Abstract
AbstractThe authors performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997–2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years acrossthe- board recovery from the 1997–2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods: (i) 1997–1999 (Asian Financial Crisis), (ii) 2000–2002 (Technology Bubble Crisis), (iii) 2003–2006 (economic growth), (iv) 2007–2008 (Subprime Crisis), and (v) 2008–2010 (Lehman Brothers Crisis). In these MSTs, the Chemicals and Electric Machinery industries are consistently hubs. Finally, we present evidence from the segment-to-segment MSTs for flights to quality within the Japanese stock market.
Highlights
Under the austere leadership of Junichiro Koizumi between 2001 and 2006, Japan emerged from the ‘lost decade’, ending a protracted period of recession and unimpressive economic growth since the asset bubble burst in 1986
Through segmenting the Dow Jones Industrial Average (DJIA) Index time series between January 1997 and August 2008, we found that the US economy went from a low-volatility growth phase into a high-volatility crisis phase twice during this period (Wong et al, 2009)
Constructing the minimal spanning trees (MSTs) of these cross correlations, we found that the growth sectors such as industrials, consumer goods, and consumer services consistently form the core of the MSTs, whereas quality sectors such as basic materials, oil & gas, healthcare, and utilities frequently reside on the fringe of the MSTs
Summary
Under the austere leadership of Junichiro Koizumi between 2001 and 2006, Japan emerged from the ‘lost decade’, ending a protracted period of recession and unimpressive economic growth since the asset bubble burst in 1986. This long-awaited growth — and Japan’s ambitions to return to its heydays of the 1970s and 1980s, is almost immediately pitted against the most severe global financial crisis in recent history. A great slump in global investment and demand for Japanese exports in late 2008 sent Japan plunging back into recession. Term of Office 26 Sep 2006–26 Sep 2007 26 Sep 2007–24 Sep 2008 24 Sep 2008–16 Sep 2009
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