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Japanese Stock Markets and the US Stock Price Index Ratios

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  • Chikashi Tsuji

Abstract

This paper investigates which US stock price index is strongly influenced by the Japanese stock markets. Our empirical tests as to the time-varying correlations derived from a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model reveal the following evidence. First, (1) we clarify that all US stock returns of the Dow Jones, S&P 500, and NASDAQ Composite indices are statistically significantly positively influenced by the returns of TOPIX and the Nikkei 225. Moreover, we also find that (2) the changes of the NASDAQ-S&P 500 (NS) ratio are statistically significantly positively influenced by the returns of TOPIX and the Nikkei 225 while the changes of the Dow Jones-S&P 500 (DS) ratio and the Dow Jones-NASDAQ (DN) ratio are statistically significantly negatively influenced by the returns of TOPIX and the Nikkei 225. These relations between the returns of TOPIX and the Nikkei 225 and the US stock price index ratios are clearly shown in all three sample periods employed in this paper. Hence our results suggest that, in our analyzing periods, (3) the NASDAQ index is most strongly positively connected with the Japanese stock markets. JEL Classification Codes: G12, G15

Suggested Citation

  • Chikashi Tsuji, 2014. "Japanese Stock Markets and the US Stock Price Index Ratios," Applied Economics and Finance, Redfame publishing, vol. 1(2), pages 37-47, November.
    • Handle: RePEc:rfa:aefjnl:v:1:y:2014:i:2:p:37-47
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    Cited by:

    1. Chikashi Tsuji, 2018. "Structural Breaks and Volatility Persistence of Stock Returns: Evidence from the US and UK Equity Markets," Applied Economics and Finance, Redfame publishing, vol. 5(6), pages 76-83, November.

    More about this item

    Keywords

    Dow Jones; NASDAQ; S&P 500; Nikkei 225; TOPIX; DN ratio; DS ratio; NS ratio;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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