Relative Importance of Economic Factors in the U.S. and Japanese Stock Markets

Takashi Kaneko, Bong Soo Lee

Research output: Contribution to journalArticle

68 Citations (Scopus)

Abstract

This paper investigates various economic state variables as systematic influences on U.S. and Japanese stock market returns, and compares their influence on stock returns. For this purpose, we employed a VAR analysis. We found that economic news about risk premiums, term premiums, and the growth rate in industrial production is most significant in U.S. stock market returns. However, unlike in Hamao′s study, we found that international factors, such as changes in oil prices, are most significant in Japanese stock market returns. The difference between our findings and those of Hamao is primarily due to the difference in sample period and empirical methodology. We provide some evidence of changes in the economic environment for the Japanese stock market around 1985. J. Japan. Int. Econ., September 1995 9(3), pp. 290-307. Faculty of Business and Commerce, Keio University, 15-45, Mita 2-chome, Minato-ku, Tokyo 108, Japan. Department of Finance, Carlson School of Management, University of Minnesota, Minneapolis, Minnesota 55455.

Original languageEnglish
Pages (from-to)290-307
Number of pages18
JournalJournal of the Japanese and International Economies
Volume9
Issue number3
DOIs
Publication statusPublished - 1995 Sep

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stock market
economic factors
premium
Japan
economics
industrial production
oil price
commerce
finance
news
Stock market returns
Economic factors
Japanese stock market
Relative importance
methodology
management
school
evidence
Economics

ASJC Scopus subject areas

  • Political Science and International Relations
  • Finance
  • Economics and Econometrics

Cite this

Relative Importance of Economic Factors in the U.S. and Japanese Stock Markets. / Kaneko, Takashi; Lee, Bong Soo.

In: Journal of the Japanese and International Economies, Vol. 9, No. 3, 09.1995, p. 290-307.

Research output: Contribution to journalArticle

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