An Analysis of Relationship between the US and the Japanese Stock Market Over Time

This study attempts to investigate and analyze whether there exists an integrating relationship between the stock markets of US and Japan. The nature and strength of the relationship and how it has changed over time is analyzed to study the linear paradigm that is often suggested. Theoretically, there is no reason to believe that the economic systems are intrinsically linear, however, the results show a surprisingly strong relationship over time.

Keywords

Return, Risk, Diversification, Japanese Stock Market, Contagion, Correlations

References

Arshanpalli, Band Kulkarni, S. “Interrelationship between Indian and US stock markets,” Jornal of Management Research, Vol. 1, No. 3, pp 141-148.
Barkoulas, ] and Travlos, N. (1998), “Chaos in an Emerging Capital Markets? The Case of the Athens Stock Exchanger,"Applied Financial Economics,Vol. 8,pp.231-243.
Chang T and $.B. Caudill (2006), “A Note on the long-run benefits from international equity diversification for a Taiwan Investor Diversifyingin the US EquityMarket’, International Review of Financial Analysis,Vol. 15, pp.57-67.
Chang, Tsangyao, Chien-wen Mo and Wen-Chi Liu (2009), “International Equity Diversification between Japan and Its Major Trading Partners’, Applied Economics Letters, Vol. 16, pp.1433-1437.
Chowhury, A.R. (1994), “Stock Market Interdependencies: Evidence from the Asian NIEs,” Journal of Macroeconomics, Vol. 16, 629-651.
Durand, Robert, Koh Sze Kee and lain Watson (2001), “Who Moved Asian-Pacific Stock Markets? A Further Consideration of the Impact of the US and
Japan”, Australian Journal of Management, Vol. 26, No. 2, December 2001, pp.125-145.
Eun Cands. Shim (1989), “International Transmission of Stock Market Movements”, Jowrnal of Financialand Quantitative Analysis, Vol. 24, pp.241-256.
Ghosh A, R Saidi and KJ Johnson (1999), “How Moves the Asia-Pacific Stock Markets ~US or Japan? Empirical Evidence based on the Theory of Cointegration” The Financial Revieiw,Nol. 34, pp. 159-69.
IshiiYouta (2008), “International Transmissions in US-Japanese Stock Markets”, Applied Financial Economics,Vol. 18, 1193-1200.
Kanas, A. (1999), “A note on the long-run benefits from the International Equity Diversification for the UK Investor Diversifying in the US Equity Market’, Applied Economics Letters,Vol. 6, 47-53.
Phylaktis, K (1997), “Capital Markets Integration in the Pacific-based Region: An Analysis of Real Interest Rate Linkage, “Pacific-Based Financial Journal, Vol.5, pp. 195-213.
Rafiquk, Bhuyan et al., “Information transmission and dynamics of stick price movements: An empirical analysis of BRICS and US stock markets”, International Review of Economic & Finance, Vol. 46, pp. 180-195.
“Taylor, M. P and 1. Tonks (1989), The Internationalization of Stock Markets and the Abolition of UK Exchange Control, Review of Economics and Statistics,Vol. 71, pp.332-336.

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Mukesh Chaudhry, Rajendar K. Garg , Suneel Maheshwari . (2021). An Analysis of Relationship between the US and the Japanese Stock Market Over Time. DIAS Technology Review, 17(2), 9-11.

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[1] Arshanpalli, Band Kulkarni, S. “Interrelationship between Indian and US stock markets,” Jornal of Management Research, Vol. 1, No. 3, pp 141-148.

[2] Barkoulas, ] and Travlos, N. (1998), “Chaos in an Emerging Capital Markets? The Case of the Athens Stock Exchanger,"Applied Financial Economics,Vol. 8,pp.231-243.

[3] Chang T and $.B. Caudill (2006), “A Note on the long-run benefits from international equity diversification for a Taiwan Investor Diversifyingin the US EquityMarket’, International Review of Financial Analysis,Vol. 15, pp.57-67.

[4] Chang, Tsangyao, Chien-wen Mo and Wen-Chi Liu (2009), “International Equity Diversification between Japan and Its Major Trading Partners’, Applied Economics Letters, Vol. 16, pp.1433-1437.

[5] Chowhury, A.R. (1994), “Stock Market Interdependencies: Evidence from the Asian NIEs,” Journal of Macroeconomics, Vol. 16, 629-651.

[6] Durand, Robert, Koh Sze Kee and lain Watson (2001), “Who Moved Asian-Pacific Stock Markets? A Further Consideration of the Impact of the US and

[7] Japan”, Australian Journal of Management, Vol. 26, No. 2, December 2001, pp.125-145.

[8] Eun Cands. Shim (1989), “International Transmission of Stock Market Movements”, Jowrnal of Financialand Quantitative Analysis, Vol. 24, pp.241-256.

[9] Ghosh A, R Saidi and KJ Johnson (1999), “How Moves the Asia-Pacific Stock Markets ~US or Japan? Empirical Evidence based on the Theory of Cointegration” The Financial Revieiw,Nol. 34, pp. 159-69.

[10] IshiiYouta (2008), “International Transmissions in US-Japanese Stock Markets”, Applied Financial Economics,Vol. 18, 1193-1200.

[11] Kanas, A. (1999), “A note on the long-run benefits from the International Equity Diversification for the UK Investor Diversifying in the US Equity Market’, Applied Economics Letters,Vol. 6, 47-53.

[12] Phylaktis, K (1997), “Capital Markets Integration in the Pacific-based Region: An Analysis of Real Interest Rate Linkage, “Pacific-Based Financial Journal, Vol.5, pp. 195-213.

[13] Rafiquk, Bhuyan et al., “Information transmission and dynamics of stick price movements: An empirical analysis of BRICS and US stock markets”, International Review of Economic & Finance, Vol. 46, pp. 180-195.

[14] “Taylor, M. P and 1. Tonks (1989), The Internationalization of Stock Markets and the Abolition of UK Exchange Control, Review of Economics and Statistics,Vol. 71, pp.332-336.