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Do Volatility Indexes and Historical Volatility Influence Stock Prices? The Japanese Case

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  • Yutaka Kurihara
  • Shinichiro Maeda

Abstract

This paper examines the relationship between Japanese stock prices and two volatility indexes. In Japan, a drastic monetary policy, Abenomics, designed to combat serious and continued deflation has been conducted since 2013. The two time periods, before and after the policy, are analyzed and compared in this study. Empirical results show that there is no difference between the two periods for volatility indexes on Japanese stock prices, however, the impact of historical volatility (HV) changes on stock prices differs largely between before and after Abenomics. As HV decreases, markets move from bearish to bullish and predict stock prices to rise after the introduction of drastic economic policies. Interest rates have a negative impact on stock prices, and currency depreciation promotes stock price rising after conducting Abenomics.JEL classification numbers: E44, E52, E58Keywords: Abenomics, Historical volatility, Index volatility, monetary policy, stock price

Suggested Citation

  • Yutaka Kurihara & Shinichiro Maeda, 2019. "Do Volatility Indexes and Historical Volatility Influence Stock Prices? The Japanese Case," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(6), pages 1-6.
    • Handle: RePEc:spt:apfiba:v:9:y:2019:i:6:f:9_6_6
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    References listed on IDEAS

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    More about this item

    Keywords

    abenomics; historical volatility; index volatility; monetary policy; stock price;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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