Abstract
This paper empirically examines the time-series relationships of value, growth, and standard stock indices in Canadian and Japanese equity markets. More specifically, we investigate the effects of the returns of the Nikkei 225 (the Nikkei), Tokyo stock price index (TOPIX), and Japanese value and growth stock indices on Canadian value, growth, and standard equity index returns. The new evidence from our empirical examinations is as follows. 1) First, our analyses by the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) models find that the returns of the Nikkei and TOPIX most strongly influence value stock index returns in Canada. 2) Second, our examinations by the EGARCH models clarify that the Japanese value and growth equity index return evolution also most strongly affects Canadian value stock returns.
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