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Effects of the Japanese Stock Market on Canadian Value Stocks

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  • Chikashi Tsuji

Abstract

This paper empirically examines the time-series relationships of value, growth, and standard stock indices in Canadian and Japanese equity markets. More specifically, we investigate the effects of the returns of the Nikkei 225 (the Nikkei), Tokyo stock price index (TOPIX), and Japanese value and growth stock indices on Canadian value, growth, and standard equity index returns. The new evidence from our empirical examinations is as follows. 1) First, our analyses by the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) models find that the returns of the Nikkei and TOPIX most strongly influence value stock index returns in Canada. 2) Second, our examinations by the EGARCH models clarify that the Japanese value and growth equity index return evolution also most strongly affects Canadian value stock returns.

Suggested Citation

  • Chikashi Tsuji, 2016. "Effects of the Japanese Stock Market on Canadian Value Stocks," Journal of Management and Strategy, Journal of Management and Strategy, Sciedu Press, vol. 7(2), pages 21-30, May.
  • Handle: RePEc:jfr:jms111:v:7:y:2016:i:2:p:21-30
    DOI: 10.5430/jms.v7n2p21
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    References listed on IDEAS

    as
    1. Eugene F. Fama & Kenneth R. French, 2006. "The Value Premium and the CAPM," Journal of Finance, American Finance Association, vol. 61(5), pages 2163-2185, October.
    2. Chung, Yi-Tsai & Hsu, Chuan-Hao & Ke, Mei-Chu & Liao, Tung Liang & Chiang, Yi-Chein, 2016. "The weakening value premium in the Australian and New Zealand stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 123-133.
    3. Vu, Nam T., 2015. "Stock market volatility and international business cycle dynamics: Evidence from OECD economies," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 1-15.
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