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The Interdependence and Cause of Japanese and US Stock Prices: An Event Study
Author(s) -
Tsutsui Yoshiro
Publication year - 2002
Publication title -
asian economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.345
H-Index - 28
eISSN - 1467-8381
pISSN - 1351-3958
DOI - 10.1111/1467-8381.00010
Subject(s) - economics , stock (firearms) , index (typography) , stock price , causality (physics) , stock market index , financial economics , event study , econometrics , stock market , geography , paleontology , context (archaeology) , physics , archaeology , quantum mechanics , series (stratigraphy) , world wide web , computer science , biology
This paper analyses the interdependence between the US and Japanese stock price indexes, focusing on whether it exists only when a large change in the index occurs and what its possible causes are. To this end, I employ a kind of ‘event study’, which seeks to investigate whether the stock price index of one country significantly reacts only to a large change in the index of the other country. The results suggest that: (i) a strong two‐way causality between the indexes is recognized clearly when one index shows a large change, while the interdependence is much less clear for small changes; and (ii) the news of a large fall or rise of the index itself plays an important role in the interdependence.