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Dynamics of Tokyo Electric Power Company and the Nikkei: 1985 to 2016 including the Fukushima disaster

Author

Listed:
  • Rey, Serge

    (University of Pau)

  • Nivoix, Sophie

    (Université de Poitiers)

Abstract

From an asset portfolio management perspective, analyses of the correlations between returns are of great importance. This article investigates the correlations between the rates of return of Tokyo Electric Power Company stock and the Japanese Nikkei index over the lengthy period of 1985 to 2016. Using Markov-switching models, we seek to determine the effects of the Fukushima earthquake disaster compared with those of other shocks on the Japanese financial market. Although the Fukushima catastrophe resulted in more volatile stock prices, it had not changed the correlation structure among asset returns. In addition, both low- and high- volatility regimes, the Nikkei causes Tokyo Electric Power Company, but Tokyo Electric Power Company does not cause the Nikkei.

Suggested Citation

  • Rey, Serge & Nivoix, Sophie, 2018. "Dynamics of Tokyo Electric Power Company and the Nikkei: 1985 to 2016 including the Fukushima disaster," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 33(1), pages 979-1010.
    • Handle: RePEc:ris:integr:0726
    as

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    Keywords

    Markov-switching; Stock Market; Japan; Risk; Volatility; Earthquake; Electric Utility Companies;
    All these keywords.

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G00 - Financial Economics - - General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises

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