Macro shocks and the Japanese stock market

• Autores: Ying Huang, Feng Guo
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 18, Nº. 16-18, 2008, págs. 1391-1400
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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.