Open AccessDid the Stock Market Regime Change after the Inauguration of the New Cabinet in Japan?
Author(s) -
Chikashi Tsuji
Publication year - 2014
Publication title -
business and management horizons
Language(s) - English
Resource type - Journals
ISSN - 2326-0297
DOI - 10.5296/bmh.v2i1.5866
Subject(s) - cabinet (room) , stock exchange , stock market index , stock (firearms) , economics , stock market , index (typography) , stock price , markov chain , financial economics , monetary economics , business , finance , geography , mathematics , statistics , computer science , context (archaeology) , archaeology , world wide web , paleontology , series (stratigraphy) , biology
This paper explored whether the Japanese stock market regime changed after the inauguration of the new Abe cabinet in Japan. Our application of Markov switching models to the Japanese stock price index returns and examinations of the price spreads in terms of the Japanese stock price indices derive the following evidence. First, (1) after the Abe cabinet started, regime of the Japanese stock markets changed. Second, (2) the regimes as to the JASDAQ Index and Tokyo Stock Exchange (TSE) Mothers Index more strongly and earlier changed than that of TOPIX. Third, (3) in our full sample period from January 4, 2011 to March 20, 2014, average positive price spreads over TOPIX were observed as to the JASDAQ, TSE Mothers, TOPIX Small, and TSE Second Section Index.