2005
DOI: 10.1080/09603100500056668
|View full text |Cite
|
Sign up to set email alerts
|

Exchange rate and stock prices in Japan

Abstract: This paper explores whether export intensity and net foreign position of the Japanese firms are carefully watched by investors and are properly reflected in the stock prices. By estimating a multifactor model including the TOPIX, the call rate, the exchange rate, and other variables representing the characteristics of individual firms, the market efficiency of the Japanese stock market has been examined. Novelty of this paper is in that the channels of the effect of exchange rate on stock prices are explicitly… Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2
1
1

Citation Types

0
11
0

Year Published

2006
2006
2021
2021

Publication Types

Select...
8

Relationship

0
8

Authors

Journals

citations
Cited by 21 publications
(11 citation statements)
references
References 19 publications
0
11
0
Order By: Relevance
“…Whether it is favorable or unfavorable depends on the entire industrial structure within a country. Studies emphasizing on the impact of the exchange rate on stock price for Taiwan can be found in Wu (1997), Guo and Wu (1998) and Chiao, Hung, and Nwanna (2001); whereas Choi, Hiraki, and Takezawa (1998), He and Ng (1998), Doukas, Hall, and Lang (1999), Caporale, Pittis, and Spagnolo (2002), Elyasiani and Mansur (2005) and Homma, Tsutsui, and Benzion (2005) among others, studied the relationship between the exchange rate and stock price of Japan.…”
Section: Introductionmentioning
confidence: 99%
“…Whether it is favorable or unfavorable depends on the entire industrial structure within a country. Studies emphasizing on the impact of the exchange rate on stock price for Taiwan can be found in Wu (1997), Guo and Wu (1998) and Chiao, Hung, and Nwanna (2001); whereas Choi, Hiraki, and Takezawa (1998), He and Ng (1998), Doukas, Hall, and Lang (1999), Caporale, Pittis, and Spagnolo (2002), Elyasiani and Mansur (2005) and Homma, Tsutsui, and Benzion (2005) among others, studied the relationship between the exchange rate and stock price of Japan.…”
Section: Introductionmentioning
confidence: 99%
“…Investors react on the news which directly or indirectly impacts their expected returns. Homma, et al [42] confirmed this investor behavior in Japan. They found that exchange rate negatively affect the stock returns, because those companies whose transactions are related in foreign exchange affected by appreciation and depreciation of the currency, so the correction model to check the impact of inflation on stock market and found that there is long term relationship between inflation and stock market, but this relation appeared as negative.…”
Section: Stock Market and Exchange Ratementioning
confidence: 68%
“…Existing studies have found that the Japanese markets are viewed to be among the most efficient in the world-the US and UK markets are considerably above other markets in terms of their efficient, but Japanese markets tend to be grouped together with (and slightly above) the markets in australia, canada and continental europe (mainly France and Germany) (Griffin et al 2009). Further, even with institutional differences across markets, the evidence indicates that the Japanese markets perform well at incorporating all types of information (not just public information) leading to a reasonable level of efficiency in the market (Homma et al 2005).…”
Section: Cumulative Abnormal Returns (Car) As Dependent Variablementioning
confidence: 98%