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

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  • Chikashi Tsuji

Abstract

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.

Suggested Citation

  • Chikashi Tsuji, 2016. "Time-varying International Effects of Japanese Stock Prices on US and Canadian Stock Markets," Applied Economics and Finance, Redfame publishing, vol. 3(3), pages 81-92, August.
    • Handle: RePEc:rfa:aefjnl:v:3:y:2016:i:3:p:81-92
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    References listed on IDEAS

    as
    1. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December.
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    4. Black, Angela J. & Fraser, Patricia & McMillan, David G., 2007. "Are international value premiums driven by the same set of fundamentals?," International Review of Economics & Finance, Elsevier, vol. 16(1), pages 113-129.
    5. Chikashi Tsuji, 2012. "Positive return premia in Japan," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 345-367, November.
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    More about this item

    Keywords

    Growth effect; international stock market linkage; multivariate GARCH model; value effect;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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