 Exchange rate and stock prices in JapanTetsushi Homma, Yoshiro Tsutsui () and Uri Benzion Applied Financial Economics, 2005, vol. 15, issue 7, 469-478 Abstract: This paper explores whether export intensity and net foreign position of the Japanese firms are carefully watched by investors and are properly reflected in the stock prices. By estimating a multifactor model including the TOPIX, the call rate, the exchange rate, and other variables representing the characteristics of individual firms, the market efficiency of the Japanese stock market has been examined. Novelty of this paper is in that the channels of the effect of exchange rate on stock prices are explicitly formulated and estimated directly, and in that the use of daily data enables knowledge to be gained on the market efficiency. The main results are as follows: (i) Japanese investors adequately consider the characteristics of the firms, such as the exporting behaviour and net foreign position. (ii) The market efficiency of the semistrong form has been improved throughout the period. (iii) Stock investors correctly evaluate firms' foreign asset position and appropriately respond to the change of the exchange rate after 1992. In contrast, investors began to pay attention to exporting firms much earlier, that is, since 1985. Date: 2005 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:15:y:2005:i:7:p:469-478 Ordering information: This journal article can be ordered from DOI: 10.1080/09603100500056668 Access Statistics for this article Applied Financial Economics is currently edited by Anita Phillips More articles in Applied Financial Economics from Taylor & Francis Journals |
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