International Transmission of the 2008 Crisis: Evidence from the Japanese stock market
AbstractWe 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 InfoIf 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.
Bibliographic InfoPaper provided by Research Institute of Economy, Trade and Industry (RIETI) in its series Discussion papers with number 11050.
Length: 30 pages
Date of creation: May 2011
Date of revision:
Contact details of provider:
Postal: 11th floor, Annex, Ministry of Economy, Trade and Industry (METI) 1-3-1, Kasumigaseki Chiyoda-ku, Tokyo, 100-8901
Web page: http://www.rieti.go.jp/
More information through EDIRC
This paper has been announced in the following NEP Reports:
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.:
- 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.
- 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.
- 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).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (NUKATANI Sorahiko).
If references are entirely missing, you can add them using this form.