Yamada Masahiro 山田昌弘

… Alternative Names

山田昌弘ヤマダマサヒロ

YAMADA Masahiro 山田昌弘

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Researcher Number	60732435
Other IDs
Affiliation (Current)	2025: 東京理科大学, 経営学部経営学科, 准教授
Affiliation (based on the past Project Information) *help	2022 – 2023: 東京理科大学, 経営学部経営学科, 准教授 2019 – 2021: 大阪大学, 経済学研究科, 准教授 2018: 一橋大学, 経済研究所, 非常勤研究員 2017: 一橋大学, 大学院経済学研究科, 講師 2014 – 2015: 一橋大学, 大学院経済学研究科, 講師
Review Section/Research Field	Except Principal Investigator Medium-sized Section 7:Economics, business administration, and related fields / Money/ Finance / Economic statistics
Keywords	Except Principal Investigator 高頻度データ / ファクターモデル / 株価指数関連取引 / 価格の情報反映度 / 価格の情報効率性 / 証券取引 / Tobin's Q / 実物投資 / 効率性 / Ａｓｋ … More / Ｂｉｄ / 市場効率性 / 指値 / 高速取引 / 外国為替市場 / 裁定条件 / 高頻度取引者 / マクロ統計 / マーケット・マイクロストラクチャー / プライス・ディスカバリー / 価格発見 / 流動性 / 取引実行リスク / 裁定取引 / 仲値 / マイクロストラクチャー / 高頻度取引 / 為替レート / 倒産確率 / 時系列 / ﾌﾗｸｼｮﾅﾙ・ﾌﾞﾗｳﾝ運動 / フラクショナル・ブラウン運動 / 統合リスク管理 / 統合的リスク管理（ERM） / 総合的リスク管理(ERM) / ビッグデータ / 構造変化 / コピュラ / 計量的リスク管理 / 統合的リスク管理 / 計量経済学 / 金融工学 Less

A study of securities trading and corporate investment
- Principal Investigator
  
  Ohta Wataru
- Project Period (FY)
  2021 – 2023
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Review Section
  
  Medium-sized Section 7:Economics, business administration, and related fields
- Research Institution
  Osaka University
Effects of High Frequency Tradings on Efficiency and Stability of the Foreign Exchange Markets: Analysis using High-frequency Data
- Principal Investigator
  
  Ito Takatoshi
- Project Period (FY)
  2017 – 2021
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Money/ Finance
- Research Institution
  National Graduate Institute for Policy Studies
Financial Engineering to ERM: Theoretical and Empirical Investigation
- Principal Investigator
  
  SHIBA Tsunemasa
- Project Period (FY)
  2012 – 2015
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Economic statistics
- Research Institution
  Hitotsubashi University

All 2023 2022 2020 2019 2018 2017 2016 2015 2014

All Journal Article Presentation

[Journal Article] Price discovery and liquidity recovery: Forex market reactions to macro announcements2022
- Author(s)
  Masahiro Yamada and Takatoshi Ito
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 120 Pages: 1-21
- DOI
  10.1016/j.jimonfin.2021.102502
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17H00995
[Journal Article] Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements2020
- Author(s)
  Masahiro Yamada & Takatoshi Ito
- Journal Title
  
  NBER working paper
  
  Volume: 27036 Pages: 1-56
- DOI
  10.3386/w27036
- Open Access
- Data Source
  KAKENHI-PROJECT-17H00995
[Journal Article] Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets2020
- Author(s)
  Takatoshi Ito; Kenta Yamada; Misako Takayasu; Hideki Takayasu
- Journal Title
  
  NBER working papers
  
  Volume: no 26760 Pages: 1-30
- Data Source
  KAKENHI-PROJECT-17H00995
[Journal Article] Did the reform fix the London fix problem?2018
- Author(s)
  Ito, Takatoshi and Masahiro Yamada
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 80 Pages: 75-95
- DOI
  10.1016/j.jimonfin.2017.10.004
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H00995
[Journal Article] Puzzles in the Tokyo fixing in the forex market: Order imbalances and Bank pricing2017
- Author(s)
  Ito, Takatoshi and Masahiro Yamada
- Journal Title
  
  Journal of International Economics
  
  Volume: 109 Pages: 214-234
- DOI
  10.1016/j.jinteco.2017.09.005
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H00995
[Journal Article] Did the Reform Fix the London Fix Problem?2017
- Author(s)
  Ito, Takatoshi and Masahiro Yamada
- Journal Title
  
  NBER Working Papaer
  
  Volume: 23327 Pages: 1-35
- DOI
  10.3386/w23327
- Open Access
- Data Source
  KAKENHI-PROJECT-17H00995
[Journal Article] Was the Forex Fixing Fixed?2015
- Author(s)
  Masahiro Yamada and Takatoshi Ito
- Journal Title
  
  CJEB working paper (Columbia Business School)
  
  Volume: 344 Pages: 1-47
- Data Source
  KAKENHI-PROJECT-24243031
[Journal Article] Was the Forex Fixing Fixed?2015
- Author(s)
  Masahiro Yamada and Takatoshi Ito
- Journal Title
  
  NBER Working Paper
  
  Volume: 21518 Pages: 1-47
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] 日本の株式市場における高頻度取引について2023
- Author(s)
  山田昌弘
- Organizer
  株式市場と外国為替市場における高頻度データ分析コンファレンス
- Data Source
  KAKENHI-PROJECT-21H04399
[Presentation] 高頻度データによる介入効果分析:介入手法とプライスインパクト2010-2022年2023
- Author(s)
  山田昌弘
- Organizer
  株式市場と外国為替市場における高頻度データ分析コンファレンス
- Data Source
  KAKENHI-PROJECT-21H04399
[Presentation] Price Discovery and Liquidity at Macro Statistics Announcement Time2019
- Author(s)
  Takatoshi Ito and Masahiro Yamada
- Organizer
  3rd Annual International Conference on High Frequency Exchange Rate Dynamics: Econophysics and Econometric Analysis Based on the EBS data sets
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00995
[Presentation] Price discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcement2019
- Author(s)
  Takatoshi Ito, Masahiro Yamada
- Organizer
  4th Annual International Conference on High Frequency Exchange Rate Dynamics: Econophysics and Econometric Analysis Based on the EBS data sets
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00995
[Presentation] Price discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcement2019
- Author(s)
  伊藤隆敏、山田昌弘
- Organizer
  日本金融学会
- Data Source
  KAKENHI-PROJECT-17H00995
[Presentation] Survey and research direction of econometric analyses with high-frequency (EBS) data2017
- Author(s)
  Ito, Takatoshi and Masahiro Yamada
- Organizer
  2nd International Conference on High Frequency Exchange Rate Dynamics: Econophysics and Econometric Analysis Based on the EBS data sets
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H00995
[Presentation] Was the Forex Fixing Fixed?2016
- Author(s)
  Masahiro Yamada and Takatoshi Ito
- Organizer
  Japan Economic Seminar
- Place of Presentation
  ニューヨーク（米国）
- Year and Date
  2016-03-04
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Was Forex Fixing fixed?2015
- Author(s)
  Masahiro Yamada
- Organizer
  International Workshop on Finance Risk and Their Management
- Place of Presentation
  京都大学（京都府京都市）
- Year and Date
  2015-03-10
- Invited
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Was the Forex Fixing Fixed?2015
- Author(s)
  Masahiro Yamada and Takatoshi Ito
- Organizer
  日本金融学会2015年秋季大会
- Place of Presentation
  東北大学(宮城県仙台市)
- Year and Date
  2015-10-24
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] High-frequency, Algorithmic Spillovers between NASDAQ and Forex2015
- Author(s)
  Masahiro Yamada and Takatoshi Ito
- Organizer
  日本ファイナンス学会第23回大会
- Place of Presentation
  東京大学(東京都文京区)
- Year and Date
  2015-06-07
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] Was Forex Fixing fixed?2015
- Author(s)
  Masahiro Yamada
- Organizer
  3rd Symposium on 'Financial Engineering and ERM'
- Place of Presentation
  一橋大学(東京都国立市)
- Year and Date
  2015-03-04
- Data Source
  KAKENHI-PROJECT-24243031
[Presentation] The disposition effect, order imbalance, and market efficiency2014
- Author(s)
  Masahiro Yamada
- Organizer
  Financial Management Association, Annual 2014
- Place of Presentation
  Gaylord Opryland Resort & Convention Center（Nashville, US）
- Year and Date
  2014-10-18
- Data Source
  KAKENHI-PROJECT-24243031

1. SHIBA Tsunemasa (90187386)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
2. TANAKA Katsuto (40126595)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
3. ISHIMURA Naoyuki (80212934)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
4. HONDA Toshio (30261754)

# of Collaborated Projects: 1 results

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5. KUROZUMI Eiji (00332643)

# of Collaborated Projects: 1 results

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6. YAMAMOTO Yohei (80633916)

# of Collaborated Projects: 1 results

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7. ISHIHARA Tsunehiro (60609072)

# of Collaborated Projects: 1 results

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8. YAMADA Toshiro (50754701)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. SHIMOTSU Katsumi (50547510)

# of Collaborated Projects: 1 results

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10. TAKAHASHI Hajime (70154838)

# of Collaborated Projects: 1 results

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11. WATANABE Toshiaki (90254135)

# of Collaborated Projects: 1 results

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12. KARIYA Takeaki (70092624)

# of Collaborated Projects: 1 results

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13. FUJITA Takahiko (50144316)

# of Collaborated Projects: 1 results

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14. Ito Takatoshi (30203144)

# of Collaborated Projects: 1 results

# of Collaborated Products: 10 results
15. Ohta Wataru (20293681)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
16. 大西匡光 (10160566)

# of Collaborated Projects: 1 results

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17. 大屋幸輔 (20233281)

# of Collaborated Projects: 1 results

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18. 笠原晃恭 (50811410)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Yamada Masahiro 山田 昌弘

山田 昌弘 ヤマダ マサヒロ

YAMADA Masahiro 山田 昌弘

Research Projects

Research Products

Co-Researchers

A study of securities trading and corporate investment

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Effects of High Frequency Tradings on Efficiency and Stability of the Foreign Exchange Markets: Analysis using High-frequency Data

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

Financial Engineering to ERM: Theoretical and Empirical Investigation

Principal Investigator

Project Period (FY)

Research Category

Research Field

Research Institution

[Journal Article] Price discovery and liquidity recovery: Forex market reactions to macro announcements2022

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Price Discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcements2020

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Execution Risk and Arbitrage Opportunities in the Foreign Exchange Markets2020

Author(s)

Journal Title

Data Source

[Journal Article] Did the reform fix the London fix problem?2018

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Puzzles in the Tokyo fixing in the forex market: Order imbalances and Bank pricing2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Did the Reform Fix the London Fix Problem?2017

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Was the Forex Fixing Fixed?2015

Author(s)

Journal Title

Data Source

[Journal Article] Was the Forex Fixing Fixed?2015

Author(s)

Journal Title

Data Source

[Presentation] 日本の株式市場における高頻度取引について2023

Author(s)

Organizer

Data Source

[Presentation] 高頻度データによる介入効果分析:介入手法とプライスインパクト2010-2022年2023

Author(s)

Organizer

Data Source

[Presentation] Price Discovery and Liquidity at Macro Statistics Announcement Time2019

Author(s)

Organizer

Data Source

[Presentation] Price discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcement2019

Author(s)

Organizer

Data Source

[Presentation] Price discovery and Liquidity Recovery: Forex Market Reactions to Macro Announcement2019

Author(s)

Organizer

Yamada Masahiro 山田昌弘

山田昌弘ヤマダマサヒロ

YAMADA Masahiro 山田昌弘