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An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities

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  • Chin-Tsai Lin

    (Graduate School of Management, Ming Chuan University)

  • Yi-Hsien Wang

    (Graduate School of Management, Ming Chuan University)

Abstract

This paper examines whether there exists the effect of party alternative on Nikkei 225 stock behavior by the asymmetric GARCH model. The empirical work finds that the transition of ruling party effect is not a crucial variable to Nikkei 225 returns and volatility. Japanese feel apathy and alienation about political environment result in the succession of prime ministers does not influence the Japanese stock market behavior. Therefore, resigned previous prime ministers have become scapegoats for the poor performance of financial and economic policies.

Suggested Citation

  • Chin-Tsai Lin & Yi-Hsien Wang, 2005. "An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 169-183, May.
    • Handle: RePEc:cuf:journl:y:2005:v:6:i:1:p:169-183
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    2. Mirzosaid Sultonov & Shahzadah Nayyar Jehan, 2018. "Dynamic Linkages between Japan’s Foreign Exchange and Stock Markets: Response to the Brexit Referendum and the 2016 U.S. Presidential Election," JRFM, MDPI, vol. 11(3), pages 1-8, June.
    3. Mirzosaid Sultonov, 2020. "The Impacts of International Political and Economic Events on Japanese Financial Markets," IJFS, MDPI, vol. 8(3), pages 1-10, July.

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    More about this item

    Keywords

    Party alternative; Volatility asymmetry; Scapegoating; EGARCH;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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