Research Interest

Finance, International Finance.

• Behavioral finance analysis of investor behavior in FX margin transactions, stock markets and crypto-asset markets
• Microstructure of foreign exchange, stock, bond, and commodity markets
• Forecasting asset prices with deep learning and its empirical applications
• Term Structure models of government and corporate bonds
• 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

Teaching Experience

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.

• On a security market
• The portfolio theory and the merit of diversified investment
• CAPM
• Efficient market hypothesis and anomaly
• Behavioral finance
• Fixed income securities, Term structure of interest rates
• Financial derivatives (futures, swaps and options)
• Corporate finance

Graduate / Postgraduate

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

• I Stock
  • Arrow-Debreu model
  • Martingale property
  • Risk neutral probability
  • Consumption CAPM

• II Bond
  • Spot rates and forward rates
  • The expectations hypothesis of interest rates
  • Term structure models

• III Market microstructure
  • Liquidity and the property price
  • Price discovery
  • Empirical models of micro structure

Seminars (Undergraduate)

This is a seminar on Finance and International 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)

We conduct empirical analyses on Finance and International Finance. In the first year of the master’s program, students read Finance textbooks and learn machine learning using Python, and in the second year, they write their master’s thesis.

Theme of a master thesis

• “Analysis of Bitcoin Price Prediction Using Machine Learning”
• “Causal Inference for R&D Inputs and Firm Performance”
• “Relationship between listing duration, market size, and network center point location”
• “Deep learning for predicting Exchange rate by term structure”
• “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”

Main Publications

1. “Dealership versus Continuous Auction: Evidence from the JASDAQ Market”, Pacific-Basin Finance Journal, Article 101924, 2023 (with S. G. Rhee and Y. Z. Zhang).
2. “Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan”, Sustainability 14, Article 11662, 2022 (with B. Hayo).
3. “Does firm-level productivity predict stock returns?”, Pacific-Basin Finance Journal, Article 101710, 2022 (with T. Hiroki and C. Watkins).
4. “The Changing Role of Foreign Investors in Tokyo Stock Price Formation”, Pacific-Basin Finance Journal, Article 101548, 2021(with C. Watkins).
5. “Quantitative Easing and Liquidity in the Japanese Government Bond Market”, International Review of Finance, 18, 3, 2018, pp.463-475 (with T. Taishi).
6. “Order Flows, Fundamentals and Exchange Rates”, International Journal of Finance and Economics, 19, 2014, pp.251-266 (with I. W. Marsh).
7. “International Transmission of Business Cycles: Evidence from Dynamic Correlations”, Economics Letters, 114, 2012, pp.235-255 (with J. Fidrmuc and T. Ikeda).

Contact

E-mail

iwatsubo(at)econ.kobe-u.ac.jp

Office hours

Make an appointment by e-mail in advance.