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Heterogeneous impacts of Abenomics on the stock market: A Fund flow analysis

Yoshihiro Kondo, Yoshiyuki Nakazono, Rui Ota and Qing-Yuan Sui

Journal of the Japanese and International Economies, 2020, vol. 55, issue C

Abstract: This study examines the heterogeneous impacts of Abenomics on the Japanese stock market using fund flow data. While Fukuda (2015) identifies changes in foreign investors’ expectations from price changes in financial markets, we focus on changes in the quantity demanded of Japanese stocks. We obtain three findings. First, only foreign investors aggressively and immediately purchased Japanese stocks at the onset of Abenomics. Second, since the two years following the launch of Abenomics, foreign investment inflows into Japanese stocks have changed due to external factors originating in the United States. Third, a VAR analysis shows the heterogeneous impacts of Abenomics among investors inside and outside Japan. However, the changes in foreign investors’ expectations are short-lived in the sense that signs of permanent shifts as a result of Abenomics cannot be identified after 2014.

Keywords: Abenomics; Expectations; Fund flows; Heterogeneous response; Stock market (search for similar items in EconPapers)
JEL-codes: E52 E62 G12 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:55:y:2020:i:c:s0889158319300449

DOI: 10.1016/j.jjie.2019.101053

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