IDEAS home Printed from https://ideas.repec.org/a/mcb/jmoncb/v39y2007i4p901-923.html
   My bibliography  Save this article

Unique Symptoms of Japanese Stagnation: An Equity Market Perspective

Author

Listed:
  • YASUSHI HAMAO
  • JIANPING MEI
  • YEXIAO XU

Abstract

This paper documents several unique financial symptoms of Japanese economic stagnation in the 1990s. We find a surprising "fall" in firm-level volatility and turnover in Japanese stocks after the market crash in 1990. These results stand in sharp contrast to the U.S. case, where firm-level volatility generally "increases" after a market crash. Further analysis reveals a parallel sharp reduction in earnings heterogeneity among Japanese firms. Preliminary evidence suggests that the reduction in firm-level volatility may be related to Japanese business group protection. The large decrease in firm-level volatility may impede the equity market's information role, as it has made it more difficult over the past decade for both investors and managers to distinguish high quality from low-quality firms. Copyright 2007 The Ohio State University.

Suggested Citation

  • Yasushi Hamao & Jianping Mei & Yexiao Xu, 2007. "Unique Symptoms of Japanese Stagnation: An Equity Market Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(4), pages 901-923, June.
  • Handle: RePEc:mcb:jmoncb:v:39:y:2007:i:4:p:901-923
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1538-4616.2007.00050.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

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


    Cited by:

    1. Christian Dreger, 2017. "Long-term growth perspectives in Japan and the Euro area," Asia Europe Journal, Springer, vol. 15(4), pages 363-375, December.
    2. Oikawa, Koki, 2010. "Uncertainty-driven growth," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 897-912, May.
    3. Emmanuel De Veirman & Andrew Levin, 2009. "Measuring Changes in Firm-Level Volatility: An Application to Japan," Reserve Bank of New Zealand Discussion Paper Series DP2009/20, Reserve Bank of New Zealand.
    4. repec:bla:jecrev:v:68:y:2017:i:2:p:158-172 is not listed on IDEAS
    5. Ricardo J. Caballero & Takeo Hoshi & Anil K. Kashyap, 2008. "Zombie Lending and Depressed Restructuring in Japan," American Economic Review, American Economic Association, vol. 98(5), pages 1943-1977, December.
    6. Piotr Ciżkowicz & Andrzej Rzońca, 2014. "Interest Rates Close to Zero, Post-crisis Restructuring and Natural Interest Rate," Prague Economic Papers, University of Economics, Prague, vol. 2014(3), pages 315-329.
    7. De Santis, Roberto A. & Ehling, Paul, 2007. "Do international portfolio investors follow firms' foreign investment decisions?," Working Paper Series 815, European Central Bank.
    8. Emmanuel De Veirman & Andrew T. Levin, 2011. "Cyclical Changes in Firm Volatility," CAMA Working Papers 2011-29, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    9. Chakraborty, Suparna & Peek, Joe, 2016. "Lending to unhealthy firms in Japan during the lost decade: distinguishing between technical and financial health," Working Papers 16-22, Federal Reserve Bank of Boston.
    10. Rod Tyers & Ying Zhang, 2011. "Japan’s Economic Recovery: Insights from Multi-Region Dynamics," CAMA Working Papers 2011-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Piotr Cizkowicz & Andrzej Rzonca & Andrzej Toroj, 2015. "In search for appropriate lower bound.Zero lower bound vs. positive lower bound under discretion and commitment," NBP Working Papers 215, Narodowy Bank Polski, Economic Research Department.
    12. Yasushi Hamao & Kenji Kutsuna & Joe Peek, 2012. "Nice to be on the A-list," Working Papers 12-13, Federal Reserve Bank of Boston.
    13. De Veirman, Emmanuel & Levin, Andrew T., 2012. "When did firms become more different? Time-varying firm-specific volatility in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 26(4), pages 578-601.
    14. Oikawa, Koki, 2013. "Cyclical behavior of firm-level volatility: An explanation for the contrast between the United States and Japan," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 452-464.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:39:y:2007:i:4:p:901-923. 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: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879 .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.