
Yoichi OtsuboKobe University | Shindai · Graduate school of economics
Yoichi Otsubo
PhD Economics
About
16
Publications
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Introduction
I am an Associate Professor at Kobe University and hold Honorary academic position at the University of Manchester, AMBS. In my research, I investigate aspects of financial economics, particularly the informational (in)efficiency of financial markets (e.g. market microstructure, price discovery process). I am currently working on research topics such as Retail investors' communication in social media, Climate change-Energy transition risks on financial institutions, and Political event risk.
Skills and Expertise
Additional affiliations
October 2024 - October 2024
The University of Manchester
Position
- Honorary Academic
June 2011 - May 2014
January 2015 - September 2024
Publications
Publications (16)
This research explores risk connectedness in the Canadian banking sector from 2007 to 2022, employing diverse measures such as daily realized volatility, implied volatility from option prices, and tail risk assessed through volatility skew (SKEW). During crises, interconnectedness peaks at 81.3% in 2020, highlighting sector vulnerability. Surprisin...
Analysis of over 150,000 WallStreetBets comments identifies dominant phrases during Collective Effervescence (CE), a state where individuals experience collective excitements and solidarity. With our proposed Vocabulary Herfindahl Index (VocaHIn), measuring the prevalence of specific phrases, we find an upsurge in stock returns volatility during CE...
The recent episodes of the gains and losses in their share price of meme stocks (e.g., GameStop) at an unexpectedly fast pace and at a large magnitude would be viewed as "speculative bubbles" associated with Irrational Exuberance (IE) of the investors. In this paper, we shed light on a unique aspect of the phenomenon contrasting from IE. Namely, we...
This study shows that the option market can ex ante detect and quantify the effects of political event risk. Focussing on the 2016 UK referendum on EU membership, we find that the Risk-Neutral Distribution extracted from GBPUSD futures options whose expiry spans the referendum date becomes bimodal and the Implied Volatility curve exhibits an unusua...
We examine the long-run pricing relationship among crude oil prices at the North Sea (Brent) and Cushing (WTI) delivery points. The Brent-WTI location basis differential is stable until December 2009, but it widens to record levels in the next two years. We report on recent changes in the crude oil market that causes the prices to move apart. Brent...
We investigate the behavior of bid-ask spread components around U.S. Federal Funds Rate announcement times for a sample of Canadian firms that are cross-listed in the U.S. We use transaction-level data to decompose the spread into its three components, namely, information asymmetry, order persistence, and order processing costs. We observe that at...
This paper explores the impacts of key policy actions by US and European authorities on stock returns of systemically important banks in Europe and US around the subprime crisis. We find that the US policy announcements had a stronger impact on the European and US banking industry than the European policy announcements. In particular, the announcem...
We examine the long-run pricing relationship among crude oil prices at the North Sea (Brent), Cushing (WTI) and Louisiana Gulf (LLS) delivery points. The Brent-WTI location basis differential is stable until January 2010, but it widens to record levels in the next two years. Brent and WTI prices are cointegrated prior to this structural break, but...
The upward bias of the widely used Thompson-Waller estimator has been pointed out in the literature. In contrast the current paper provides a case the estimator would have downward bias. Such case satisfies the two conditions: (i) the buy (sell) order tends to follow buy (sell) order and (ii) the price change associated to such orders are small. Th...
This study examines the role for the Tokyo and the New York Stock Exchange in price discovery for Japanese shares. The two markets' trading hours do not overlap and the trading volume concentrates in Tokyo. State space model approach is employed to investigate the contribution and the efficiency of price discovery. We find that the size of informat...
This paper explores the impacts of key policy actions by US and European authorities on stock returns of systemically important banks in Europe and US around the subprime crisis. We find that the US policy announcements had a stronger impact on the European and US banking industry than the European policy announcements. In particular, the announcem...
This paper analyzes the market microstructure of the European Climate Exchange, the largest EU ETS trading venue. The ECX captures 2/3 of the screen traded market in EUA and more than 90% in CER. Trading volumes are active, with EUA volume doubling in 2009. Spreads range from €0.02 to €0.06 for EUA futures and from €0.07 to €0.18 for CER. Market im...