Analysis

[1] "株式平均売買代金:内国株式:一部:売買代金:百万円: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                                                                                           23805402 20939755
2000 20246632 28479061 30834582 24858586 18413840 19965026 16864532 19103579 17577689 16389047 14254923 15644844
2001 14891681 14556037 20473477 18144151 19450644 17997964 14975425 16762955 15051133 16904907 15668335 14967578
2002 13313046 14637219 21172471 17116154 19139130 17809332 17712399 14301788 14761475 14174172 13843080 12889683
2003 11753343 12535061 13310045 14529992 15276375 19580923 25280805 22028889 29132399 32430626 21375099 20672189
2004 23608598 22650650 37466962 37227758 26758056 29890652 24701612 23453199 24376429 23829769 24409723 25544801
2005 23746458 26748554 34850754 26933203 24104269 27664364 25566125 41783638 48375069 51567772 60112426 67683768
2006 62179756 62342102 55728413 56928317 56965557 56117526 45560256 49126944 45393198 54610172 49953801 49402740
2007 54438336 67359965 69276879 56991392 63987301 65143786 63028117 75878981 48230688 61147791 62604678 47245609
2008 57085590 54335640 49686057 49374364 51701143 52855692 49322159 42217407 47173396 51659472 33098255 30029769
2009 26840704 26142967 31523764 34415919 29852168 39478638 32721227 31773784 28093966 31697280 26289474 29849839
2010 31735888 26785610 30619420 35904779 34101479 30160741 26372327 25903638 26133258 29059005 28375340 29447274
2011 29980805 33692797 46315207 28864406 26021246 28058841 25243045 33015404 25767704 23233791 21434308 19959963
2012 20957629 31291349 32337975 25527570 25122677 24051632 21646452 22513534 21596432 25613828 25764916 30278282
2013 41843108 45867257 50788121 71229092 82423237 56074382 54594144 43243641 43948650 47945969 49717459 52518769
2014 54197216 49419631 47135962 41947055 40450289 45533789 42958090 40900594 45741209 56270385 57293423 54677421
2015 47593832 55265534 63518928 59543906 55888766 63402925 62519761 69347136 54676339 56308575 53528791 54914996
2016 56277658 64445650 55578869 52322117 44730267 51733877 53290358 51301263 45976309 45118303 60467366 61963739
2017 49990077 50914304 55089902 50938679 56377346 61080152 51163326 53704338 56443343 65261644 73296872 58958266
2018 63656425 68999133 64592772 56874935 63447894 59236461 56723115 58788090 55672251 73324524 62612074 56818361
2019 49380140 50076799 53678015 49804461 52418200 43637388 47345070 47728176 51153298 53468082                  
  • 民主党政権


Call:
lm(formula = value ~ ID)

Residuals:
     Min       1Q   Median       3Q      Max 
-6407572 -3202279  -280003  1064553 18210933 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 31770724    1472375  21.578 < 0.0000000000000002 ***
ID           -192971      64158  -3.008              0.00471 ** 
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 4509000 on 37 degrees of freedom
Multiple R-squared:  0.1965,    Adjusted R-squared:  0.1747 
F-statistic: 9.047 on 1 and 37 DF,  p-value: 0.004713



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.10256, p-value = 0.9885
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 1.2928, p-value = 0.006567
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.0012822, df = 1, p-value = 0.9714



    Box-Ljung test

data:  lm_residuals
X-squared = 4.9794, df = 1, p-value = 0.02565
  • 第二次安倍内閣~


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-20770521  -5398559    -40036   3932600  30974323 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 50968781    1853618  27.497 <0.0000000000000002 ***
ID             80022      38335   2.087                0.04 *  
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 8367000 on 81 degrees of freedom
Multiple R-squared:  0.05105,   Adjusted R-squared:  0.03933 
F-statistic: 4.357 on 1 and 81 DF,  p-value: 0.03999



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.28916, p-value = 0.00183
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.78318, p-value = 0.0000000001159
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 3.0519, df = 1, p-value = 0.08064



    Box-Ljung test

data:  lm_residuals
X-squared = 27.842, df = 1, p-value = 0.0000001317
  • 白川日銀総裁


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-10454113  -4547013  -2261246   3641843  21795454 

Coefficients:
            Estimate Std. Error t value             Pr(>|t|)    
(Intercept) 39467456    1909119  20.673 < 0.0000000000000002 ***
ID           -260943      55343  -4.715             0.000016 ***
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 7239000 on 57 degrees of freedom
Multiple R-squared:  0.2806,    Adjusted R-squared:  0.268 
F-statistic: 22.23 on 1 and 57 DF,  p-value: 0.00001602



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.25424, p-value = 0.04374
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.61414, p-value = 0.00000000007735
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 0.037134, df = 1, p-value = 0.8472



    Box-Ljung test

data:  lm_residuals
X-squared = 22.05, df = 1, p-value = 0.000002657
  • 黒田日銀総裁~


Call:
lm(formula = value ~ ID)

Residuals:
      Min        1Q    Median        3Q       Max 
-13288688  -5477347     13512   3281858  29226963 

Coefficients:
            Estimate Std. Error t value            Pr(>|t|)    
(Intercept) 53060598    1817594   29.19 <0.0000000000000002 ***
ID             45225      38987    1.16                0.25    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 8052000 on 78 degrees of freedom
Multiple R-squared:  0.01696,   Adjusted R-squared:  0.004356 
F-statistic: 1.346 on 1 and 78 DF,  p-value: 0.2496



    Two-sample Kolmogorov-Smirnov test

data:  lm_residuals and rnorm(n = length(lm_residuals), mean = 0, sd = sd(lm_residuals))
D = 0.075, p-value = 0.9794
alternative hypothesis: two-sided



    Durbin-Watson test

data:  value ~ ID
DW = 0.84436, p-value = 0.000000002521
alternative hypothesis: true autocorrelation is greater than 0



    studentized Breusch-Pagan test

data:  value ~ ID
BP = 2.3073, df = 1, p-value = 0.1288



    Box-Ljung test

data:  lm_residuals
X-squared = 27.576, df = 1, p-value = 0.0000001511
  • 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