Economics at your fingertips  

The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns

Mai Shibata ()

Asia-Pacific Financial Markets, 2014, vol. 21, issue 4, 331-349

Abstract: This paper examines influence of interest rates on bull and bear markets in Tokyo stock exchange. Japan implemented a zero interest rate policy (ZIRP) from February 1999 to August 2000 and quantitative easing (QE) from March 2001 to March 2006. Because the relationship between Japanese equity price and interest rates apparently is inconsistent, it is needed to identify whether and how interest rates might affect a current market trend or initiate a market reversal. This study examines whether changes in Japan’s policy interest rate-the unsecured overnight call rate-prompt changes in the Tokyo Stock Price Index (TOPIX). The question we seek to answer is how TOPIX was affected by policies such as ZIRP and QE from bubble era until today. This paper shows that the call rate altered the direction of the TOPIX, market peaks and troughs appeared after call rates changed, and Japanese equities reacted more strongly to call rates during the 2000s. Copyright Springer Japan 2014

Keywords: Bull and bear markets; Tokyo stock exchange; Parameter switching (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

More articles in Asia-Pacific Financial Markets from Springer, Japanese Association of Financial Economics and Engineering
Series data maintained by Sonal Shukla ().

Page updated 2018-02-15
Handle: RePEc:kap:apfinm:v:21:y:2014:i:4:p:331-349