Japan Stock Research Articles

Comparative Study of Volatility Forecasting Models: The Case of Malaysia, Indonesia, Hong Kong and Japan Stock Markets

This paper aims to investigate the effectiveness of four volatility forecasting models, i.e. Exponential Weighted Moving Average (EWMA), Autoregressive Integrated Moving Average (ARIMA) and Generalized Auto-Regressive Conditional Heteroscedastic (GARCH), in four stock markets Indonesia, Malaysia, Japan and Hong Kong. Using monthly closing stock index prices collected from 1st January 1998 to 31st December 2015 for the four selected countries, results obtained confirm that volatility in developed markets is not necessarily always lower than the volatility in emerging markets. Among all the three models, GARCH (1, 1) model is found to be the best forecasting model for stock markets in Malaysia, Indonesia, and Japan, while EWMA model is found to be the best forecasting model for Hong Kong stock market. The outperformance of GARCH (1, 1) found supports again what is found in Minkah (2007).

Bank-Insurer-Firm Tripartite Interconnectedness of Credit Risk Exposures in a Cross-Shareholding Network

This study assesses the interconnectedness of credit risk exposures in a tripartite network of cross-shareholdings among banks, insurers, and firms in Japan's stock market during the fiscal years 2008-2015. We use consistent measures: credit risk exposure by PD (probability of default)/LGD (loss given default) approach in Basel III and RORA (return on risk-weighted assets). We conduct a credit risk analysis of the risk exposures in the cross-shareholdings. The result shows that by following the PD/LGD approach, the credit risk weights become approximately 1.5 to 5 times as large as by the transitional risk weight method. The mean exposure-weighted risk for the firm's shareholdings is 1.67 times as large as the bank's and the insurer's. We analyze the network structure of the cross-shareholdings using network centrality measures. Our analysis can provide each entity with important implications on credit risk management in their cross-shareholdings.

Exploring the Returns and Volatility Spillover Effect in Taiwan and Japan Stock Markets

This study examined the returns on the Taiwan Capitalization Weighted Stock Index (TAIEX) and NIKKEI Stock Average Index (NIKKEI) and explored the volatility spillover effect between the Taiwanese and Japanese stock market. The results revealed cointegration between the two indices, suggesting a long-term, stable relationship between the two stock markets. An examination of inner-market effects showed that the returns on stock indices in both markets are greatly influenced by the returns of previous time periods. Additionally, a cross-market effect investigation showed that past returns on NIKKEI were found to affect the current returns on TAIEX significantly, while the past returns on TAIEX had no impact on the current returns on NIKKEI. A volatility analysis revealed the existence of an inner-market leverage effect, a negative cross-market volatility spillover effect, and a mutual price leading effect. According to the relative asymmetry analysis results, the two stock markets are more sensitive to falling than rising trends in the counterpart market. These results suggest that the two markets are more likely to crash due to a retreat in the counterpart market. The impact of previous volatility shocks on the current volatility of TAIEX and NIKKEI are 46.44 and 6.98 days, respectively.

The Certification Role Of Pre-IPO Banking Relationships: Evidence From IPO Underpricing in Japan

We find empirical evidence that pre-initial public offering (IPO) relationships with commercial banks through lending and investment via their venture capital subsidiaries significantly reduce IPO underpricing in Japan. This findings suggest that a pre-IPO banking relationship certifies the low risk of an IPO firm. Given the fact that institutional investors are a minority in the allocation of IPO stocks in Japan, this effect is expected to come mainly from reducing either the investors' winner's curse or the signaling incentive of IPO firms, rather than from the reduction in information rent for institutional investors participating in the book-building process.

Information Asymmetry and Quarterly Disclosure Decisions by Firms: Evidence From the Tokyo Stock Exchange

AbstractThis study investigates whether the new quarterly disclosure reporting requirement issued by the Tokyo Stock Exchange was related to the reduction of the degree of private information‐based trade and the liquidity of listed stocks in Japan, or as a reverse causality, helped dichotomize good firms and bad firms as a separating signaling equilibrium. We use the probability of asymmetric information‐based trade (Adjusted PIN) as a measure of information asymmetry and the probability of symmetric order‐flow shock (PSOS) as a measure of market illiquidity. We use a sample of public firms from 2002 to 2007 that chose to either disclose or not disclose quarterly financial reports. We find that the disclosing firms had lower information asymmetry (Adjusted PIN), lower symmetric order‐flow shocks (PSOS), and lower private information‐based trade (PIN). When we conduct further difference‐in‐differences tests, we find that the firms with lower information asymmetry and higher liquidity had a higher tendency to disclose their financial statements and vice versa. Thus, the new disclosure requirement did not necessarily improve the information asymmetry and liquidity of firms, but instead helped good and bad firms form a case for a separating signaling equilibrium.

Abstract P236: Alginic Acid May Not Play a Major Role in the Mechanism of Alleviating Hypertension by Dietary Saccharina Japonica in 2-kidney, 1-clip Renovascular Hypertensive Rats

Objective: Saccharina japonica (SJ), one of brown algae, is cultivated or grows wild in East Asia. The extract ‘dashi’ is used for soup stock in Japan. The intake of SJ was reported to decrease blood pressure (BP) in 2-kidney, 1-clip renovascular hypertensive (2K1C) rats in our previous study, as well as in spontaneously hypertensive rats (SHR) in other studies. Some investigators suggested that a major mechanism of reducing BP by dietary SJ in SHR includes alginic acid (AA). However, in our preliminary study it was not confirmed in 2K1C model, because we observed that dashi containing AA as much as 5% of what the original SJ contained alleviated the hypertension, too. To detect how AA in SJ contributes to the mechanism, we observed BP in 2K1C rats fed a diet containing SJ or extracts from SJ. Methods: Male Sprague-Dawley rats (6 wks) were treated with sham operation (SHAM) or clipping the left renal artery (2K1C). After surgery, the rats started receiving a control diet (C) or a diet containing 5% (w/w) SJ (S), dashi extracted from the same amount of SJ in a correct method (D), extract from SJ equal in amount by boiling for a long time, in which AA was much eluted (B) or the SJ leftover after dashi was extracted (L) for 6 weeks. The systolic BP (SBP) was measured by a tail-cuff method every week. At the end, mean arterial BP (MAP) was measured in each rat under anesthesia. After euthanasia, the aortas were collected for extracting mRNA and protein. Endothelial nitric oxide synthase (eNOS) mRNA expression (eNOS-M) was evaluated in aortas by reverse transcriptase-polymerase chain reaction. eNOS and phosphorylated eNOS protein expression (eNOS-Ps), was determined in aortas by western blot analysis. Results: Six weeks after the surgery, SBP was significantly higher in 2K1C-C than in SHAM-C (182 ± 6 vs 126 ± 5 mmHg, P < 0.001). In 2K1C-S, -D, -B and -L (145 ± 4, 148 ± 4, 133 ± 3 and 146 ± 4 mmHg), SBP was significantly lower than that in 2K1C-C (P < 0.001, each). At the end of the protocol, MAP showed similar results to SBP. No significant differences were found in eNOS-M between each groups. eNOS-Ps were enhanced in 2K1C compared to SHAM (P < 0.05), but showed no significant differences by diet. Conclusion: The role of AA and eNOS may be limited in the mechanism of alleviating hypertension by dietary SJ in 2K1C.

Role of Satoyama Forest towards Sustainability: Contributing to Carbon Stock in Japan

This study investigated the potentials of Satoyama forests to contribute in increasingcarbon stock by inclusion of controlled biomass harvesting in the forms of thinning and pruning under a planned forest management intervention. A Satoyama forest named Oaota in Kashiwa, Chiba, Japan was selected for the study. We calculated present carbon stock of the forest by using sample data from four quadratic plots (two in each site) from which we measured the diameter and height of trees including the diameter and length of branches. Five conical shaped leaf traps were used to measure the amount of leaf biomass production in a year. Soil organic carbon was analyzed by NC analyzer for 0-30 cm depth of soil. The study revealed that the Oaota forest contributed to carbon capture in the forms of 158.7 tC/ha (80.95 tC/ha for soil, 76.19 tC/ha for wood and 1.63 tC/ha/y for leaves). Soil carbon accumulation was not considered in this study. The results indicated that by harvesting planned amount of biomass to consume as a zero-emission renewable fuel alternative to replace high carbon emission fuels may help reduction in carbon releases and enhances the carbon capture performace as well as revitalization of Satoyama forests.

ECONOMIC IMPACTS OF RECEIVING INTERNATIONAL DESIGN AWARDS IN JAPAN

This paper intends to analyze the effect of design management on business performance quantitatively, focusing on firms receiving international design awards, which are supposed to represent their competitive design. First, we conduct a traditional performance study concerning stock and financial indices in Japan to offer the geographical complement to predecessors focusing on other areas. However, the findings from these methods are not always reliable because it entails methodological defects in itself. Thus, secondly, an event study is implemented in order to complement the results of the performance study. It can be said not only to hold a high level of reproducibility and objectivity, but also to help us exclude practically all the effects of factors other than design. We also conduct a performance study as for the same samples and investigate the results. Following the method of event study, we can conclude that effective design management has a positive impact on enterprise value.

A hybrid approach to forecast stock market index

The forecasting of stock market problem from the available data is quite often of uncertain nature, hence the stock market prediction is a very challenging and difficult task. In this paper, we have investigated the predictability of stock market of Bombay Stock Exchange BSE30, Hang Sang China Stock Index HS, Japan Stock Index NIKKEI and Taiwan Weighted Index TWI with adaptive network-based fuzzy inference system ANFIS combined with subtractive clustering technique. In this process, we compared stock markets with variable numbers of data clusters. Optimised subtractive clustering is used to cluster the data and create fuzzy membership functions. Finally, a hybrid learning algorithm has been used to combine least square method and back propagation gradient-decent method for training the fuzzy inference system. This paper represents a state of the art for ANFIS application to forecast stock market index.

Using decomposition analysis to forecast metal usage in the building stock

As large amounts of materials are used and have accumulated in buildings and civil engineering projects, it is necessary to understand material flow in terms of construction sectors for resource management. The consumption, discard and in-use stock of four metals (steel, aluminium, copper and zinc) in Japan's building stock are forecast through to 2050. To clarify the factors that affect metal stocks and flows in construction, the metal consumption was decomposed into annual new floor area constructed and metal intensity (i.e. the amount of metal used per unit floor area). The decomposition was meaningful for understanding characteristic patterns of factors of different metals and for envisaging future scenarios based on past trends. It was estimated that the annual new floor area constructed will remain at current levels, whereas metal intensity will have a significant impact on stocks and flows. The methodology developed in this study can be used to evaluate the impact of technology changes that would take place in building and civil engineering projects.

Occurrence of anisakid nematode larvae in chub mackerel (Scomber japonicus) caught off Korea

Chub mackerel (Scomber japonicus) is a pelagic fish species widely distributing in the Indo-Pacific and a commercially important fish species in Korea. It is known to harbor anisakid nematodes larvae, and ingesting the raw or undercooked fish can accidentally cause human infection. In this study, we isolated the nematode larvae in 417 chub mackerel caught from 7 sampling locations around the Korean Peninsula in 2011 and 2012, and identified them by PCR-RFLP of the ITS (internal transcribed spacer) of ribosomal DNA and the direct sequencing of the mitochondrial DNA cox2 gene. The prevalence of infection was 55.4% (231/417) and the mean intensity was 7.0 (1628/231). Most of the nematodes (1523/1628; 93.6%) were found in the body cavity, while 5.5% (89/1628) were found in the gastrointestinal tract. Four different species were identified by PCR-RFLP and direct sequencing. Most of the nematodes (1535/1628; 94.3%) were identified as Anisakis pegreffii, and 2.8% (46/1628) were identified as Hysterothylacium sp. A hybrid genotype (Anisakis simplex sensu stricto×A. pegreffii) and A. simplex sensu stricto were 2.5% (41/1628) and 0.4% (6/1628) of the identified nematodes, respectively. The anisakid nematode assemblage of chub mackerel in Korea was similar to that of chub mackerel from the Tsushima Current stock in Japan, in that A. pegreffii was the dominant species. Since most of the anisakid nematodes were found in the body cavity and most of them were identified as A. pegreffii or Hysterothylacium sp. by PCR-RFLP and direct sequencing, chub mackerel may not greatly contribute to human anisakidosis in Korea. Alternately, A. pegreffii may be responsible for human anisakidosis in Korea, in addition to A. simplex sensu stricto. Further studies, such as the molecular diagnosis of human anisakidosis, are necessary for assessing the epidemiological role of chub mackerel in Korea.

Regional Illiquidity Spillover

This study discusses the effect that there is an abundance of liquidity risk or illiquidity on a regional stock markets by taking samples at stocks that have a large capitalization in each country. Regional stock markets that are used in this study are the ASEAN Stock Market: Philippine, Indonesia, Malaysia, Singapore and Thailand as well as Hong Kong and Japan Stock Market as one of the world's stock market which has the largest stock capitalization. This study uses 3 liquidity measures which are Amihud illiquidity measure, Relative Bid-Ask Spread and Corwin Schultz High-Low Spread in which the results of all the measurement will be estimated using the multivariate GARCH, BEKK representative to see the effects of liquidity risk spillover. The results of the study found that for all liquidity measures, it can be seen a illiquidity spillover effects that observed between countries and regional markets which proves that liquidity is also one of the factors that have an effect on the abundance of regional stock market beside stock market return.

The Certification Role of Pre-IPO Banking Relationships: IPO Underpricing and Post-IPO Performance in Japan

We find empirical evidence that pre-IPO relationships with commercial banks through lending and investment via their venture capital subsidiaries significantly reduces IPO underpricing, whereas the affiliation between a lead underwriter and venture backing the IPO company does not. We also obtain evidence for lower post-IPO risk and return for firms with a pre-IPO banking relationship. These findings suggest that a pre-IPO banking relationship certifies the low risk of an IPO firm, whereas investors’ concerns about conflicts of interest are not significant. Given the fact that institutional investors are a minority in the allocation of IPO stocks in Japan, the former effect is expected to come mainly from reducing either the investors’ winner’s curse or the signaling incentive of IPO firms, rather than from the reduction in the information rent for institutional investors participating in the book-building process.

What drives the Russian stock market: world market and political shocks

In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001-2010. We find that oil prices are not significant after 2006, and the Japan stock index is significant over the whole period, since it is the nearest market index in terms of closing time to the Russian stock index. We find that political news like the Yukos arrests or news on the Georgian war have a short–term impact, since there are many other shocks. These factors confirm the structural instability of the Russian financial market.

Temperature‐mediated survival, development and hatching variation of Pacific cod Gadus macrocephalus eggs

Laboratory-validated data on the survival, development and hatching responses of fertilized Pacific cod Gadus macrocephalus eggs from the northern Japan stock were determined through an incubation experiment. The optimum temperature for survival until hatching ranged from 4 to 8°C. No significant difference in development rates was found between the populations from Mutsu Bay, Japan, and western Canadian coastal waters even though the samples may belong to different G. macrocephalus stocks. Gadus macrocephalus larvae hatched asynchronously from egg batches despite incubation under the same environment during their development. Both incubation temperature and temperature-mediated hatch rank affect size and yolk reserve. These data suggest that variations in water temperatures within an ecological range markedly influence the development rates, survival and hatching of the eggs, as well as the stage at hatch larvae of G. macrocephalus. Asynchronous hatching and the production of offspring with variable sizes and yolk reserves are considered evolutionary bet-hedging strategies that enable the species to maximize their likelihood of survival in an environment with variable temperatures.

Granger-causality in quantiles between financial markets: Using copula approach

This paper considers the Granger-causality in conditional quantile and examines the potential of improving conditional quantile forecasting by accounting for such a causal relationship between financial markets. We consider Granger-causality in distributions by testing whether the copula function of a pair of two financial markets is the independent copula. Among returns on stock markets in the US, Japan and U.K., we find significant Granger-causality in distribution. For a pair of the financial markets where the dependent (conditional) copula is found, we invert the conditional copula to obtain the conditional quantiles. Dependence between returns of two financial markets is modeled using a parametric copula. Different copula functions are compared to test for Granger-causality in distribution and in quantiles. We find significant Granger-causality in the different quantiles of the conditional distributions between foreign stock markets and the US stock market. Granger-causality from foreign stock markets to the US stock market is more significant from UK than from Japan, while causality from the US stock market to UK and Japan stock markets is almost equally significant.

An Empirical Study on the Effects between Japan Stock Market in Japan and Dubai Oil Index

An Empirical Study on the Effects between Japan Stock Market in Japan and Dubai Oil Index

The complete mitochondrial genome of the Japanese ornamental koi carp (Cyprinus carpio) and its implication for the history of koi

Complete mitochondrial genome (mitogenome) sequences were determined for two individuals of Japanese ornamental koi carp. Interestingly, the obtained mitogenomes (16,581 bp) were both completely identical to the recently reported mitogenome of Oujiang color carp from China. Control region (CR) sequences in DNA database demonstrated that more than half (65%) of the koi carp individuals so far reported had partial or complete CR sequences identical to those from Oujiang color carp. These results might suggest that the Japanese koi carp has been originated from Chinese Oujiang color carp, contrary to the belief in Japan that the koi carps have been developed directly from carp stocks in Japan. In any case, the present results emphasize the importance of analyzing Oujiang color carp when studying the origin of koi carp.

Fundamental Research on a Rational Steelmaking Slag Recycling System by Phosphorus Separation and Collection

Recently, reduction of the steelmaking slag stock in Japan has been required, but utilization of steelmaking slag is restricted due to its chemical properties. On the other hand, the price of phosphorus ore is increasing rapidly due to the very tight supply/demand balance worldwide. In this work, (FetO) and (P2O5) reduction in steelmaking slag and recovery as a phosphorus source were investigated in feasibility studies and laboratory-scale experiments in order to develop a rational recycling process for steelmaking slag. The results are summarized as follows: (a) Steelmaking slag was reduced by carbon under high temperature conditions (1373–1873 K), and high-P hot metal was recovered. The phosphorus content of the reduced slag was <0.3 mass%. (b) Higher temperatures were required for slag reduction with carbon, corresponding to increasing slag basicity. (c) The oxygen partial pressure calculated from the FeO content ranged from 10−13 to 10−17 atm. More than 50 mass% of phosphorus in the slag can be removed under the condition that FeO activity is less than 0.01. (d) From the mass balance of phosphorus, 0–30 mass% of undefined phosphorus was observed, which was estimated by thermodynamic calculations and SEM-EPMA analysis to be caused by gaseous dephosphorization. (e) The gaseous dephosphorization ratio becomes more than 10% at the condition of log LP ≤ 0. (f) Phosphorus was enriched in slag to higher than 30 mass% P2O5 by dephosphorization of high-P (1.05 mass%) hot metal.

Discussion for soil carbon stock in Japan from the view point of the carbon quantity and quality

Discussion for soil carbon stock in Japan from the view point of the carbon quantity and quality