Analysis

[1] "株式平均売買代金:内国株式:一部:売買高:千株:株式会社日本取引所グループ"
           Jan       Feb       Mar       Apr       May       Jun       Jul       Aug       Sep       Oct       Nov       Dec
1999                                                                                                      14200934  12077811
2000  12174793  15219117  19451616  15657331  12761635  16994742  14492994  13434530  12274256  11353245  11820751  13963539
2001  12218137  13560618  19202007  20052626  18177587  17466342  14093334  17062771  16002633  17272424  16427532  17995564
2002  14641314  16456338  20601059  17470365  19999875  17394721  18060276  15774717  16553435  16939141  17564624  15825894
2003  16655164  18131532  19350354  22768547  23574938  32636811  32438624  30675210  31705884  32905064  20935121  25416828
2004  26604814  21988610  42716412  41278950  27159199  29748417  23528182  25248987  32016077  30428887  26336731  29979004
2005  31204846  33779502  42864606  30568745  27152186  33853370  31203854  45908170  57785496  57621695  58752260  57615692
2006  47405923  46675576  41888051  38223735  39889287  43118581  34672713  38597686  34390064  38290244  36190313  38552039
2007  42433329  51694726  52385740  42510990  46405536  48445204  44909855  52669131  34590316  43628803  48560793  37601449
2008  47819618  46268956  44106190  40554399  44098306  47182970  44448267  39625117  44190777  61313710  41798486  40169421
2009  38912029  40581720  48778057  55745073  45094385  57878344  48941061  44405132  39895935  45429080  40282231  46155617
2010  48491963  37920508  44121872  49251220  47430651  42201199  41980078  37329047  36605340  42614318  41639497  42110073
2011  43615542  47393270  73318715  45322061  38152187  43599387  38064256  50825686  40125808  36115661  34576359  33537432
2012  38169275  55955975  52573209  39717736  41668843  39774491  36854709  38649339  35943661  41523475  43594701  55329006
2013  72868463  76545161  71130774  96783554 105036974  71101621  64812973  49882825  61513346  59533755  56611481  56037034
2014  59392743  54570757  49932098  45708361  45226103  50136729  49975190  44938384  47392319  58537129  55368464  51672791
2015  47723102  52335121  52458870  50758781  51104141  56607002  55318774  59993932  49824638  50258367  45903615  47719538
2016  51656597  65240296  53873029  51223058  43458389  50305246  46163433  44470127  40963768  39490606  54314157  52451686
2017  40378919  43528455  44996109  42771656  42542528  44907944  38539970  39842652  39038235  39015893  40601473  34220383
2018  33121010  36155571  33339717  32543019  36516703  33587015  32043371  33467161  29950198  37762976  34647708  32935319
2019  27545866  26997552  28939984  26373106  30033136  25072547  25827352  27119512  28196119  29626134

民主党政権 第二次安倍内閣 白川日銀総裁 黒田日銀総裁 特記その他

  • 民主党政権 


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-8627966 -4597174 -1584192  2124763 30343320 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 44685387    2321589   19.25 <0.0000000000000002 ***
ID            -90000     101162   -0.89               0.379    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7110000 on 37 degrees of freedom
Multiple R-squared:  0.02094,   Adjusted R-squared:  -0.005517 
F-statistic: 0.7915 on 1 and 37 DF,  p-value: 0.3794



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.15385, p-value = 0.7523
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.5088, p-value = 0.04036
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.053812, df = 1, p-value = 0.8166



    Box-Ljung test

data:  lm_residuals
X-squared = 2.3865, df = 1, p-value = 0.1224

  • 第二次安倍内閣~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-13988600  -3079243   -755939   2763766  39725994 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 68373172    1757937   38.89 <0.0000000000000002 ***
ID           -510365      36356  -14.04 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7936000 on 81 degrees of freedom
Multiple R-squared:  0.7087,    Adjusted R-squared:  0.7051 
F-statistic: 197.1 on 1 and 81 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.24096, p-value = 0.01586
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.84372, p-value = 0.000000001319
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 9.0712, df = 1, p-value = 0.002597



    Box-Ljung test

data:  lm_residuals
X-squared = 27.122, df = 1, p-value = 0.000000191

  • 白川日銀総裁 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-12199746  -5413106  -2529589   2862116  30214713 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 43830236    2383259  18.391 <0.0000000000000002 ***
ID             42377      69087   0.613               0.542    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 9037000 on 57 degrees of freedom
Multiple R-squared:  0.006557,  Adjusted R-squared:  -0.01087 
F-statistic: 0.3762 on 1 and 57 DF,  p-value: 0.5421



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.28814, p-value = 0.01452
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.97641, p-value = 0.000005416
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 5.8973, df = 1, p-value = 0.01516



    Box-Ljung test

data:  lm_residuals
X-squared = 10.561, df = 1, p-value = 0.001155

  • 黒田日銀総裁~ 


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-13899621  -3098827   -793886   2164689  39837974 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 66723823    1774162   37.61 <0.0000000000000002 ***
ID           -508274      38055  -13.36 <0.0000000000000002 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7860000 on 78 degrees of freedom
Multiple R-squared:  0.6958,    Adjusted R-squared:  0.6919 
F-statistic: 178.4 on 1 and 78 DF,  p-value: < 0.00000000000000022



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.1875, p-value = 0.1202
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.81685, p-value = 0.0000000008941
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 9.1181, df = 1, p-value = 0.002531



    Box-Ljung test

data:  lm_residuals
X-squared = 28.686, df = 1, p-value = 0.00000008513
  • 特記その他
  1. 時系列データの特徴(誤差構造、負数の有無その他等)に関わらず線形回帰を求めている。よってあくまでも対象とした期間における線形回帰そしてその残差の傾向を確認しているのみであり結果の外挿は出来ない。
  2. 民主党政権:2009-09-16~2012-12-25
  3. 白川方明氏の日銀総裁就任期間:2008-04-09~2013-03-19