IWATSUBO Kentaro

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IWATSUBO KentaroProfessor

IWATSUBO Kentaro

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Office Hours

Make an appointment by e-mail in advance.

Research Interest

Finance, International Finance.

1. Microstructure of foreign exchange, stock, bond, and commodity markets
2. Behavioral finance analysis of investor behavior in FX margin transactions and cryptocurrency markets
3. Term Stucuture models of government and corporate bonds
4. Liquidity and informational efficiency in stock markets and trading systems

Education and Positions
  • B.A. (Economics), Waseda University
  • M.A. (Economics), University of Tokyo
  • Ph.D. (Economics), UCLA
  • Assistant Professor, Hitotsubashi University
  • Associate Professor, Graduate School of Economics, Kobe University
Lectures and Seminars

Lectures (Undergraduate)
Basic Finance (Asset Pricing / Corporate Finance).
We study how stock and bond prices are determined, how to use the derivative and the financing of firms.

1. On a security market
2. The portfolio theory and the merit of diversified investment
3. CAPM
4. Efficient market hypothesis and anomaly
5. Behavioral finance
6. Fixed income securities, Term structure of interest rates
7. Financial derivatives (futures, swap and options)
8. Corporate finance

 

Lectures (Graduate)
Finance in advanced level (Investments / Assdet Pricing Theory). The lecture focuses on stock and bond pricing and market microstructure.

I Stock
1. Arrow-Debreu model
2. Matingale property
3. Risk neutral probability
4. Consumption CAPM

II Bond
5. Spot rates and forward rates
6. The expectations hypothesis of interest rates
7. Term structure models

III Market microstructure
8. Liquidity and the property price
9. Price discovery
10. Empirical models of micro structure

 

Seminars (Undergraduate)
This is a seminar on Finance and Internaitonal Finance. Conducting research, thinking, writing, and presenting papers on various financial topics in Japan and the world.This will help you gain the ability to make presentations, discuss issues, and analyze data.
We carry out joint research and participate in the Nikkei Stock League.

 

Seminars (Graduate)
(Theme of a master thesis)
"Price discovery in gold futures markets"
"Stock liquidity of small and medium firms in JASDAQ"
"Measuring liquidity in emerging markets"
"Stock and bonds correlations and foreign investors' investment behavior"
"Monetary Policy Meeting and stock price"
"Panel analysis of the determinants of long-term interest rates in advanced countries"
"Panel analysis on fluctuations of fiscal deficit ratios and financial crisis"

Main Publications

1. "Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York" (co-authored with Clinton Watkins and Tao Xu) Journal of Commodity Markets, 11, 2018, pp.59-71.

2. "Quantitative Easing and Liquidity in the Japanese Government Bond Market" (co-authored with Tomoki Taishi), International Review of Finance, 18, 3, 2018, pp.463-475.

3. "Order Flows, Fundamentals and Exchange Rates" (co-authored with Ian W. Marsh), International Journal of Finance and Economics, 19, 2014, pp.251-266.

4. "The Information Improving Channel of Exchange Rate Intervention: How Do Official Announcements Work?" (co-authored with Satoshi Kawanishi), Journal of Financial Studies, 22, 2, 2014, pp.27-64.

5. "International Transmission of Business Cycles: Evidence from Dynamic Correlations" (co-authored with Jarko Fidrmuc and Taro Ikeda) Economics Letters, 114, 2012, pp.235-255.

6. "External Adjustments and Coordinated Exchange Rate Policy in Asia" (co-authored with Eiji Ogawa) Journal of Asian Economics, 20, 2009, pp.225-239.

7. "Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms" (co-authored with Kazuyuki Inagaki) Journal of Asian Economics, 18, 2007, pp.217-236.

8. "Bank Capital Shocks and Portfolio Risk: Evidence from Japan" Japan and the World Economy, 19, 2007, pp.166-186.

Directory of Researchers in Kobe University

Directory of Researchers in Kobe University

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