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Time-varying International Effects of Japanese Stock Prices on US and Canadian Stock Markets

Applied Economics and Finance

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Field Value
 
Title Time-varying International Effects of Japanese Stock Prices on US and Canadian Stock Markets
 
Creator Tsuji, Chikashi
 
Description This study investigates the international linkages of growth, value, and standard stock indices of the US, Canada, and Japan. In particular, we empirically test the international effects of Japanese standard, value, and growth stock indices on US and Canadian growth, value, and standard equity indices. Our empirical analyses by using multivariate-generalized autoregressive conditional heteroscedasticity (MGARCH) models suggest the following evidence. First, this paper clarifies that both the Nikkei 225 (the Nikkei) and the Tokyo stock price index (TOPIX) show the highest time-varying correlations with the US standard equity index, while both the Nikkei and TOPIX exhibit the highest time-varying correlations with the Canadian value index. Second, we further reveal that the Japanese value and growth stock indices also have the highest time-varying correlations with the US standard equity index, while both two Japanese indices show the highest time-varying correlations with the value index in Canada.
 
Publisher Redfame Publishing
 
Contributor —
 
Date 2016-04-07
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://redfame.com/journal/index.php/aef/article/view/1529
10.11114/aef.v3i3.1529
 
Source Applied Economics and Finance; Vol 3, No 3 (2016); 81-92
2332-7308
2332-7294
 
Language eng
 
Relation http://redfame.com/journal/index.php/aef/article/view/1529/1548