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

Takashi Kaneko, Bong Soo Lee

研究成果: Editorial

74 引用 (Scopus)

抜粋

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.

元の言語English
ページ(範囲)290-307
ページ数18
ジャーナルJournal of The Japanese and International Economies
9
発行部数3
DOI
出版物ステータスPublished - 1995 9 1

ASJC Scopus subject areas

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

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