Did the Stock Market Regime Change after the Inauguration of the New Cabinet in Japan?

Chikashi Tsuji

Business and Management Horizons, 2014, vol. 2, issue 1, 98-108

Abstract: This paper explored whether the Japanese stock market regime changed after the inauguration of the new Abe cabinet in Japan. Our application of Markov switching models to the Japanese stock price index returns and examinations of the price spreads in terms of the Japanese stock price indices derive the following evidence. First, (1) after the Abe cabinet started, regime of the Japanese stock markets changed. Second, (2) the regimes as to the JASDAQ Index and Tokyo Stock Exchange (TSE) Mothers Index more strongly and earlier changed than that of TOPIX. Third, (3) in our full sample period from January 4, 2011 to March 20, 2014, average positive price spreads over TOPIX were observed as to the JASDAQ, TSE Mothers, TOPIX Small, and TSE Second Section Index.

Keywords: JASDAQ Index; Markov switching model; TOPIX; TOPIX Core30 Index; TOPIX Large70 Index; TOPIX Small Index; TSE Mothers Index; TSE Second Section Index (search for similar items in EconPapers)
Date: 2014
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