Abstract
The time-series developments of comovementsin stock returns between the Japanese markets and the US or Canadian markets are empirically examined. We investigate these covariations by dividing full sample periods into several sub-periods that are before and after the US Lehman Shock. In this paper, it is demonstrated that the connections of stock returns of the Japanese markets and the US or Canadian equity markets recently gradually increased. In addition, it is also clarified that in the sub-period right after theLehman Shock, these connections between stock returns ofthe Japanese and the US or Canadian equity markets highly increased.
Highlights
Researchers and practitioners in the field of business and economics are more and more paying attention to the time-varying comovements of stock returns in international equity markets
Our investigations offer the evidence that the covariations of stock returns between the Japanese markets and the US or Canadian markets recently gradually increased
We implemented the empirical tests with regard to the time-varying stock return connections between the Japanese markets and the US or Canadian markets
Summary
Researchers and practitioners in the field of business and economics are more and more paying attention to the time-varying comovements of stock returns in international equity markets. Contrary to the existence of interesting preceding studies as above, as far as we know, there seem to be few academic research papers that carefully scrutinize the stock return relationships by focusing on the linkage between the Japanese stock markets and the US or Canadian markets. With the above backgrounds and motivations, in this paper, it is attempted to analyze and discuss the time-series developments of stock return covariations between the Japanese equity markets and the US or Canadian markets. This is the primary concern in our study. This paper further found that especially in the sub-period right after the US Lehman Shock, the time-varying connections between returns in these international equity markets generally increased. Section 5explains our empirical results, Section 6documents and discusses the interpretation and implications from our analyses, and Section 7 concludes the paper
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