Population composition and financial markets: evidence from Japan

Hiroyuki Kawakatsu and Mikiko Oliver

Studies in Economics and Finance, 2018, vol. 35, issue 4, 505-524

Abstract: Purpose - This study aims to examine the relation between population composition and financial market variables in post-war Japan. Design/methodology/approach - Cointegration and Granger causality tests are applied to annual data for the period 1948-2015. Findings - Accounting for nonstationarity, this study finds long-run equilibrium relations between real financial price (stock and house) indices and the proportion of population in the prime earning (45-64) or retirement (65+) age. Granger causality tests that account for possibly nonstationary variables find some evidence of dynamic causation running from the 45-64 cohort to the real financial price indices. No such evidence is found for the 65+ cohort. Originality/value - This study complements the existing literature primarily based on US data with analysis of Japanese data that has some unique population composition features.

Keywords: Japan; Stock price; Population ageing; House price; Population composition (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:sef-07-2017-0187

DOI: 10.1108/SEF-07-2017-0187

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