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International transmissions in US-Japanese stock markets

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  • Youta Ishii

Abstract

By using the time series of US and Japanese equity indexes, this article finds that the contemporaneous transmission from the US to Japanese equities markets is a significant 0.1387, while from Japan to the US it is 0.0165 and is not significant. This means that a 1% increase in the US market is estimated to have a positive 13 basis point increase on the Japanese market. The estimated results obtained in this article imply that Japanese investors react to US information significantly but US investors do not react to Japanese information significantly. To obtain these results, we identified a structural vector autoregression using identification through heteroscedasticity introduced by Rigobon (2003a). This article contributes to the literature by estimating and testing the previously inestimable contemporaneous US to Japanese market transmissions.

Suggested Citation

  • Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
  • Handle: RePEc:taf:apfiec:v:18:y:2008:i:15:p:1193-1200
    DOI: 10.1080/09603100701578981
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    References listed on IDEAS

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    1. Roberto Rigobon & Brian Sack, 2003. "Spillovers Across U.S. Financial Markets," NBER Working Papers 9640, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Tamim Bayoumi & Trung T Bui, 2011. "Unforeseen Events Wait Lurking; Estimating Policy Spillovers From U.S. to Foreign Asset Prices," IMF Working Papers 11/183, International Monetary Fund.
    2. Tamim Bayoumi & Trung T Bui, 2012. "Global Bonding; Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?," IMF Working Papers 12/298, International Monetary Fund.

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