2021 Fiscal Year Final Research Report
A research on the response of Japan's financial markets to information/news on important changes in the international economy and policy
| Project/Area Number |
19K01756
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Review Section |
Basic Section 07060:Money and finance-related
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| Research Institution | Tohoku University of Community Service and Science |
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Principal Investigator |
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| Project Period (FY) |
2019-04-01 – 2022-03-31
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| Keywords | Financial markets / International news / Japan / Yen / Nikkei / TOPIX / Volatility / Causality |
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| Outline of Final Research Achievements |
I conducted my research on the impact of news about important political and economic events on Japanese financial markets. I examined how news about the results of the Brexit referendum (BR) and the United States presidential election (USE) in 2016 affected foreign exchange rates and stock market indexes. I employed the exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model, the cross-correlation function, and the daily logarithmic returns of JPY, Nikkei, TOPIX and the TOPIX components in estimations. This research revealed evidence of statistically significant changes in exchange rates and stock market indexes within two weeks after the BR and USE, and demonstrated how the impact of news about the results of BR and USE might spread among the variables indirectly within a week.
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| Free Research Field |
International Economics
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| Academic Significance and Societal Importance of the Research Achievements |
The research is distinct from previous studies in two main ways. First, it incorporates the causality relationship for sectoral stock indices, making the results more informative. Second, it considers the indirect impact of internal and external shocks through volatility transmission.
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