Advanced Search
MyIDEAS: Login to save this paper or follow this series

International Transmission of the 2008 Crisis: Evidence from the Japanese stock market

Contents:

Author Info

  • HOSONO Kaoru
  • TAKIZAWA Miho
  • TSURU Kotaro

Abstract

We investigate the international transmission of the credit crisis triggered by the Lehman default in September 2008 using Japan's stock market data. Using cumulative returns (CR) during the crisis, starting from the day of Lehman's default and lasting until the day prior to the news of the TARP capital injection, we find that CR is negatively correlated with the export-to-sales ratio, the loan-to-asset ratio, and the share owned by foreign investors. Once controlling for market risk, however, cumulative abnormal returns (CAR) during the same period shows a different picture. CAR is not negatively correlated with export shares or the share owned by foreign investors, which implies that neither trade channels nor portfolio-rebalancing by foreigners are unique characteristics of the crisis, but can be observed in normal downturns. We find that CAR is negatively correlated with the loan-to-asset ratio, suggesting that market participants were worried about the credit crunch. We also find that CAR is negatively correlated with the shares of exports to North America and Asia after controlling for total exports, suggesting that the composition of export destination matters. Finally, we find that the concentration of export destination is also relevant.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.rieti.go.jp/jp/publications/dp/11e050.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Research Institute of Economy, Trade and Industry (RIETI) in its series Discussion papers with number 11050.

as in new window
Length: 30 pages
Date of creation: May 2011
Date of revision:
Handle: RePEc:eti:dpaper:11050

Contact details of provider:
Postal: 11th floor, Annex, Ministry of Economy, Trade and Industry (METI) 1-3-1, Kasumigaseki Chiyoda-ku, Tokyo, 100-8901
Phone: +81-3-3501-1363
Fax: +81-3-3501-8577
Email:
Web page: http://www.rieti.go.jp/
More information through EDIRC

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Amartya Lahiri & Carlos A. Vegh, 2003. "Delaying the Inevitable: Interest Rate Defense and Balance of Payments Crises," Journal of Political Economy, University of Chicago Press, vol. 111(2), pages 404-424, April.
  2. Van Rijckeghem, Caroline & Weder, Beatrice, 2001. "Sources of contagion: is it finance or trade?," Journal of International Economics, Elsevier, vol. 54(2), pages 293-308, August.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. HOSONO Kaoru & TAKIZAWA Miho & TSURU Kotaro, 2013. "International Transmission of the 2008-09 Financial Crisis: Evidence from Japan," Discussion papers 13010, Research Institute of Economy, Trade and Industry (RIETI).

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eti:dpaper:11050. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (NUKATANI Sorahiko).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.