Dynamics of Tokyo Electric Power Company and the Nikkei: 1985 to 2016 including the Fukushima disaster

Serge Rey and Sophie Nivoix ()
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Sophie Nivoix: Université de Poitiers, Postal: CEREGE EA1722, Université de Poitiers, Faculté de Droit et Sciences Sociales, F-86000 Poitiers, France

Journal of Economic Integration, 2018, vol. 33, issue 1, 979-1010

Abstract: From an asset portfolio management perspective, analyses of the correlations between returns are of great importance. This article investigates the correlations between the rates of return of Tokyo Electric Power Company stock and the Japanese Nikkei index over the lengthy period of 1985 to 2016. Using Markov-switching models, we seek to determine the effects of the Fukushima earthquake disaster compared with those of other shocks on the Japanese financial market. Although the Fukushima catastrophe resulted in more volatile stock prices, it had not changed the correlation structure among asset returns. In addition, both low- and high- volatility regimes, the Nikkei causes Tokyo Electric Power Company, but Tokyo Electric Power Company does not cause the Nikkei.

Keywords: Markov-switching; Stock Market; Japan; Risk; Volatility; Earthquake; Electric Utility Companies (search for similar items in EconPapers)
JEL-codes: C24 C32 G00 G01 (search for similar items in EconPapers)
Date: 2018
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Working Paper: Dynamics of Tokyo Electric Power Company and the Nikkei: 1985 to 2016 including the Fukushima disaster (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0726

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