TY - JOUR
T1 - Relative Importance of Economic Factors in the U.S. and Japanese Stock Markets
AU - Kaneko, Takashi
AU - Lee, Bong Soo
PY - 1995/9/1
Y1 - 1995/9/1
N2 - 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.
AB - 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.
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U2 - 10.1006/jjie.1995.1015
DO - 10.1006/jjie.1995.1015
M3 - Editorial
AN - SCOPUS:0000419191
VL - 9
SP - 290
EP - 307
JO - Journal of the Japanese and International Economies
JF - Journal of the Japanese and International Economies
SN - 0889-1583
IS - 3
ER -