English

  [Refereed]

  Scientific journal


• Co-movements in commodity markets and implications in diversification benefits

  Xiao Jing Cai, Zheng Fang, Youngho Chang, Shuairu Tian, Shigeyuki Hamori

  Corresponding, Feb. 2020, Empirical Economics, 58(2) (2), 393 - 425, English

  [Refereed]

  Scientific journal


• Does ensemble learning always lead to better forecasts?

  Hitoshi Hamori, Shigeyuki Hamori

  Corresponding, Feb. 2020, Applied Economics and Finance, 7(2) (2), 51 - 56, English

  [Refereed]

  Scientific journal


• Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

  Xiaojing Cai, Shigeyuki Hamori, Lu Yang, Shuairu Tian

  {MDPI} {AG}, Jan. 2020, Energies, 13(2) (2), 294 - 294, English

  [Refereed]

  Scientific journal


• Empirical Finance

  Shigeyuki Hamori

  {MDPI} {AG}, Jan. 2020, Journal of Risk and Financial Management, 13(1) (1), 6 - 6, English

  [Refereed]

  Scientific journal


• Application of Network Analysis to Cryptocurrency in the Global Financial Market

  Iori Terada, Shigeyuki Hamori

  Corresponding, 2020, Review of Integrative Business & Economics Research,, 19(4) (4), 19 - 35, English

  [Refereed]

  Scientific journal


• Determinants of the Long-Term Correlation between Crude Oil and Stock Markets

  Lu Yang, Lei Yang, Kung-Cheng Ho, Shigeyuki Hamori

  Corresponding, Oct. 2019, Energies, 12(21) (21), 1 - 15, English

  [Refereed]

  Scientific journal


• Asymmetric technological distance measure based on language model

  Katsuyuki Tanaka, Takuji Kinkyo, Shigeyuki Hamori

  Oct. 2019, Applied Economics Letters, 26(18) (18), 1548 - 1551

  [Refereed]

  Scientific journal


• ANALYZING INDUSTRY‐LEVEL VULNERABILITY BY PREDICTING FINANCIAL BANKRUPTCY

  Katsuyuki Tanaka, Takuo Higashide, Takuji Kinkyo, Shigeyuki Hamori

  Corresponding, Oct. 2019, Economic Inquiry, 57(4) (4), 2017 - 2034, English

  [Refereed]

  Scientific journal


• Connectedness Between Natural Gas Price and BRICS Exchange Rates: Evidence from Time and Frequency Domains

  Yijin He, Tadahiro Nakajima, Shigeyuki Hamori

  Corresponding, Oct. 2019, Energies, 12(20) (20), 1 - 28, English

  [Refereed]

  Scientific journal


• Calibration estimation of semiparametric copula models with data missing at random

  Shigeyuki Hamori, Kaiji Motegi, Zheng Zhang

  Sep. 2019, Journal of Multivariate Analysis, 173, 85 - 109, English

  [Refereed]

  Scientific journal


• Conditional Dependence between Oil Prices and Exchange Rates in BRICS Countries: An Application of the Copula-GARCH Model

  Yijin He, Shigeyuki Hamori

  Corresponding, {MDPI} {AG}, Jun. 2019, Journal of Risk and Financial Management, 12(2) (2), 99 - 99, English

  [Refereed]

  Scientific journal


• AN EMPIRICAL ANALYSIS of MARITAL STATUS in Japan

  Koji Yasuda, Tomoko Kinugasa, Shigeyuki Hamori

  Jun. 2019, Singapore Economic Review, 64(3) (3), 773 - 798, English

  [Refereed]

  Scientific journal


• The long-run relationship between farm size and productivity: A re-examination based on Chinese household aggregate panel data

  Wanjun Yao, Shigeyuki Hamori

  Corresponding, May 2019, China Agricultural Economic Review, 11(2) (2), 373 - 386, English

  [Refereed]

  Scientific journal


• Can We Forecast Daily Oil Futures Prices? Experimental Evidence from Convolutional Neural Networks

  Zhaojie Luo, Xiaojing Cai, Katsuyuki Tanaka, Tetsuya Takiguchi, Takuji Kinkyo, Shigeyuki Hamori

  Jan. 2019, Journal of Risk and Financial Management, 12(1) (1), 9 - 9, English

  [Refereed]

  Scientific journal


• Complexity of financial stress spillovers: Asymmetry and interaction effects of institutional quality and foreign bank ownership

  Chen, W., Hamori, S., Kinkyo, T.

  2019, North American Journal of Economics and Finance, 48, 567 - 581, English

  [Refereed]

  Scientific journal


• Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility

  Xie He, Xiao-Jing Cai, Shigeyuki Hamori

  Corresponding, Dec. 2018, Journal of Risk and Financial Management, 11(4) (4), 1 - 16, English

  [Refereed]

  Scientific journal


• Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform

  Lei Xu, Takuji Kinkyo, Shigeyuki Hamori

  Dec. 2018, Journal of Risk and Financial Management, 11(4) (4), 1 - 11, English

  [Refereed]

  Scientific journal


• Oil Price Forecasting Using Supervised GANs with Continuous Wavelet Transform Features

  Zhaojie Luo, Jinhui Chen, Xiao Jing Cai, Katsuyuki Tanaka, Tetsuya Takiguchi, Takuji Kinkyo, Shigeyuki Hamori

  Nov. 2018, Proceedings - International Conference on Pattern Recognition, 2018-August, 830 - 835, English

  [Refereed]

  International conference proceedings


• A sustainable metropolis: Perspectives of population, productivity and parity

  Youngho Chang, Zheng Fang, Shigeyuki Hamori, Dawn Chow

  Nov. 2018, Sustainability (Switzerland), 10(11) (11), 1 - 17

  [Refereed]

  Scientific journal


• Measuring the time-frequency dynamics of return and volatility connectedness in global crude oil markets

  Yuki Toyoshima, Shigeyuki Hamori

  Oct. 2018, Energies, 11(11) (11), 1 - 18, English

  [Refereed]

  Scientific journal


• Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries

  Lu Yang, Lei Yang, Shigeyuki Hamori

  Oct. 2018, International Review of Financial Analysis, 59, 19 - 34, English

  [Refereed]

  Scientific journal


• Modeling the Dependence Structure of Share Prices among Three Chinese City Banks

  Guizhou Liu, Xiao-Jing Cai, Shigeyuki Hamori

  {MDPI} {AG}, Sep. 2018, Journal of Risk and Financial Management, 11(4) (4), 57 - 57, English

  [Refereed]

  Scientific journal


• Modeling The Dynamics Of International Agricultural Commodity Prices: A Comparison Of GARCH and Stochastic Volatility Models

  Yang, Lu, Hamori, Shigeyuki

  Corresponding, Sep. 2018, ANNALS OF FINANCIAL ECONOMICS, 13(3) (3), 1 - 20, English

  [Refereed]

  Scientific journal


• Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach

  Lu Yang, Shuairu Tian, Wei Yang, Mingli Xu, Shigeyuki Hamori

  Jul. 2018, North American Journal of Economics and Finance, 45, 116 - 137, English

  [Refereed]

  Scientific journal


• Financial Hazard Map: Financial vulnerability predicted by a random forests classification model

  Katsuyuki Tanaka, Takuji Kinkyo, Shigeyuki Hamori

  Corresponding, May 2018, Sustainability (Switzerland), 10(5) (5), 1 - 18

  [Refereed]

  Scientific journal


• THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH

  T. Miyazaki, S. Hamori

  May 2018, Annals of Financial Economics, 13(1) (1), 1 - 25, English

  [Refereed]

  Scientific journal


• What determines the long-term correlation between oil prices and exchange rates?

  Lu Yang, Xiao Jing Cai, Shigeyuki Hamori

  Apr. 2018, North American Journal of Economics and Finance, 44, 140 - 152, English

  [Refereed]

  Scientific journal


• Ensemble Learning or Deep Learning? Application to Default Risk Analysis

  Shigeyuki Hamori, Minami Kawai, Takahiro Kume, Yuji Murakami, Chikara Watanabe

  {MDPI} {AG}, Mar. 2018, Journal of Risk and Financial Management, 11(1) (1), 12 - 12, English

  [Refereed]

  Scientific journal


• Dependence structures and systemic risk of government securities markets in central and eastern Europe: A CoVaR-copula approach

  Lu Yang, Jason Z. Ma, Shigeyuki Hamori

  Jan. 2018, Sustainability, 10(2) (2), 1 - 23, English

  [Refereed]

  Scientific journal


• Artificial Intelligence and Economic Growth

  T. Kume, S. Hamori

  2018, Advances in Decision Sciences, 22, 1 - 22, English

  [Refereed]

  Scientific journal


• Forecasting the vulnerability of industrial economic activities: Predicting the bankruptcy of companies

  Katsuyuki Tanaka, Takuo Higashide, Takuji Kinkyo, Shigeyuki Hamori

  Dec. 2017, Journal of Management Information and Decision Science, 20(Specialissue1) (Specialissue1)

  [Refereed]

  Scientific journal


• Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis

  Xiao Jing Cai, Shuairu Tian, Nannan Yuan, Shigeyuki Hamori

  May 2017, Journal of International Financial Markets, Institutions and Money, 48, 206 - 223

  [Refereed]

  Scientific journal


• Does the crude oil price influence the exchange rates of oil-importing and oil-exporting countries differently^? A wavelet coherence analysis

  Lu Yang, Xiao Jing Cai, Shigeyuki Hamori

  May 2017, International Review of Economics and Finance, 49, 536 - 547, English

  [Refereed]

  Scientific journal


• Banking sector resilience to financial spillovers

  W. Chen, S. Hamori, T. Kinkyo

  Mar. 2017, Applied Economics Letters, 24(6) (6), 422 - 426

  [Refereed]

  Scientific journal


• HUMAN CAPITAL AND ENERGY: A DRIVER OR DRAG FOR ECONOMIC GROWTH

  ZHENG FANG, YOUNGHO CHANG, SHIGEYUKI HAMORI

  2017, Singapore Economic Review

  [Refereed]

  Scientific journal


• Volatility and Causality in Strategic Commodities: Characteristics, Myth and Evidence

  Y. Chang, Z. Fang, S. Hamori

  2017, International Journal of Economics and Finance;, 9(8) (8), 162 - 178, English

  [Refereed]

  Scientific journal


• Stock market integration in China: Evidence from the asymmetric DCC model and copula approach

  Xiao Jing Cai, Shuairu Tian, Shigeyuki Hamori

  Corresponding, 2017, Applied Economics and Finance, 4(2) (2), 1 - 10, English

  [Refereed]

  Scientific journal


• Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States

  Shuairu Tian, Shigeyuki Hamori

  Nov. 2016, North American Journal of Economics and Finance, 38, 163 - 171

  [Refereed]

  Scientific journal


• Random forests-based early warning system for bank failures

  Katsuyuki Tanaka, Takuji Kinkyo, Shigeyuki Hamori

  Elsevier BV, Nov. 2016, Economics Letters, 148, 118 - 121, English

  [Refereed]

  Scientific journal


• Asymmetric correlations in gold and other financial markets

  T. Miyazaki, S. Hamori

  Oct. 2016, Applied Economics, 48(46) (46), 4419 - 4425

  [Refereed]

  Scientific journal


• Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets

  Xiao Jing Cai, Shuairu Tian, Shigeyuki Hamori

  Aug. 2016, Applied Economics, 48(40) (40), 3789 - 3803

  [Refereed]

  Scientific journal


• Interdependence of foreign exchange markets: A wavelet coherence analysis

  Lu Yang, Xiao Jing Cai, Huimin Zhang, Shigeyuki Hamori

  Jun. 2016, Economic Modelling, 55, 6 - 14, English

  [Refereed]

  Scientific journal


• Financial development and financial openness nexus: the precondition of banking competition

  Wang Chen, Shigeyuki Hamori, Takuji Kinkyo

  Mar. 2016, Applied Economics, 48(12) (12), 1130 - 1139

  [Refereed]

  Scientific journal


• Revisiting the Roles of Financial Access and Deepening for Growth and Reducing Inequality

  Takeshi Inoue, Takuji Kinkyo, Shigeyuki Hamori

  Mar. 2016, Emerging Markets Finance and Trade, 52(3) (3), 722 - 723

  [Refereed]

  Scientific journal


• Financial Access and Economic Growth: Evidence from Sub-Saharan Africa

  Takeshi Inoue, Shigeyuki Hamori

  Mar. 2016, Emerging Markets Finance and Trade, 52(3) (3), 743 - 753

  [Refereed]

  International conference proceedings


• Do Workers Remittances Promote Access to Finance? Evidence from Asia-Pacific Developing Countries

  Takeshi Inoue, Shigeyuki Hamori

  Mar. 2016, Emerging Markets Finance and Trade, 52(3) (3), 765 - 774

  [Refereed]

  International conference proceedings


• Dynamic impacts of remittances on economic growth in Asia: Evidence from the dynamic heterogeneous panel

  Nannan Yuan, Takeshi Inoue, Shigeyuki Hamori

  World Scientific Publishing Co. Pte. Ltd., Feb. 2016, Financial Linkages, Remittances, and Resource Dependence in East Asia, 83 - 100, English

  In book


• Effects of remittances on poverty reduction in Asia

  Takeshi Inoue, Shigeyuki Hamori

  World Scientific Publishing Co. Pte. Ltd., Feb. 2016, Financial Linkages, Remittances, and Resource Dependence in East Asia, 101 - 117, English

  In book


• Time-varying co-movements and volatility spillovers among financial sector CDS indexes in the UK

  Tamakoshi, G., Hamori, S.

  2016, Research in International Business and Finance, 36, 288 - 296

  [Refereed]

  Scientific journal


• Testing cointegration between health care expenditure and GDP in Japan with the presence of a regime shift

  Tamakoshi, T., Hamori, S.

  2016, Applied Economics Letters, 23(2) (2), 151 - 155

  [Refereed]

  Scientific journal


• Hot money and business cycle volatility: Evidence from selected ASEAN countries

  Yang, L., Hamori, S.

  2016, Emerging Markets Finance and Trade, 52(2) (2), 351 - 363, English

  [Refereed]

  Scientific journal


• AN EMPIRICAL ANALYSIS OF MARITAL STATUS IN JAPAN

  YASUDA, K., KINUGASA, T., HAMORI, S.

  2016, Singapore Economic Review, 64(3) (3), 773 - 798

  [Refereed]

  Scientific journal


• Modeling interest rate volatility: A Realized GARCH approach

  Tian, S., Hamori, S.

  2015, Journal of Banking and Finance, 61, 158 - 171

  [Refereed]

  Scientific journal


• Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas

  Yang, L., Cai, X.J., Li, M., Hamori, S.

  2015, Economic Modelling, 51, 308 - 314, English

  [Refereed]

  Scientific journal


• Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis

  Yang, L., Hamori, S.

  2015, North American Journal of Economics and Finance, 32, 124 - 138, English

  [Refereed]

  Scientific journal


• Health-care expenditure, GDP and share of the elderly in Japan: a panel cointegration analysis

  Tamakoshi, T., Hamori, S.

  2015, Applied Economics Letters, 22(9) (9), 725 - 729

  [Refereed]

  Scientific journal


• Are the Hot IPOs Still Relevant? Evidence from China’s Growth Enterprise Market

  L. Yang, H. Zhang, S. Hamori

  2015, Journal of Reviews on Global Economics, 4, 43 - 50, English

  [Refereed]

  Scientific journal


• On the relationship between estimate and its t value

  Y. Matsuoka, S. Hamori

  2015, Theoretical Economics Letters, 5(1) (1), 1 - 3, English

  [Refereed]

  Scientific journal


• Exchange Rate Flexibility and the Integration of the Securities Market in East Asia

  KINKYO TAKUJI, Shigeyuki Hamori

  Lifescience Global, Aug. 2014, Journal of Reviews on Global Economics, 3, 293 - 309, English

  [Refereed]

  Scientific journal


• The conditional dependence structure of insurance sector credit default swap indices

  Tamakoshi, G., Hamori, S.

  2014, North American Journal of Economics and Finance, 30, 122 - 132

  [Refereed]

  Scientific journal


• Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand

  Yang, L., Hamori, S.

  2014, Pacific Basin Finance Journal, 26, 145 - 155, English

  [Refereed]

  Scientific journal


• On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads

  Tamakoshi, G., Hamori, S.

  2014, Research in International Business and Finance, 30(1) (1), 83 - 90

  [Refereed]

  Scientific journal


• Nonlinear adjustment between the Eonia and Euribor rates: A two-regime threshold cointegration analysis

  Tamakoshi, G., Hamori, S.

  2014, Applied Financial Economics, 24(2) (2), 139 - 143

  [Refereed]

  Scientific journal


• Market efficiency of commodity futures in India

  Inoue, T., Hamori, S.

  2014, Applied Economics Letters, 21(8) (8), 522 - 527

  [Refereed]

  Scientific journal


• Macroeconomic impacts of oil prices and underlying financial shocks

  Chen, W., Hamori, S., Kinkyo, T.

  2014, Journal of International Financial Markets, Institutions and Money, 29(1) (1), 1 - 12

  [Refereed]

  Scientific journal


• Indian economy: Empirical analysis on monetary and financial issues in India

  Inoue, T., Hamori, S.

  Indian Economy: Empirical Analysis on Monetary and Financial Issues in India, 2014, Indian Economy: Empirical Analysis on Monetary and Financial Issues in India, 1 - 154

  [Refereed]

  Scientific journal


• Greek sovereign bond index, volatility, and structural breaks

  Tamakoshi, G., Hamori, S.

  2014, Journal of Economics and Finance, 38(4) (4), 687 - 697

  [Refereed]

  Scientific journal


• Gold prices and exchange rates: A time-varying copula analysis

  Yang, L., Hamori, S.

  2014, Applied Financial Economics, 24(1) (1), 41 - 50

  [Refereed]

  Scientific journal


• Empirical research on monetary policy, asset prices and inflation: an analysis based on provincial panel data in China

  Liu, S., Chen, G., Hamori, S.

  2014, Applied Economics, 46(34) (34), 4190 - 4204

  [Refereed]

  Scientific journal


• Dependence structure between CEEC-3 and german government securities markets

  Yang, L., Hamori, S.

  2014, Journal of International Financial Markets, Institutions and Money, 29(1) (1), 109 - 125, English

  [Refereed]

  Scientific journal


• Crowding-out effects of affordable and unaffordable housing in China, 1999–2010

  Yuan, N., Hamori, S.

  2014, Applied Economics, 46(35) (35), 4318 - 4333, English

  [Refereed]

  Scientific journal


• Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach

  Tamakoshi, G., Hamori, S.

  2014, International Review of Economics and Finance, 31, 105 - 113

  [Refereed]

  Scientific journal


• Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns

  Tamakoshi, G., Hamori, S.

  2014, Journal of Economics and Finance, 38(4) (4), 627 - 642

  [Refereed]

  Scientific journal


• The Phillips Curve in the United States and Canada: A GARCHDCC Analysis

  L. Yang, S. Hamori

  2014, Journal of Reviews on Global Economics, 3, 1 - 6, English

  [Refereed]

  Scientific journal


• Cointegration with Regime Shift between Gold and Financial Variables

  Takashi Miyazaki, Shigeyuki Hamori

  Corresponding, 2014, International Journal of Financial Research, 5(4) (4), 90 - 97, English

  [Refereed]

  Scientific journal


• The effects of oil price shocks on expenditure category CPI

  Yasunori Yoshizaki, Shigeyuki Hamori

  Corresponding, 2014, Applied Economcis, 46(14) (14), 1652 - 1664, English

  [Refereed]

  Scientific journal


• Volatility and mean spillovers between sovereign and banking sector cds markets: A note on the European sovereign debt crisis

  Tamakoshi, G., Hamori, S.

  2013, Applied Economics Letters, 20(3) (3), 262 - 266

  [Refereed]

  Scientific journal


• Testing for causality between the gold return and stock market performance: Evidence for 'gold investment in case of emergency'

  Miyazaki, T., Hamori, S.

  2013, Applied Financial Economics, 23(1) (1), 27 - 40

  [Refereed]

  Scientific journal


• Testing causal relationships between wholesale electricity prices and primary energy prices

  Nakajima, T., Hamori, S.

  2013, Energy Policy, 62, 869 - 877

  [Refereed]

  Scientific journal


• Spillovers among CDS indexes in the US financial sector

  Tamakoshi, G., Hamori, S.

  2013, North American Journal of Economics and Finance, 27, 104 - 113

  [Refereed]

  Scientific journal


• Formal and informal employment and income differentials in urban China

  Chen, G., Hamori, S.

  2013, Journal of International Development, 25(7) (7), 987 - 1004, English

  [Refereed]

  Scientific journal


• Financial permeation as a role of microfinance: has microfinance actually been a viable financial intermediary for helping the poor?

  Inoue, T., Hamori, S.

  2013, Applied Financial Economics, 23(20) (20), 1567 - 1578

  [Refereed]

  Scientific journal


• EU Accession, Financial Integration, and Contagion Effects: Dynamic Correlation Analysis of CEEC-3 Bond Markets

  Yang, L., Hamori, S.

  2013, Transition Studies Review, 20(2) (2), 179 - 189

  [Refereed]

  Scientific journal


• Dynamic linkages among cross-currency swap markets under stress

  Tamakoshi, G., Hamori, S.

  2013, Applied Economics Letters, 20(4) (4), 404 - 409

  [Refereed]

  Scientific journal


• Dependence structure among international stock markets: a GARCH-copula analysis

  Yang, L., Hamori, S.

  2013, Applied Financial Economics, 23(23) (23), 1805 - 1817

  [Refereed]

  Scientific journal


• Crude oil hedging strategy: New evidence from the data of the financial crisis

  Toyoshima, Y., Nakajima, T., Hamori, S.

  2013, Applied Financial Economics, 23(12) (12), 1033 - 1041

  [Refereed]

  Scientific journal


• Asymmetric dynamics in stock market correlations: Evidence from Japan and Singapore

  Toyoshima, Y., Hamori, S.

  2013, Journal of Asian Economics, 24, 117 - 123

  [Refereed]

  Scientific journal


• An empirical analysis of the relationship between economic development and population growth in China

  Yao, W., Kinugasa, T., Hamori, S.

  2013, Applied Economics, 45(33) (33), 4651 - 4661, English

  [Refereed]

  Scientific journal


• An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis

  Tamakoshi, G., Hamori, S.

  2013, European Journal of Finance, 19(10) (10), 939 - 950

  [Refereed]

  Scientific journal


• An asymmetric DCC analysis of correlations among bank CDS indices

  Tamakoshi, G., Hamori, S.

  2013, Applied Financial Economics, 23(6) (6), 475 - 481

  [Refereed]

  Scientific journal


• Sources of economic fluctuations in Asia: Evidence from a panel VAR

  Yuki Toyoshima, Shigeyuki Hamori

  Taylor and Francis, Jan. 2013, Financial Globalization and Regionalism in East Asia, 47 - 57, English

  In book


• Dynamic Linkages among Foreign Exchange, Stock, and Commodity Markets in Northeast Asian Countries: Effects from Two Recent Crises

  L. Yang, S. Hamori

  2013, Journal of Reviews on Global Economics, 2, 278 - 290, English

  [Refereed]

  Scientific journal


• On Time-varying Linkages among LIBOR Rates for Major European Currencies

  Go Tamakoshi, Shigeyuki Hamori

  Corresponding, 2013, International Journal of Financial Research, 4(1) (1), 46 - 53, English

  [Refereed]

  Scientific journal


• On the Influence of Oil Price Shocks on Economic Activity, Inflation, and Exchange Rates

  Yasunori Yoshizaki, Shigeyuki Hamori

  Corresponding, 2013, International Journal of Financial Research, 4(2) (2), 33 - 41, English

  [Refereed]

  Scientific journal


• The causal relationships between sovereign CDS premiums for Japan and selected EU countries

  Yasunori Yoshizaki, Yuki Toyoshima, Shigeyuki Haomori

  2013, Applied Economics Letters, 20(8) (8), 742 - 747

  [Refereed]

  Scientific journal


• An Empirical Analysis of the Monetary Policy Reaction Function in India

  T. Inoue, S. Hamori

  Sep. 2012, Indian Economic Journal, 60(2) (2), 126 - 133, English

  [Refereed]

  Scientific journal


• Testing for rational bubbles in the commodity market

  T. Nakajima, S. Hamori

  Sep. 2012, Accounting and Finance Research, 1(2) (2), 101 - 108, English

  [Refereed]

  Scientific journal


• The sustainability of trade balances in sub-Saharan Africa: Panel cointegration tests with cross-section dependence

  Hashiguchi, Y., Hamori, S.

  2012, Applied Economics Letters, 19(2) (2), 161 - 165

  [Refereed]

  Scientific journal


• Panel cointegration analysis of co-movement between interest rate swap and treasury markets

  Toyoshima, Y., Hamori, S.

  2012, Applied Economics Letters, 19(15) (15), 1483 - 1486

  [Refereed]

  Scientific journal


• Volatility transmission of swap spreads among the US, Japan and the UK: A cross-correlation function approach

  Toyoshima, Y., Hamori, S.

  2012, Applied Financial Economics, 22(11) (11), 849 - 862

  [Refereed]

  Scientific journal


• The effect of financial deepening on inequality: Some international evidence

  Hamori, S., Hashiguchi, Y.

  2012, Journal of Asian Economics, 23(4) (4), 353 - 359

  [Refereed]

  Scientific journal


• Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity

  Hamori, S., Hashiguchi, Y.

  2012, Economics Bulletin, 32(3) (3), 2353 - 2365

  [Refereed]

  Scientific journal


• Dynamic linkages of stock prices between the BRICs and the United States: Effects of the 2008-09 financial crisis

  Xu, H., Hamori, S.

  2012, Journal of Asian Economics, 23(4) (4), 344 - 352

  [Refereed]

  Scientific journal


• Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen-US dollar exchange rates in Japan

  Nakajima, T., Hamori, S.

  2012, Research in International Business and Finance, 26(3) (3), 371 - 386

  [Refereed]

  Scientific journal


• Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market

  Toyoshima, Y., Tamakoshi, G., Hamori, S.

  2012, Journal of International Financial Markets, Institutions and Money, 22(2) (2), 381 - 394

  [Refereed]

  Scientific journal


• How has financial deepening affected poverty reduction in India? Empirical analysis using state-level panel data

  Inoue, T., Hamori, S.

  2012, Applied Financial Economics, 22(5) (5), 395 - 408

  [Refereed]

  Scientific journal


• Informational roles of commodity prices for monetary policy: Evidence from the euro area

  Tamakoshi, G., Hamori, S.

  2012, Economics Bulletin, 32(2) (2), 1282 - 1290

  [Refereed]

  Scientific journal


• Exploring the dynamic interdependence between gold and other financial markets

  Miyazaki, T., Toyoshima, Y., Hamori, S.

  2012, Economics Bulletin, 32(1) (1), 37 - 50

  [Refereed]

  Scientific journal


• Inflation targeting in South Korea, Indonesia, the Philippines and Thailand: The impact on business cycle synchronization between each country and the world

  Takeshi Inoue, Yuki Toyoshima, Shigeyuki Hamori

  World Scientific Publishing Co., Jan. 2012, Global Linkages and Economic Rebalancing in East Asia, 85 - 108, English

  In book


• Economic Openness and Growth in China and India: A Comparative Study

  F. Yin, S. Hamori

  2012, Journal of Reviews on Global Economics, 1, 139 - 149, English

  [Refereed]

  Scientific journal


• Real Oil Prices, Real Economic Activity, Real Interest Rates, and the US Dollar: A Cointegration Analysis with Structural Breaks

  G. Tamakoshi, S. Hamori

  2012, Journal of Reviews on Global Economics, 1, 41 - 46, English

  [Refereed]

  Scientific journal


• A dynamic conditional correlation analysis of European stock markets from the perspective of the Greek sovereign debt crisis

  G. Tamakoshi, Y. Toyoshima, S. Hamori

  Jan. 2012, Economics Bulletin, 32(1) (1), 437 - 448, English

  [Refereed]

  Scientific journal


• An empirical analysis on the efficiency of the microfinance investment market

  T. Inoue, S. Hamori

  Sep. 2011, Economics Bulletin, 31(3) (3), 2725 - 2735, English

  [Refereed]

  Scientific journal


• The determinants of citizen complaints on environmental pollution: An empirical study from China

  Dong, Y., Ishikawa, M., Liu, X., Hamori, S.

  2011, Journal of Cleaner Production, 19(12) (12), 1306 - 1314

  [Refereed]

  Scientific journal


• Transmission of stock prices amongst European countries before and during the Greek sovereign debt crisis

  Tamakoshi, G., Hamori, S.

  2011, Economics Bulletin, 31(4) (4), 3339 - 3353

  [Refereed]

  Scientific journal


• The sustainability of trade balances in China

  Yin, F., Hamori, S.

  2011, Economics Bulletin, 31(3) (3), 2090 - 2097

  [Refereed]

  Scientific journal


• Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan

  Toyoshima, Y., Hamori, S.

  2011, Economics Bulletin, 31(3) (3), 2674 - 2682

  [Refereed]

  Scientific journal


• An empirical analysis of real exchange rate movements in the euro

  Hamori, S., Hamori, N.

  2011, Applied Economics, 43(10) (10), 1187 - 1191

  [Refereed]

  Scientific journal


• Market efficiency among futures with different maturities: Evidence from the crude oil futures market

  Kawamoto, K., Hamori, S.

  2011, Journal of Futures Markets, 31(5) (5), 487 - 501

  [Refereed]

  Scientific journal


• Impact of subsidy policies on diffusion of photovoltaic power generation

  Zhang, Y., Song, J., Hamori, S.

  2011, Energy Policy, 39(4) (4), 1958 - 1964, English

  [Refereed]

  Scientific journal


• Estimating the import demand function in the autoregressive distributed lag framework: The case of China

  Yin, F., Hamori, S.

  2011, Economics Bulletin, 31(2) (2), 1576 - 1591

  [Refereed]

  Scientific journal


• Bivariate probit analysis of differences between male and female formal employment in urban China

  Chen, G., Hamori, S.

  2010, Journal of Asian Economics, 21(5) (5), 494 - 501

  [Refereed]

  Scientific journal


• Change in consumer sensitivity to electricity prices in response to retail deregulation: A panel empirical analysis of the residential demand for electricity in the United States

  Nakajima, T., Hamori, S.

  2010, Energy Policy, 38(5) (5), 2470 - 2476

  [Refereed]

  Scientific journal


• Dynamic linkages of stock prices among G7 countries: Effects of the American financial crisis

  Xu, H., Hamori, S.

  2010, Economics Bulletin, 30(4) (4), 1 - 12

  [Refereed]

  Scientific journal


• The interdependence of Taiwanese and Japanese stock prices

  Hsieh, K., Hsieh, Y., Hamori, S.

  2010, Economics Bulletin, 30(1) (1), 879 - 892

  [Refereed]

  Scientific journal


• The size of the underground economy in Japan

  Kanao, K., Hamori, S.

  2010, Economics Bulletin, 30(1) (1), 893 - 902

  [Refereed]

  Scientific journal


• The efficiency of the Chinese stock market and the role of market liberalization

  Q. Liu, S. Hamori

  2010, Economics Bulletin, 30(3) (3), 2524 - 2532, English

  [Refereed]

  Scientific journal


• Solution to the dilemma of the migrant labor shortage and the rural labor surplus in China

  Chen, G., Hamori, S.

  2009, China and World Economy, 17(4) (4), 53 - 71

  [Refereed]

  Scientific journal


• Volatility transmission between Japan, UK and USA in daily stock returns

  Tanizaki, H., Hamori, S.

  2009, Empirical Economics, 36(1) (1), 27 - 54

  [Refereed]

  Scientific journal


• The sustainability of trade accounts of the G-7 countries

  Hamori, S.

  2009, Applied Economics Letters, 16(17) (17), 1691 - 1694

  [Refereed]

  Scientific journal


• On the sustainability of budget deficits in the euro area

  Hamori, S., Hamori, N.

  2009, Economics Bulletin, 29(1) (1), 56 - 66

  [Refereed]

  Scientific journal


• Price and wage setting in Japan: An empirical investigation

  Hamori, S., Hoshikawa, T., Masuda, J., Hanabusa, K.

  2009, Economics Bulletin, 29(1) (1), 38 - 50

  [Refereed]

  Scientific journal


• Saving-investment relationship and capital mobility: Evidence from Chinese provincial data, 1980-2007

  Hashiguchi, Y., Hamori, S.

  2009, Economics Bulletin, 29(3) (3), 1981 - 1989

  [Refereed]

  Scientific journal


• What explains real and nominal exchange rate fluctuations?: Evidence from SVAR analysis for India

  Inoue, T., Hamori, S.

  2009, Economics Bulletin, 29(4) (4), 2803 - 2815

  [Refereed]

  Scientific journal


• International term structure of interest rates in the Euro area

  Hamori, S., Hamori, N.

  2009, Applied Economics Letters, 16(11) (11), 1113 - 1116

  [Refereed]

  Scientific journal


• Economic returns to schooling in urban China: OLS and the instrumental variables approach

  CHEN, G., HAMORI, S.

  2009, China Economic Review, 20(2) (2), 143 - 152

  [Refereed]

  Scientific journal


• An empirical analysis of chinese rural labour migration using a multinomial logit model

  Chen, G., Hamori, S.

  2009, Applied Econometrics and International Development, 9(1) (1), 177 - 186

  [Refereed]

  Scientific journal


• Globalization, financial depth, and inequality in Sub-Saharan Africa

  Kai, H., Hamori, S.

  2009, Economics Bulletin, 29(3) (3), 2025 - 2037

  [Refereed]

  Scientific journal


• Empirical analysis of export demand behavior of LDCs: Panel cointegration approach

  Hamori, S., Matsubayashi, Y.

  2009, Economics Bulletin, 29(3) (3), 1990 - 1999

  [Refereed]

  Scientific journal


• Empirical analysis of import demand behavior of least developed countries

  Matsubayashi, Y., Hamori, S.

  2009, Economics Bulletin, 29(2) (2), 1443 - 1458

  [Refereed]

  Scientific journal


• An empirical analysis of the money demand function in India

  Inoue, T., Hamori, S.

  2009, Economics Bulletin, 29(2) (2), 1224 - 1245

  [Refereed]

  Scientific journal


• Microfinance and inequality

  H. Kai, S. Hamori

  2009, Research in Applied Economics, 1(1) (1), 1 - 12, English

  [Refereed]

  Scientific journal


• Growth rate of domestic credit and output: Evidence of the asymmetric relationship between Japan and he United States

  R. Bhar, S. Hamori

  2009, International Journal of Applied Economics, 6(1) (1), 77 - 89, English

  [Refereed]

  Scientific journal


• Business cycle transmission between Madagascar, Seychelles, and their major economic partners

  I.F.Razafimahefa, S. Hamori

  2009, ICFAI Journal of Applied Economics, 8(1) (1), 7 - 19, English

  [Refereed]

  Scientific journal


• Demand for money in the Euro area

  Hamori, S., Hamori, N.

  2008, Economic Systems, 32(3) (3), 274 - 284

  [Refereed]

  Scientific journal


• Information content of commodity futures prices for monetary policy

  Bhar, R., Hamori, S.

  2008, Economic Modelling, 25(2) (2), 274 - 283

  [Refereed]

  Scientific journal


• Empirical analysis of the money demand function in Sub-Saharan Africa

  Hamori, S.

  2008, Economics Bulletin, 15(4) (4)

  [Refereed]

  Scientific journal


• Measuring response of output growth to changes in yield spread in a state switching framework

  Bhar, R., Hamori, S.

  2008, Journal of Economic and Social Measurement, 33(4) (4), 221 - 239

  [Refereed]

  Scientific journal


• A new approach to analysing comovement in European equity markets

  Bhar, R., Hamori, S.

  2008, Studies in Economics and Finance, 25(1) (1), 4 - 20

  [Refereed]

  Scientific journal


• Some evidence on the import demand function for G-7 countries

  K. Tsuji, S. Hamori

  2008, Empirical Economics Letters, 7(12) (12), 1221 - 1228, English

  [Refereed]

  Scientific journal


• Estimation of the marginal abatement cost of carbon dioxide with environmental accounting data in Japan

  R. Zhu, G. Chen, S. Hamori

  2008, Empirical Economics Letters, 7(11) (11), 1143 - 1148, English

  [Refereed]

  Scientific journal


• Do Chinese employers discriminate against females when hiring employees?

  G. Chen, S. Hamori

  2008, Economics Bulletin, 10(14) (14), 1 - 17, English

  [Refereed]

  Scientific journal


• Trade balances and the terms of trade in G-7 countries: Panel cointegration approach

  Shigeyuki Hamori

  2008, Applied Econometrics and International Development, 8(2) (2), 13 - 22, English

  [Refereed]

  Scientific journal


• Co-movement in the price of risk of aggregate equity markets

  Bhar, R., Hamori, S.

  2007, Economic Systems, 31(3) (3), 256 - 271

  [Refereed]

  Scientific journal


• Analysing yield spread and output dynamics in an endogenous Markov switching regression framework

  Bhar, R., Hamori, S.

  2007, Asia-Pacific Financial Markets, 14(1-2) (1-2), 141 - 156

  [Refereed]

  Scientific journal


• International capital flows and the Frankel-Dooley-Mathieson puzzle

  Hamori, S.

  2007, Economics Bulletin, 15(19) (19)

  [Refereed]

  Scientific journal


• An empirical analysis about population, technological progress, and economic growth in Taiwan

  Yao, W.-J., Hsieh, Y.-C., Hamori, S.

  2007, Economics Bulletin, 15(23) (23)

  [Refereed]

  Scientific journal


• Sources of real and nominal exchange rate movements for the Euro

  Hamori, S., Hamori, N.

  2007, Economics Bulletin, 6(32) (32)

  [Refereed]

  Scientific journal


• The information role of commodity prices in formulating monetary policy: Some evidence from Japan

  Hamori, S.

  2007, Economics Bulletin, 5(13) (13), 1 - 7

  [Refereed]

  Scientific journal


• On least-squares bias in the AR(p) models: Bias correction using the bootstrap methods

  Tanizaki, H., Hamori, S., Matsubayashi, Y.

  2006, Statistical Papers, 47(1) (1), 109 - 124

  [Refereed]

  Scientific journal


• Empirical investigation on the relationship between Japanese and Asian emerging equity markets

  Bhar, R., Hamori, S.

  2006, Applied Financial Economics Letters, 2(2) (2), 77 - 86

  [Refereed]

  Scientific journal


• Linkages among agricultural commodity futures prices: Some further evidence from Tokyo

  Bhar, R., Hamori, S.

  2006, Applied Economics Letters, 13(8) (8), 535 - 539

  [Refereed]

  Scientific journal


• Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange

  Bhar, R., Hamori, S.

  2006, Asia-Pacific Financial Markets, 13(1) (1), 1 - 9

  [Refereed]

  Scientific journal


• Do international stock prices reflect international business cycles?

  Shigeyuki Hamori

  Lead, 2006, Progress in Economics Research, 9, 1 - 10, English

  [Refereed]

  Scientific journal


• Empirical evidence on commodity futures prices in Tokyo grain market: the component GARCH approach

  Shigeyuki Hamori, Mitoshi Yamaguchi

  Lead, 2006, Empirical Economics Letters, 5, 66 - 75, English

  [Refereed]

  Scientific journal


• Import demand function: Some evidence from Madagascar and Mauritius

  Razafimahefa, I.F., Hamori, S.

  2005, Journal of African Economies, 14(3) (3), 411 - 434

  [Refereed]

  Scientific journal


• Causality in variance and the type of traders in crude oil futures

  Bhar, R., Hamori, S.

  2005, Energy Economics, 27(3) (3), 527 - 539

  [Refereed]

  Scientific journal


• An Empirical Analysis of FDI Competitiveness in Sub-Saharan Africa and Developing Countries

  Razafimahefa, I., Hamori, S.

  2005, Economics Bulletin, 6(1) (1)

  [Refereed]

  Scientific journal


• A coincident financial indicator for the Australian stock market

  Bhar, R., Hamori, S.

  2005, Investment Management and Financial Innovations, 2(3) (3), 39 - 48

  [Refereed]

  Scientific journal


• Business cycle transmission between Japan and South Korea

  Shigeyuki Hamori

  Lead, 2005, Empirical Economics Letters, 4, 335 - 344, English

  [Refereed]

  Scientific journal


• The link between inflation and inflation uncertainty: Evidence from G7 countries

  Bhar, R., Hamori, S.

  2004, Empirical Economics, 29(4) (4), 825 - 853

  [Refereed]

  Scientific journal


• Empirical characteristics of the permanent and transitory components of stock return: Analysis in a Markov switching heteroscedasticity framework

  Bhar, R., Hamori, S.

  2004, Economics Letters, 82(2) (2), 157 - 165

  [Refereed]

  Scientific journal


• International flow between price change and trading volume in gold futures contracts

  Ramaprasad Bhar, Shigeyuki Hamori

  2004, International Journal of Business and Economics, 3, 45 - 56, English

  [Refereed]

  Scientific journal


• Some international evidence on the stability of aggregate import demand function

  Matsubayashi, Y., Hamori, S.

  2003, Applied Economics, 35(13) (13), 1497 - 1504

  [Refereed]

  Scientific journal


• Alternative characterization of the volatility in the growth rate of real GDP

  Bhar, R., Hamori, S.

  2003, Japan and the World Economy, 15(2) (2), 223 - 231

  [Refereed]

  Scientific journal


• Unit root and cointegration tests under heteroskedasticity

  Akira Tokihisa, Shigeyuki Hamori

  2003, Far Eastern Journal of Theoretical Statistics, 11, 113 - 131, English

  [Refereed]

  Scientific journal


• Trade and growth relationship: Some evidence from Comoros, Madagascar, Mauritius, and Seychelles

  Shigeyuki Hamori, Ivohasina F. Razafimahefa

  Lead, 2003, Asian and African Area Studies, 3, 174 - 185, English

  [Refereed]

  Scientific journal


• New evidence of linkages among G-7 stock markets

  Ramaprasad Bhar, Shigeyuki Hamori

  2003, Finance Letters, 1, 35 - 40, English

  [Refereed]

  Scientific journal


• Stock returns and real activity: New evidence from the United States and Japan

  Shigeyuki Hamori, David A. Anderson, Naoko Hamori

  Lead, 2002, Quarterly Journal of Business and Economics, 41, 95 - 114, English

  [Refereed]

  Scientific journal


• Some international evidence on the seasonality of stock prices

  Shigeyuki Hamori, Akira Tokihisa

  Lead, 2002, International Journal of Business and Economics, 1, 79 - 86, English

  [Refereed]

  Scientific journal


• Real wage behavior in the United States, Britain, and Japan: An ARCH approach

  Shigeyuki Hamori, David A. Anderson

  Lead, 2002, European Economic and Political Issues, 4, 13 - 24, English

  [Refereed]

  Scientific journal


• Seasonality and Purchasing Power Parity

  Shigeyuki Hamori, Akira Tokihisa

  Lead, 2002, Current Politics and Economics of Europe, 4, 1 - 11, English

  [Refereed]

  Scientific journal


• Seasonal cointegration and the money demand function: Some evidence from Japan

  Hamori, S., Tokihisa, A.

  2001, Applied Economics Letters, 8(5) (5), 305 - 310

  [Refereed]

  Scientific journal


• Seasonality and stock returns: Some evidence from Japan

  Hamori, S.

  2001, Japan and the World Economy, 13(4) (4), 463 - 481

  [Refereed]

  Scientific journal


• An empirical analysis of the efficiency of the Osaka Rice Market during Japan's Tokugawa Era

  Hamori, S., Hamori, N., Anderson, D.A.

  2001, Journal of Futures Markets, 21(9) (9), 861 - 874

  [Refereed]

  Scientific journal


• An empirical analysis on the stability of Japan's aggregate import demand function

  Hamori, S., Matsubayashi, Y.

  2001, Japan and the World Economy, 13(2) (2), 135 - 144

  [Refereed]

  Scientific journal


• Seasonal integration for daily data

  Akira Tokihisa, Shigeyuki Hamori

  2001, Econometric Reviews, 20(2) (2), 187 - 200

  [Refereed]

  Scientific journal


• International transmission of stock prices among G7 countries: LA-VAR approach

  S Hamori, Y Imamura

  Sep. 2000, APPLIED ECONOMICS LETTERS, 7(9) (9), 613 - 618, English

  [Refereed]

  Scientific journal


• Volatility of real GDP: Some evidence from the United States, the United Kingdom and Japan

  Hamori, S.

  2000, Japan and the World Economy, 12(2) (2), 143 - 152

  [Refereed]

  Scientific journal


• An empirical analysis of economic fluctuations in Japan: 1885-1940

  Hamori, S., Hamori, N.

  2000, Japan and the World Economy, 12(1) (1), 11 - 19

  [Refereed]

  Scientific journal


• Seasonal integration and Japanese aggregate data

  Hamori, S., Tokihisa, A.

  2000, Applied Economics Letters, 7(9) (9), 591 - 594

  [Refereed]

  Scientific journal


• The transmission mechanism of business cycles among Germany, Japan, the UK and the USA

  Hamori, S.

  2000, Applied Economics, 32(4) (4), 405 - 410

  [Refereed]

  Scientific journal


• A theory of quality signaling in the marriage market

  Anderson, D.A., Hamori, S.

  2000, Japan and the World Economy, 12(3) (3), 229 - 242

  [Refereed]

  Scientific journal


• Government consumption and fiscal policy: Some evidence from Japan

  Hamori, S., Asako, K.

  1999, Applied Economics Letters, 6(9) (9), 551 - 555

  [Refereed]

  Scientific journal


• Stability of the money demand function in Germany

  Hamori, N., Hamori, S.

  1999, Applied Economics Letters, 6(5) (5), 329 - 332

  [Refereed]

  Scientific journal


• Habit formation and durability and consumption: Some evidence from income quintile groups in japan

  Hamori, S., Tokunaga, T.

  1999, Applied Economics Letters, 6(6) (6), 397 - 402

  [Refereed]

  Scientific journal


• Transmission mechanism of asset prices in Japan

  Shigeyuki Hamori

  1999, Current Politics and Economics of Asia, 6, 185 - 194, English

  [Refereed]

  Scientific journal


• A numerical analysis of the monetary aspects of the Japanese economy: The cash-in-advance approach

  Hamori, S., Kitasaka, S.-I.

  1998, Applied Financial Economics, 8(1) (1), 51 - 59

  [Refereed]

  Scientific journal


• Money, exchange rates and international business cycle between Japan and the United States

  Hamori, S.

  1998, Applied Economics Letters, 5(1) (1), 31 - 35

  [Refereed]

  Scientific journal


• Defying the conventional wisdom: US consumers are found to be more risk averse than those of Japan

  Hamori, S.

  1998, Economic Modelling, 15(2) (2), 217 - 235

  [Refereed]

  Scientific journal


• The characteristics of the business cycle in Japan

  Hamori, S., Kitasaka, S.-I.

  1997, Applied Economics, 29(9) (9), 1105 - 1113

  [Refereed]

  Scientific journal


• A simple method to test the Fisher effect

  Hamori, S.

  1997, Applied Economics Letters, 4(8) (8), 477 - 479

  [Refereed]

  Scientific journal


• Risk premiums and conditional covariances in tests of asset pricing models: Some evidence from Japan

  Hamori, S.

  1997, Japan and the World Economy, 9(3) (3), 413 - 430

  [Refereed]

  Scientific journal


• Testing for a unit root in the presence of a variance shift

  Hamori, S., Tokihisa, A.

  1997, Economics Letters, 57(3) (3), 245 - 253

  [Refereed]

  Scientific journal


• Consumption growth and the intertemporal elasticity of substitution: Some evidence from income quintile groups in Japan

  Hamori, S.

  1996, Applied Economics Letters, 3(8) (8), 529 - 532

  [Refereed]

  Scientific journal


• On a test for structural stability of euler conditions parameters estimated via the generalized method of moments estimator: Small sample properties

  Shigeyuki Hamori, Shin ichi Kitasaka, Hisashi Tanizaki

  1996, Econometric Reviews, 15(1) (1), 97 - 114

  [Refereed]

  Scientific journal


• On the time variation of risk premium in the Japanese stock market

  Shigeyuki Hamori

  1995, Current Politics and Economics of Japan, 4, 129 - 138, English

  [Refereed]

  Scientific journal


• 消費資産価格モデルと日本の株式市場

  羽森茂之, 北坂真一

  1995, ジャフィージャーナル1995, 125 - 146, Japanese

  [Refereed]

  Scientific journal


• On the Test of the Globalization of the Japanese Equity Market under the Kreps-Porteus Preference

  Shigeyuki Hamori

  Corresponding, 1995, Financial Engineering and the Japanese Market, 2, 123 - 137, English

  [Refereed]

  Scientific journal


• The Non-Expected Utility Model and Asset Prices: Some Evidence from Japan

  Shigeyuki Hamori

  Corresponding, 1994, Japanese Journal of Financial Economics, 1, 89 - 99, English

  [Refereed]

  Scientific journal


• Test of the international equity integration of Japan

  Hamori, S.

  1993, Economics Letters, 42(1) (1), 71 - 76

  [Refereed]

  Scientific journal


• Test of C-CAPM for Japan: 1980-1988

  Hamori, S.

  1992, Economics Letters, 38(1) (1), 67 - 72

  [Refereed]

  Scientific journal


• On the structural stability of preference parameters obtained from Japanese financial market data

  Hamori, S.

  1992, Economics Letters, 40(4) (4), 459 - 464

  [Refereed]

  Scientific journal


• Small Sample Properties of Generalized Method of Moments Estimator with MA (1) Error,

  Shin-ichi Kitasaka and Shigeyuki Hamori

  Corresponding, 日本統計学会, 1992, Journal of the Japan Statistical Society, 22(2) (2), 161 - 172, English

  [Refereed]

  Scientific journal


• INFORMATION COSTS, LEARNING-PROCESS AND THE EFFECTIVENESS OF MONETARY-POLICY

  S HAMORI

  Corresponding, 1989, SCANDINAVIAN JOURNAL OF ECONOMICS, 91(3) (3), 535 - 546, English

  [Refereed]

  Scientific journal


• 不確実性下におけるマネタリーターゲットの選択

  羽森茂之

  1985, 季刊理論経済学, 36, 74 - 80, Japanese

  [Refereed]

  Scientific journal


• Bayesian Learning Process and The Lucas Supply Function

  Hamori Shigeyuki

  The rational expectations hypothesis plays a very important role in today's macroeconomic analysis. But in most of the arguments based on this idea, it is assumed that individuals know the economic structure correctly (including the value of each parameter). I think, however, that this assumption of information exploitation is too extreme and the learning mechanism for the economic structure must be analyzed explicitly. In this paper, the following two points are examined; 1) the information search activities of agents and their effects on the slope of the Lucas supply function, 2) the convergency of people's expectations to rational expectations and its effects on their supply activities.

  Japan Statistical Society, 1985, Journal of the Japan Statistical Society, Japanese Issue, 15(1) (1), 93 - 105, Japanese

• Financial linkages, remittances, and resource dependence in East Asia

  Takuji Kinkyo, Takeshi Inoue, Shigeyuki Hamori

  World Scientific Publishing Co. Pte. Ltd., 01 Feb. 2016, Financial Linkages, Remittances, and Resource Dependence in East Asia, 1 - 219, English

  Others


• Financial globalization and regionalism in East Asia

  Takuji Kinkyo, Yoichi Matsubayashi, Shigeyuki Hamori

  Taylor and Francis, 01 Jan. 2013, Financial Globalization and Regionalism in East Asia, 1 - 208, English

  Others


• Global linkages and economic rebalancing in East Asia

  Takuji Kinkyo, Yoichi Matsubayashi, Shigeyuki Hamori

  World Scientific Publishing Co., 01 Jan. 2012, Global Linkages and Economic Rebalancing in East Asia, 1 - 213, English

  Others


• Structural var approach to the sources of exchange rate fluctuations in sub-saharan African countries

  Shigeyuki Hamori, Hisashi Tanizaki

  Nova Science Publishers, Inc., 01 Jan. 2009, Economics of Developing Countries, 3 - 18, English

  Others


• Introduction of the euro and the monetary policy of the European central bank

  Shigeyuki Hamori, Naoko Hamori

  World Scientific Publishing Co., 01 Jan. 2009, Introduction of the Euro and the Monetary Policy of the European Central Bank, 1 - 199, English

  Others

• Energy Trading and Risk Management: Commentary on Arbitrage, Risk Measurement, and Hedging Strategy

  Tadahiro Nakajima, Shigeyuki Hamori

  Joint work, Springer, Nov. 2022, ISBN: 9811956022


• データサイエンスの考え方: 社会に役立つAI×データ活用のために

  小澤, 誠一, 齋藤, 政彦

  Contributor, 第15章「意思決定論」, オーム社, Nov. 2021, Japanese, ISBN: 4274227979


• ESG Investment in the Global Economy

  Tadahiro Nakajima, Shigeyuki Hamori, Xie He, Guizhou Liu, Wenting Zhang, Yulian Zhang, Tiantian Liu

  Joint work, Springer, Aug. 2021, ISBN: 9811629927


• Sustainability and environmental decision making

  Euston Quah, Renate Schuber

  Contributor, Environmental Policy and Sustainable Growth in Japan, Springer, Jun. 2021, English, ISBN: 9811592861


• データサイエンス基礎 (データサイエンス講座 1)

  齋藤, 政彦, 小澤, 誠一, 羽森, 茂之, 南, 知惠子, 平田, 燕奈, 光明, 新, 小川, 賢, 為井, 智也, 上田, 修功, 森永, 聡, 本村, 陽一

  培風館, Apr. 2021, Japanese, ISBN: 4563016101


• Credit Default Swap Markets in the Global Economy

  Go Tamakoshi, Shigeyuki Hamori

  Joint work, Routledge, Dec. 2020, ISBN: 0367504219


• Empirical Analysis of Natural Gas Markets

  David A. Anderson, Shigeyuki Hamori

  Joint editor, Mdpi AG, Oct. 2020, ISBN: 3039431366


• AI and Financial Markets

  Shigeyuki Hamori, Tetsuya Takiguchi

  Joint editor, Mdpi AG, Jul. 2020, ISBN: 3039362240


• Financial inclusion, remittance inflows, and poverty reduction in developing countries : evidence from empirical analyses

  Takeshi Inoue, Shigeyuki Hamori

  Joint work, World Scientific, Apr. 2019, English, ISBN: 9813278927


• Empirical Finance

  Shigeyuki Hamori

  Editor, Mdpi AG, Mar. 2019, ISBN: 3038977063


• ベーシック計量経済学(第2版)

  羽森 茂之

  Single work, 中央経済社, Feb. 2018, Japanese, ISBN: 4502255718


• Moving up the ladder : development challenges for low and middle-income Asia

  Shigesaburo Kabe, Ryuichi Ushiyama, Takuji Kinkyo, Shigeyuki Hamori

  Joint editor, World Scientific, Apr. 2016, English, ISBN: 9814723568


• The European sovereign debt crisis and its impacts on financial markets

  Go Tamakoshi, Shigeyuki Hamori

  Joint work, Routledge, Feb. 2015, English, ISBN: 9781138799073


• Indian economy : empirical analysis on monetary and financial issues in India

  Takeshi Inoue, Shigeyuki Hamori

  Joint work, World Scientific, Nov. 2014, English, ISBN: 9814571903


• Rural Labor Migration, Discrimination, and the New Dual Labor Market in China

  Guifu Chen, Shigeyuki Hamori

  Joint work, Springer, Dec. 2013, English, ISBN: 3642411088


• Financial globalization and regionalism in East Asia

  Takuji Kinkyo, Yoichi Matsubayashi, Shigeyuki Hamori

  Joint editor, Routledge, Nov. 2013, English, ISBN: 0415659841


• Global linkages and economic rebalancing in East Asia

  Takuji Kinkyo, Yoichi Matsubayashi, Shigeyuki Hamori

  Joint editor, World Scientific, May 2012, English, ISBN: 9814412848

  Scholarly book


• Routledge handbook of South Asian economics

  Jha, Raghbendra

  Contributor, Chapter 9, Routledge, Jun. 2011, English, ISBN: 0415553970


• International Competitiveness in Africa: Policy Implications in the Sub-Saharan Region

  Ivohasina Fizara Razafimahefa, Shigeyuki Hamori

  Joint work, Springer, Nov. 2010, ISBN: 3642088457


• Introduction of the Euro and the monetary policy of the European Central Bank

  Shigeyuki Hamori, Naoko Hamori

  Joint work, World Scientific, Nov. 2009, English, ISBN: 9812838422


• ベーシック計量経済学

  羽森 茂之

  Single work, 中央経済社, Feb. 2009, Japanese, ISBN: 4502665703


• Emerging topics in macroeconomics

  Richard O. Bailly

  Contributor, Nominal and Real Exchange Rate Fluctuations of Yen-Dollar Rates, Nova Science Publishers, 2009, English, ISBN: 9781606920930


• Economics of Developing Countries

  Tiago N. Caldeira

  Contributor, Structural VAR Approach to the Sources of Exchange Rate Fluctuations in Sub-Saharan African Countries, NOVA Science Pub Inc., Oct. 2008, ISBN: 1604569247


• 計量経済学ハンドブック

  蓑谷, 千凰彦, 縄田, 和満, 和合, 肇

  Contributor, 6.2 回帰モデルの推定(2), 朝倉書店, Oct. 2007, Japanese, ISBN: 9784254290073


• Empirical Techniques in Finance

  Ramaprasad Bhar, Shigeyuki Hamori

  Joint work, Springer, Oct. 2005, ISBN: 3642064175


• Hidden Markov models : applications to financial economics

  Bhar, Ramaprasad, 羽森, 茂之

  Joint work, Springer, Jul. 2004, English, ISBN: 1402078994


• An Empirical Investigation of Stock Markets: The CCF Approach

  Shigeyuki Hamori

  Single work, Springer, Sep. 2003, English, ISBN: 1402075170


• 計量経済学

  羽森 茂之

  Single work, 中央経済社, Apr. 2000, Japanese, ISBN: 4502640239


• 現代マクロ経済分析―転換期の日本経済

  浅子和美, 福田慎一, 吉野直行

  Contributor, 第8章, 東京大学出版会, Sep. 1997, Japanese, ISBN: 4130401556


• 日本の資本市場 (郵政研究所研究叢書)

  橘木俊詔, 筒井義郎

  Contributor, 第1章、第15章, 日本評論社, Sep. 1996, Japanese, ISBN: 4535550697


• 挑戦するみなと神戸

  橋本, 徹

  Contributor, 第６章, 清文社, Apr. 1988, Japanese, ISBN: 4792016681

• When Climate Risks Meet Equity Markets Evidence from Return and Volatility Spillovers

  Shigeyuki Hamori

  AI×DeFi: The New Operating System of Global Finance, Dec. 2025, English

  [Invited]

  Invited oral presentation


• The Higher The Better? Hedging and Investment Strategies in Cryptocurrency Markets: Insight from Higher Moment Spillover

  Shigeyuki Hamori

  FinTech Webinar | Financial Technology and Strategic AI Integration in FinTech: Transforming Banking, Payments, and Building a Sustainable Economy- Challenges and Opportunities, Dec. 2024, English

  [Invited]

  Invited oral presentation


• Asymmetric higher-moment spillovers between sustainable and traditional investments

  Shigeyuki Hamori, Xie He

  FINANCIAL AND MONETARY ECONOMICS – FME 2024 – (Bucharest、Români、), Nov. 2024, English

  [Invited]

  Oral presentation


• Time-varying frequency connectedness analysis across crude oil, geopolitical risk, economic policy uncertainty, and stock markets

  Shigeyuki Hamori

  International Conference on Time Series Econometrics, Mar. 2024, English

  [Invited]

  Invited oral presentation


• The Impact of Economic and Financial Uncertainty Caused by COVID-19 on Renewable Energy Stock Markets

  Shigeyuki Hamori

  Financial and Monetary Economics FME 2023 (Bucharest, România), Oct. 2023, English

  [Invited]

  Oral presentation


• NFT: Present and Future

  Shigeyuki Hamori

  2022 International Conference on Digitalization and Future Commerce, Jul. 2022, English

  [Invited]

  Keynote oral presentation


• データサイエンスの実践 ～データを正しく捉えられるビジネスパーソンに～

  羽森茂之

  デジタルユニバーシティ産学連携セミナー, Mar. 2022, Japanese

  [Invited]

  Public discourse


• General Education in Japan: Taking Data Science Education as an Example

  Shigeyuki Hamori

  The 3rd International Conference on General Education and Contemporary Development, Sep. 2021, English

  [Invited]

  Keynote oral presentation


• データサイエンスの動向

  羽森茂之

  データサイエンス実務者講座, Aug. 2021, Japanese

  [Invited]

  Public discourse


• データサイエンスの基礎

  羽森茂之

  デジタルユニバーシティ産学連携セミナー, Feb. 2021, Japanese

  [Invited]

  Public discourse


• 多相アテンションLSTMを用いた財務時系列データの予測

  吉見脩平, 江口浩二, 金京拓司, 羽森茂之

  第24回 人工知能学会 金融情報学研究会（SIG-FIN）, Mar. 2020

  Oral presentation


• デジタルトランスフォーメーションがもたらす社会変⾰︓経済データ分析と因果推論

  羽森茂之

  ＤＸミドルマネジメント講座, Jan. 2020, Japanese

  Public discourse


• Forecasting WTI Futures Prices Using Recurrent Neural Networks

  Shigeyuki Hamori, Kohei Matsuoka

  SIBR 2020 Sydney Conference on Interdisciplinary Business & Economics Research, Jan. 2020, English

  Oral presentation


• Financial Hazard Map

  HAMORI Shigeyuki

  Singapore Economic Review Conference 2019, Aug. 2019, English, International conference

  [Invited]

  Invited oral presentation


• Application of Network Analysis to Cryptocurrency in the Global Financial Market

  HAMORI SHIGEYUKI, Terada Iori

  SIBR 2019 OSAKA CONFERENCE ON INTERDISCIPLINARY BUSINESS & ECONOMICS RESEARCH, Jul. 2019, English, International conference


• 社会科学におけるデータサイエンスの役割

  HAMORI SHIGEYUKI

  データサイエンスが創る未来, Dec. 2018, Japanese, 神戸大学 出光佐三記念六甲台講堂, Domestic conference

  Public discourse


• Modeling the Dependence Structure of Share Prices Among Three Chinese City Banks

  Guizhou Liu, HAMORI SHIGEYUKI

  SIBR 2018 HONG KONG CONFERENCE ON INTERDISCIPLINARY BUSINESS & ECONOMICS RESEARCH, Sep. 2018, English, Hong Kong, International conference

  Oral presentation


• Artificial Intelligence and Its Application to Economic Analysis: A Case of Data Concerning Economic Growth

  KUME TAKAHIRO, HAMORI SHIGEYUKI

  SIBR 2018 HONG KONG CONFERENCE ON INTERDISCIPLINARY BUSINESS & ECONOMICS RESEARCH, Sep. 2018, English, Hong Kong, International conference

  Oral presentation


• Calibration Estimation of Semiparametric Copula Models with Data Missing at Random

  HAMORI SHIGEYUKI, MOTEGI KAIJI, Zhang Zhang

  Workshop at Institute of Statistics and Big Data, Renmin University of China, Aug. 2018, English, Renmin Univesity of China, International conference

  Oral presentation


• Financial Hazard Map: Financial Vulnerability Predicted by a Random Forests Classification Model

  HAMORI SHIGEYUKI

  The 3rd International Conference on Economics and and Management Innovations 2018 (ICEMI2018), Jun. 2018, English, Taiwan, International conference

  Keynote oral presentation


• Artificial Intelligence and Its Application to Economic Analysis: The Case of Econmic Growth Data

  HAMORI SHIGEYUKI

  The Second International Forum on East Asia Macroeconomic Studies, May 2018, English, Xiamen University, China, International conference

  Oral presentation


• LSTMネットワークによる企業財務データの回帰分析

  城内光平, 江口浩二, 金京拓司, HAMORI SHIGEYUKI

  第20回 人工知能学会 金融情報学研究会（SIG-FIN）, Mar. 2018, Japanese, 東京証券取引所 2F 東証ホール, Domestic conference

  Oral presentation


• FORECASTING THE VULNERABILITY OF INDUSTRIAL ECONOMIC ACTIVITIES: PREDICTING THE BANKRUPTCY OF COMPANIES

  HIGASHIDE TAKUO, TANAKA KATSUYUKI, KINKYO TAKUJI, HAMORI SHGEYUKI

  WEAI 14th. International Conference, Jan. 2018, English, Newcastle, Australia, International conference

  Oral presentation


• Interdependence between Oil and East Asian Stock markets: Evidence from Wavelet Coherence Analysis

  HAMORI SHIGEYUKI

  CMR Seminar, Xiamen University, Nov. 2017, English, Xiamen University, China, International conference

  Oral presentation


• Interdependence between Oil and East Asian Stock Markets:Evidence from Wavelet Coherence Analysis

  HAMORI SHIGEYUKI

  The 3rd International Conference on Applied Econometrics, Sep. 2017, English, Hawaii, USA, International conference

  Oral presentation


• Modeling Interdependence between East Asian Stock Markets and the Prices of Oil and Gold: A Wavelet based Approach

  Cai, X.J, HAMORI SHIGEYUKI

  Singapore Economic Review Conference 2017, Aug. 2017, English, Singapore, International conference

  Oral presentation


• Interdependence between Oil and East Asian Stock markets: Evidence from Wavelet Coherence Analysis

  HAMORI SHIGEYUKI, Cai, X.J

  Singapor Economic Review Conference 2017, Aug. 2017, English, Singapore, International conference

  Oral presentation


• 市場経済の持続的成長可能性に関する研究

  HAMORI SHIGEYUKI

  神戸大学先端融合研究環新規プロジェクトキックオフシンポジウム, May 2017, Japanese, 神戸大学百年記念館, Domestic conference

  Public discourse


• 資産価格変動に関する計量分析

  HAMORI SHIGEYUKI

  神戸大学 経済学研究科・システム情報学研究科 研究交流会, Apr. 2017, Japanese, 神戸大学 システム情報学研究科, Domestic conference

  Oral presentation


• Interdependence between oil and East Asian stock markets: evidence from wavelet coherence analysis

  HAMORI SHIGEYUKI

  Workshop at the Institute of Statistics and Big Data, Renmin University of China, Apr. 2017, English, Renmin University of China, China, International conference

  Oral presentation


• 深層生成モデルによる時系列ネットワークの低次元埋め込み

  円道 滉一郎, 江口 浩二, 羽森 茂之, 金京拓司

  第１８回 人工知能学会 金融情報学研究会（SIG-FIN）, Mar. 2017, Japanese

  Oral presentation


• 資産価格の相互依存関係に関する計量分析

  HAMORI SHIGEYUKI

  「システム情報科学の社会実装の可能性」, Jan. 2017, Japanese, 財務総合政策研究所, Domestic conference

  Oral presentation

• International Research Institute for Economics and Management


• Institute of Data Science and Artificial Intelligence


• International Engineering and Technology Institute


• Western Economic Association


• Japan Statisical Society

• 対外リスクに対する早期警戒システムの構築と経済活動への波及メカニズムの解明

  羽森 茂之

  日本学術振興会, 科学研究費助成事業, 基盤研究(C), 大和大学, Apr. 2025 - Mar. 2028, Principal investigator


• 金融システムのリスク管理と経済社会の持続可能性

  羽森 茂之

  日本学術振興会, 科学研究費助成事業, 基盤研究(C), 神戸大学, Apr. 2022 - Mar. 2025


• 新型コロナウイルス流行の寿命予測と貯蓄行動に対する影響

  衣笠 智子, 増本 康平, 安田 公治, 羽森 茂之, 勇上 和史

  日本学術振興会, 科学研究費助成事業, 挑戦的研究(萌芽), 神戸大学, Jul. 2021 - Mar. 2024

  今年度は、新型コロナウイルスの流行に伴って、寿命や死亡率に関する意識がどう変化したのか、また、その変化が貯蓄行動にどう影響したかを明らかにするという目的を達成すべく、下記の件を検討した。まず、寿命の予測が変化した場合の人々の貯蓄行動への影響を理論的に検討した。個々人が予想する生存率を軸に、どのような貯蓄行動をするのか、寿命の不確実性を考慮した世代重複モデルを基礎に、心理学の要因を取り入れて検討する。基本的に、経済学のライフサイクル仮説（老後に備えるために、現役時代に貯蓄するという仮説）に基づいて考えたが、貯蓄の決定要因として、寿命予測、時間選好、子供の数、現在の所得と将来の期待所得、また、心理学的には、人は残された時間に限りがあると認識すると感情的満足を重視するようになるという理論（社会情動的選択性理論）を考慮した。その理論を軸に、オンラインのアンケートを準備した。アンケートは、日本の、自分または配偶者が働いている２０－７０代の男女に行う予定である。その中で、主観的な死亡率に関する情報を数種類尋ねることにしている。本研究は、主観的死亡率をアンケートで尋ねているところに特徴があり、他のアンケート調査では得られない情報である。また、副次的な研究として、予備調査に基づく計量分析を行い、国際会議、国内の学会で報告したが、学術誌に投稿の準備を進めている。さらに、新型コロナウイルス流行後の地域経済について、論文を投稿中である。また、新型コロナウイルスに関して、計量研究を行い、論文を公刊した。


• Research on financial risk management and its spillover mechanisms using a data science approach

  Hamori Shigeyuki

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (A), Grant-in-Aid for Scientific Research (A), Kobe University, Apr. 2017 - Mar. 2021, Principal investigator

  As a result of the research project, 66 papers were published, of which 65 (98.5%) were published in international peer-reviewed journals and 54 (81.8%) were international collaborative papers. The research results were also published in six books by overseas academic publishers such as Springer and World Scientific. In addition, four special issues related to this research project were edited and published by international academic journals. Through these activities, we have succeeded in building a broad network with overseas researchers. In addition, the project actively promoted joint research with young researchers, including graduate students, and contributed to the development of young researchers.

  Competitive research funding


• Research on the Sustainable Growth of Market Economy: Challenge based on Data Science

  HAMORI SHIGEYUKI

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Challenging Research (Exploratory), Challenging Research (Exploratory), Kobe University, 30 Jun. 2017 - 31 Mar. 2019, Principal investigator

  Despite this research project being exploratory and lasting only 18 months, its outcomes were substantial; it resulted in the publication of 42 academic papers (of which, 31 were peer-reviewed, and 21 had international co-authorship), 12 reports for international conferences, and four research books written in English. Strenuous efforts were also made to further international collaboration in research, with international conferences held jointly with a number of Pacific Rim universities. In addition, principal investigator Professor Shigeyuki Hamori was guest editor of a special issue of the Journal of Risk and Financial Management, entitled “Empirical Finance”.

  Competitive research funding


• Empirical Study on Happiness Index and Urban Area and Urban Hierarchy

  Tsuji Takashi

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Grant-in-Aid for Scientific Research (C), Aichi University, 01 Apr. 2016 - 31 Mar. 2019

  In this study, the following four analyzes were conducted for the empirical study on happiness index and the hierarchy of urban areas and cities. (1) We grasped the actual situation of efforts of local governments trying to use happiness index for policy, and considered the way of happiness index in the local area. (2) On the other hand, we conducted a survey of previous studies, focusing on empirical studies of the Japanese happiness index. (3) We designed the original questionnaire survey based on the findings obtained in the previous studies, and conducted an internet questionnaire survey on happiness among persons aged 18 and over in Japan. (4) Using these individual data, we analyzed the subjective well-being and its determinants from various viewpoints.


• Econometric Analysis of Interdependence of High Order Moments

  HAMORI SHIGEYUKI

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Grant-in-Aid for Scientific Research (C), Kobe University, 01 Apr. 2013 - 31 Mar. 2017, Principal investigator

  We have applied the latest estimation/testing procedure in this research area to the data on various asset returns such as stocks, bonds, and currency exchange and conducted an econometric analysis of the interdependence between asset markets. In addition, we have published the results of the analysis in peer-reviewed international academic journals. As a result, we were able to obtain major research opportunities such as publishing a total of 14 research papers in peer-reviewed international academic journals. Although research in this field has been actively conducted in Europe and the United States, in Japan, the amount of research in this field has been relatively less. However, we believe that this research project can fill this gap to a certain extent.

  Competitive research funding


• Econometric analysis of nonstationary panel times series

  HAMORI Shigeyuki

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Grant-in-Aid for Scientific Research (C), Kobe University, 2008 - 2012, Principal investigator

  This research topic is one of the most advancing research areasin recent econometric analysis and is useful when the sample size obtained from time series data is small. This project focuses on the following two points. (1) We apply various types of nonstationary panel time series techniques to actual data, and examine the economic implications of empirical results. (2) We analyze the small sample properties of CIPS test developed by Pesaran (2007).

  Competitive research funding


• 新しい日本型経済パラダイムの研究教育拠点

  三谷 直紀

  2006

  Competitive research funding


• 新しい日本型経済パラダイムの研究教育拠点

  三谷 直紀

  2005

  Competitive research funding


• Empirical analysis of the futures market during Edo period

  HAMORI Shigeyuki

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Grant-in-Aid for Scientific Research (C), Kobe University, 2000 - 2002

  During the Edo period (1603-1867), Japan's market economy was as advanced as in the West at that time. The monetary economy expanded remarkably within the framework of the rice standard system, and the Dojima rice market at Osaka established during this period was said to have been the world's first, well organized futures market. Osaka had been long known as the "Kitchen of the Country" for its robust mercantile activities, ant it was also bustling with the rapidly growing business of money changing in the areas of finance and exchange. Credit institutions became firmly established, and the merchants of the day exhibited a great flair at their vocation by creating what could be called a prototype market economy. In a sense, the model for today's Japanese economy can be said to have originated in the Edo period. Futures transactions were contrived at the beginning of the Kyoho era (1716-1736) with the purpose of hedging price fluctuation risks. In the year 1730, the 8^ Shogun Tokugawa Yoshimune authorized futures transactions for rice, marketing the birth of the world's first futures exchange, the Dojima rice exchange, in Dojima, Osaka. This development was a spontaneous response to needs dictated by the economic environment at that time. Brokers at the exchange carried out both rice spot trading and rice futures trading. On payment of a margin in a specified quantity of silver, they were able to trade amounts 100 times their margin on the day of trading. The opportunities to speculate and hedge in the futures trading market attracted the merchants, whose favor fueled a remarkable expansion in the exchange. Eventually, the Dojima rice exchange of the Edo period became the world's fastest-developing commodity exchange with a futures trading system, clearly attesting to the resourcefulness of the Osaka merchants of the day. This projects empirically analyzed the futures market at the Dojima rice exchange and found some similarities between the Dojima rice exchange and the current securities futures market.


• ASSET MARKETS AND INTERDEPENDENCES AMONG MACROECONOMIC ACTIVITIES IN JAPAN

  OGAWA Eiji, HAMORI Shigeyuki, ASAKO Kazumi

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Scientific Research (C), Grant-in-Aid for Scientific Research (C), HITOTSUBASHI UNIVERSITY, 1997 - 1998

  Objectives of this research project are to extend the consumption based capital asset price model (C-CAPM) by introducing a behavior of financial institutions that include institutional investor into the C-CAPM and to use the extended C-CAPM to analyze empirically real asset markets as well as financial asset markets. Hamori extended the C-CAPM by introducing an investment behavior of financial institutions. Ogawa considered a theoretical model in which institutional investors maximize expected utilities of dividends paid by the institutional investors. We empirically studied validity of the extended C-CAPM.At the same time, we estimated risk aversion and time preferences of economic agents in macroeconomic activities during a period before the bubble, the bubble period, and a post-bubble period. Hamori analyzed time lag correlation coefficients between real GDP and stock prices. He found that. an increase in GDP had a tendency to follow an increase in stock prices by several periods in Japan, the United States. and the United Kingdom. Hamori and Asako empirically analyzed the validity of the Ricardian equivalence theorem by estimating the marginal rate of substitution between private consumption and government consumption. It is found higher in Japan than in studies using U.S.data. The data negate the Ricardian equivalence theorem. Ogawa had an empirical result that Japanese life insurance companies tended to watch exchange rate and income return of bond in their global portfolio investments (U.S.bonds, Canadian bonds. and U.K.bonds).


• 一般化積率法の小標本特性に関する研究

  羽森 茂之

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Encouragement of Young Scientists (A), Grant-in-Aid for Encouragement of Young Scientists (A), Kobe University, 1994 - 1994

  本研究の目的は,一般化積率法(Generalized Method of Moments,以下GMM)に関する統計的性質を分析することにあった。GMMはHansen L.P.によって開発され,最近の実証的研究において頻繁に用いられる統計的手法の一つであるが、残念ながらその統計的性質に関しては,十分な理解が得られていないのが現状である。そこで,本研究では特に(1)乱数が正規分布からはずれた場合,および,(2)外生変数が単位根を持つ場合の小標本特性について考えてみた。 本研究は次の4段階から構成された。第1段階:研究課題に関する従来の研究のサーベイ。第2段階:第1段階を踏まえ,モデルとその推定・検定方法を分析した。第3段階:必要な推定・検定法に関するプログラムを作成した。第4段階:第3段階で作成したプログラムに基づきモンテカルロ実験を行い,GMMによる推定法および検定法の小標本における特性について分析を行った。 得られた主要な結果は次のようにまとめられる。 (1)乱数が正規分布からはずれている程度が大きいほど,GMMによる推定値は,バイアスが大きくなり,かつMSEも大きくなる。したがって,小標本においてはGMM推定量の特性は分布の仮定に依存している。 (2)外生変数のlaw of motionがよりpersistentなものとなるほど,GMMによる推定値はバイアスもMSEも小さくなることがわかった。特に,単位根を持つ場合には最も良い性質が得られた。これは,従来の見解とは全く異なるものであり,特筆に値する点といえよう。


• 貨幣経済下における動学的資本資産価格モデルの理論的及び実証的研究(日本のケース)

  羽森 茂之

  Japan Society for the Promotion of Science, Grants-in-Aid for Scientific Research Grant-in-Aid for Encouragement of Young Scientists (A), Grant-in-Aid for Encouragement of Young Scientists (A), Kwansei Gakuin University, 1992 - 1992