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A multi-index risk model of the Japanese stock market

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  • Elton, Edwin J.
  • Gruber, Martin J.

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Suggested Citation

  • Elton, Edwin J. & Gruber, Martin J., 1988. "A multi-index risk model of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 1(1), pages 21-44, October.
  • Handle: RePEc:eee:japwor:v:1:y:1988:i:1:p:21-44
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    Cited by:

    1. Trust Kganyago & Victor Gumbo, 2015. "An Empirical Study of the Relationship between Money Market Interest Rates and Stock Market Performance: Evidence from Zimbabwe (2009-2013)," International Journal of Economics and Financial Issues, Econjournals, vol. 5(3), pages 638-646.
    2. Steven L. Heston & K. Geert Rouwenhorst & Roberto E. Wessels, 1999. "The Role of Beta and Size in the Cross-Section of European Stock Returns," European Financial Management, European Financial Management Association, vol. 5(1), pages 9-27.
    3. Jagannathan, Ravi & Kubota, Keiichi & Takehara, Hitoshi, 1998. "Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market," The Journal of Business, University of Chicago Press, vol. 71(3), pages 319-347, July.
    4. Aman, Hiroyuki & Nguyen, Pascal, 2008. "Do stock prices reflect the corporate governance quality of Japanese firms?," Journal of the Japanese and International Economies, Elsevier, vol. 22(4), pages 647-662, December.
    5. Johnson, Robert & Soenen, Luc, 2003. "Economic integration and stock market comovement in the Americas," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 85-100, February.
    6. Andreas Humpe & Peter Macmillan, 2007. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 200720, Centre for Dynamic Macroeconomic Analysis.
    7. Nguyen, Pascal, 2007. "Macroeconomic factors and Japan's industry risk," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 173-185, April.
    8. Ladrón de Guevara Cortés Rogelio & Torra Porras Salvador, 2014. "Estimation of the underlying structure of systematic risk with the use of principal component analysis and factor analysis," Contaduría y Administración, Accounting and Management, vol. 59(3), pages 197-234, julio-sep.
    9. Heston, Steven L. & Rouwenhorst, K. Geert & Wessels, Roberto E., 1995. "The structure of international stock returns and the integration of capital markets," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 173-197, September.
    10. Tarun K. Mukherjee & Atsuyuki Naka, 1995. "Dynamic Relations Between Macroeconomic Variables And The Japanese Stock Market: An Application Of A Vector Error Correction Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(2), pages 223-237, June.
    11. Tomohiro Ando, 2012. "Bayesian portfolio selection under a multifactor asset return model with predictive model selection," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 14(1/2), pages 77-101.
    12. Azeez, A.A. & Yonezawa, Yasuhiro, 2006. "Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market," Japan and the World Economy, Elsevier, vol. 18(4), pages 568-591, December.

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