THE EFFECT OF U.S. TRADE DEFICIT ANNOUNCEMENTS ON THE STOCK PRICES OF U.S. AND JAPANESE AUTOMAKERS

Qian Sun and Wilson H.S. Tong

Journal of Financial Research, 2000, vol. 23, issue 1, 15-43

Abstract: The existing literature on the trade news effect on asset prices generally looks at exchange rates and stock market indexes. We focus on individual stocks: the U.S. and Japanese “Big Three” automobile stocks. We examine Japanese automobile American Depositary Receipts (ADRs), not the stocks per se, to avoid the time lag problem. First, we find deficit news shocks, especially the positive shocks, have a negative effect on the Japanese automobile ADRs. Second, we find only weak evidence that the news effect is different under different economic conditions. Third, trade news is found to be a competitive shock to the automakers in the sense of Karolyi and Stulz (1996). Last, statistically generated U.S.–Japan bilateral trade deficit news and bilateral auto trade deficit news have no effect on the automobile stock in general.

Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://doi.org/10.1111/j.1475-6803.2000.tb00809.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfnres:v:23:y:2000:i:1:p:15-43

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-2592

Access Statistics for this article

Journal of Financial Research is currently edited by Jayant Kale and Gerald Gay

More articles in Journal of Financial Research from Southern Finance Association Contact information at EDIRC., Southwestern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().