The Great East Japan Earthquake and Investor Behavior in Japan's Equity Markets
The Japanese stock prices, which had been on the uptrend before the occurence of the Great East Japan Earthquake, dramatically plummeted after the disaster. However, it showed some resilience within a few weeks. In recent years, a large share of transactions in Japan's equity markets has been executed by foreign investors, who conducted more active transactions than usual after the disaster. It was only such foreign investors that purchased Japanese listed equities around the time of the occurence of the disaster. The aggregate trading data of listed equities by main investor groups in Japan shows that the Japanese equities were being propped up by the foreign investors from the beginning of the year 2011. Several preceding literatures on investor groups in Japan show that securities firms often took identical positions with the foreign investors, which means the net purchase by the domestic securities firms also often increased when there was an increase in the net purchase by the foreign investors. However, our research shows that the domestic securities firms and other financial institutions kept on selling equities around the time of the disaster, although the foreign investors were net purchasing. According to our VAR (Vector Autoregression) analysis, a certain pattern of transactions was observed among the domestic investors such as financial institutions and security firms. We also conducted some analyses on the impact of the nuclear power plants' accidents including the stock returns of TEPCO, Tokyo Electric Power Co., Inc., in our VAR analysis. However, there was no special causal relationship observed between the stock returns of TEPCO and the transactions by the foreign investors, who must have been particularly sensitive to the changing situations of the accidents during the period subject to our analysis.
Volume (Year): 9 (2013)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://www.mof.go.jp/pri/|
More information through EDIRC
References listed on IDEAS
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.:
- Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 1998.
"Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997,"
NBER Working Papers
6661, National Bureau of Economic Research, Inc.
- Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 1999. "Do foreign investors destabilize stock markets? The Korean experience in 1997," Journal of Financial Economics, Elsevier, vol. 54(2), pages 227-264, October.
- Kee-Hong Bae & Takeshi Yamada & Keiichi Ito, 2006. "How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan-super-," International Review of Finance, International Review of Finance Ltd., vol. 6(3-4), pages 129-155.
- Karolyi, G. Andrew, 2002. "Did the Asian financial crisis scare foreign investors out of Japan?," Pacific-Basin Finance Journal, Elsevier, vol. 10(4), pages 411-442, September.
- Hamao, Yasushi & Mei, Jianping, 2001.
"Living with the "enemy": an analysis of foreign investment in the Japanese equity market,"
Journal of International Money and Finance,
Elsevier, vol. 20(5), pages 715-735, October.
- Hamao, Y. & Mei, J., 1995. "Living with the "Enemy": An Analysis of Foreign Investment in the Japanese Equity Market," Papers 95-15, Columbia - Graduate School of Business.
When requesting a correction, please mention this item's handle: RePEc:mof:journl:ppr020d. 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: (Policy Research Institute)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.