Japanese Stock Prices Research Articles

Korean Stock Price Index Volatility and Japanese Stock Price Index Volatility

Korean Stock Price Index Volatility and Japanese Stock Price Index Volatility

A nonparametric method of multi-step ahead forecasting in diffusion processes

This paper provides a nonparametric model of multi-step ahead forecasting in diffusion processes. The model is constructed from the local linear model with the Gaussian kernel. The paper provides simulation studies to evaluate its performance of multi-step ahead forecasting by comparing with the global linear model, showing the better forecasting performance of the nonparametric model than the global linear model. The paper also conducts empirical analysis for forecasting using intraday data of the Japanese stock price index and the time series of heart rates. The result shows the performance of forecasting does not differ much in the Japanese stock price index, but that the nonparametric model shows significantly better performance in the analysis of the heart rates.

How Did Japanese Investments Influence International Art Prices?

AbstractWe test the luxury consumption hypothesis of Ait-Sahalia, Parker, and Yogo (2004), using a unique international art price, import/export flow, and stock market data set. We find that the demand for art by Japanese collectors is positively correlated with art prices and Japanese stock prices. This correlation is magnified during the “bubble period” of the Japanese economy (the mid-1980s to the early 1990s) and gains even further strength for works of art typically favored by Japanese collectors. Our results suggest that Japanese investors (or Japanese asset markets) indeed affect international art prices—especially during the bubble period and its aftermath.

Macro shocks and the Japanese stock market

The article investigates to what extent various underlying macro (oil, supply, demand and portfolio) shocks impact the fluctuations of Japanese stock prices by developing a multivariate structural vector autoregression (SVAR) model. The results from a Markov regime-switching (MS) specification of the underlying shocks reveal that these shock-generating processes are characterized by nonlinearity with varied turning points and fit well with the actual historical events. Demand shocks, as opposed to supply shocks, are found to render pronounced influence on the stock market dynamics, indicating Japan's anaemic economic growth in the past decades has limited the role of supply shocks. Meanwhile, we find the importance of oil price shocks in driving the stock market as Japan is well synchronized in the world energy market.

Recent stock price relationships between Japanese and US stock markets

PurposeThis paper, using daily data, sets out to present an empirical analysis of the relationship between recent Japanese stock prices and macroeconomic variables under the quantitative easing policy in Japan.Design/methodology/approachThe theoretical framework of the analysis is provided followed by application of the empirical method and analysis of the deterministic elements of stock prices in Japan. Vector error correction method is applied.FindingsThe results indicate that interest rates, especially the domestic interest rate, have not impacted Japanese stock prices. Exchange rates also have not been a significant determinant of Japanese stock prices. US stock prices have significantly influenced Japanese stock prices. Moreover, there exists a long‐term stable relationship between Japanese and US stock market prices.Originality/valueThe Bank of Japan's monetary policy, especially quantitative monetary easing, has not yet been fully determined. The effect of the policy on stock prices has not been discussed at all. Analyzing this effect is important because of its impact on the Japanese economic recovery, which has prevailed for more than ten years. Moreover, little research exists on the effect of the exchange rate on stock prices. This paper uses daily data. Some past studies on this topic have used quarterly or monthly data.

Wavelet-based beta estimation and Japanese industrial stock prices

This paper applies the multi-scale beta estimation approach based on wavelet analysis proposed in Gençay et al. (2002) to Japanese industrial stock prices. Betas are calculated based on the wavelet rough and smooth from the discrete wavelet transform (DWT) and it is argued that the conventional beta estimate is an ‘average’ of the wavelet-based beta estimates. Some empirical evidence is shown that implies that the multi-scale beta estimation approach is useful.

Do stock prices contain predictive information on business turning points? A wavelet analysis

Using wavelet analysis, this paper shows empirically that Japanese stock prices contain predictive information on business turning points since the middle of the 1980s. The average leading period is about 13 months.

On Asymmetry, Holiday and Day-of-the-week Effects in Volatility of Daily Stock Returns: The Case of Japan

In this paper, we investigate volatility in Japanese stock returns, using the state space model. The daily data of Nikkei 225 stock average from January 4, 1985 to June 10, 2004 are utilized and the stochastic volatility model is assumed for the noise component. We examine whether there are asymmetry, holiday and day-of-the-week effects in volatility. Moreover, we see whether U.S. stock price change influences the volatility in Japanese stock price, which is called U.S. stock price change effect in this paper (note that this is the asymmetry effect caused by U.S. stock market). It is also examined whether we have volatility transmission from U.S. to Japan. As a result, we empirically find that the asymmetry, holiday, U.S. stock price volatility transmission and Tuesday effects strongly influence the volatility in Japanese stock returns. Moreover, it is shown that both volatility and level in Japanese stock returns depend on U.S. stock returns.

A test for rational bubbles in stock prices

This paper presents two necessary conditions for the absence of rational bubbles on the assumption that the discount rate is stationary. One condition is that real stock prices and real dividends are cointegrated with the time-varying cointegrating vector. The other is that the order of integration of real stock prices is equal to that of real dividends. The first condition is different from that proposed on the assumption of a constant discount rate. In contrast, the second condition is the same as that presented on this assumption. Examining the second condition using Japanese data, we find that Japanese stock prices and dividends satisfy the necessary condition.

The Interdependence and Cause of Japanese and US Stock Prices: An Event Study

This paper analyses the interdependence between the US and Japanese stock price indexes, focusing on whether it exists only when a large change in the index occurs and what its possible causes are. To this end, I employ a kind of ‘event study’, which seeks to investigate whether the stock price index of one country significantly reacts only to a large change in the index of the other country. The results suggest that: (i) a strong two‐way causality between the indexes is recognized clearly when one index shows a large change, while the interdependence is much less clear for small changes; and (ii) the news of a large fall or rise of the index itself plays an important role in the interdependence.

Seasonality and stock returns: some evidence from Japan

This paper examines the seasonal properties of Japanese stock prices using time series data from 1971 through 1997. Of interest are the influences of particular months of the year, which this study measures for the Tokyo stock price index (TOPIX), and indices that represent companies with large, medium, and small numbers of listed shares. The monthly effects in the various stock indices are confirmed for the total sample period. In contrast, such effects are not found for the latter half of the sample, and seasonal unit roots are rejected for all indices. That is, the seasonality of Japanese stock price indices is found to be deterministic but not stochastic.

The International Transmission of Financial Shocks: The Case of Japan

The large size of Japanese bank lending operations in the United States enables us to use U.S. banking data to investigate the extent to which the sharp decline in Japanese stock prices was transmitted to the United States via U.S. branches of Japanese parent banks, as well as to identify a supply shock to U.S. bank lending that is independent of U.S. loan demand. We find that binding risk-based capital requirements associated with the decline in the Japanese stock market resulted in a decline in commercial lending by Japanese banks in the United States that was both economically and statistically significant.

Identifying Permanent and Temporary Components in Daily and Monthly Japanese Stock Prices

The purpose of this study is to analyze time series of daily and monthly values for the Tokyo Stock Price Index (TOPIX) and stock price values for 15 companies listed on the Tokyo Stock Exchange, Section 1 (TSE-I), to determine the contribution of permanent and temporary components to Japanese stock prices. The existence of temporary components in the price series would imply that Japanese stock returns are partially predictable. The method of canonical correlation is used to determine components common to each series and the persistence of each component series is evaluated by estimating the amount of dependence in the series. The results suggest that Japanese stock prices contain a small temporary component. The fractionally integrated ARIMA (ARFIMA) model is used to characterize both the component series and an estimate of the temporary component for each original price series. The contribution of the temporary component to the total variation of the price series estimated. We find that, in general, the temporary component accounts for less than 8% of the variation in the daily price series and from 5% to 15% of variation in the monthly price series, indicating that there may be a small amount of predictability in Japanese stock prices.

Rational bubbles and non-risk neutral investors in Japan

This paper presents a sufficient condition for not observing rational bubbles in real stock prices when investors are not risk neutral and both the real interest rate and the risk premium are time varying. If the risk premium and the real interest rate are stationary, the stationarity of the first differences of real stock prices is a sufficient condition for the absence of rational bubbles. Testing this condition with data on Japanese stock prices, we find that the hypothesis that rational bubbles existed is rejected.

Common Stochastic Trends and Predictability of International Stock Prices

This paper investigates comovements and predictability of aggregate stock prices in Japan, Germany, the United Kingdom and the United States for the period from January 1975 to December 1990. The paper finds that the unit root nonstationary stock prices in the four countries are cointegrated with a single cointegrating vector, and share a long-run equilibrium relationship. Since each national stock price series contains information on the common stochastic trends, the predictability of one country′s stock prices can be enhanced significantly by utilizing information on other countries′ stock prices and on world common stochastic trends. It is found that U.S. stock prices contain substantial information on future movements of other countries′ stock prices. The subsample estimation results provide evidence of increasing comovements of stock prices and of the increasing importance of U.S. and Japanese stock prices in the major world stock markets during the 1980s. J. Japan. Int. Econ., September 1995, 9(3), pp.245–277. Carlson School of Management, University of Minnesota, Minneapolis, MN 55455; and Department of Economics, Drexel University, Philadelphia, Pennsylvania 19104

Japanese stock price reactions to stock dividend distributions

Japanese stock price reactions to stock dividend distributions

Unifying Rule Induction and Rule Refinement—Towards Discovering Anomaly from Granville's Law in a Stock Market Technical Analysis

AbstractThis paper discusses a framework for refining an initial object‐level rule base with a rule induction to learn meta‐level rules which find a data set applicable to an object‐level rule. A rule induction process such as ID3 tries to learn meta‐level rules and classifies given training data sets into positive data sets and negative ones. The rule refinement process tries to refine an initial object‐level rule base on classified data sets by using four refinement strategies. Unifying these two processes, one can obtain a refined object‐level rule base with high performance where a meta‐level rule selects a data set applicable to it. In order to evaluate the framework, an experiment on real Japanese stock price data shows that a refined object‐level rule base, which comes from the initial object‐level rule base for representing Granville's Law, has a performance beyond that of the average stock price. The performance is difficult for human technical analysts in a stock market to achieve. The result implies that the framework could create an anomaly from Granville's Law in a stock market technical analysis.

Japanese stock price reactions to stock dividend distributions

There is evidence of excess returns around stock dividend ex-days in the U.S. Since the ex-date is known in advance, excess returns around this day imply a pricing anomaly. Some researchers have attempted to explain the ex-day effect in terms of trading regulations and features of the U.S. market. This paper shows that stock dividends in Japan also result in significant excess returns around the ex-day which are very similar to those in the U.S. Our findings indicate that the ex-day effect is related to stock dividends per se and cannot be fully explained by characteristics of a particular market.

Land and Stock Prices in Japan

This paper discusses the rise of Japanese stock and land prices in the past four decades and their dramatic decline in the early 1990s. To what extent can fundamental factors explain both the price levels and the returns from land and stock in Japan? Are land prices driving stock prices, or the other way around, or are still other factors affecting both? How has government policy interacted with the price changes? In practice, it is very difficult to solve the problem of separating the explanation that a bubble occurred from the possibility that the underlying fundamental problem is misspecified. We believe that the bulk of the rise in Japanese asset prices from 1985–89 and the decline during 1990–92 was driven by interest rate and credit market conditions. However, in certain speculative land markets, there is some evidence in support of the bubble hypothesis.

Were Japanese stock prices too high?

This paper asks whether market fundamentals can explain the recent run-up and decline of Japanese equity values and price-earnings ratios. Accounting differences explain about half of the long-run disparity between U.S. and Japanese P/Es. For example, if Japanese firms used U.S. accounting rules, the Japanese P/E ratio would have been 32.6, not 53.7, in 1989. Accounting differences cannot, however, explain the doubling of this ratio in 1986, nor its decline in 1990. Similarly, we are unable to isolate changes in required stock returns or growth expectations that are large enough to explain recent Japanese stock price movements.