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• W2129692725 startingPage "1391" @default.
• W2129692725 abstract "The article investigates to what extent various underlying macro (oil, supply, demand and portfolio) shocks impact the fluctuations of Japanese stock prices by developing a multivariate structural vector autoregression (SVAR) model. The results from a Markov regime-switching (MS) specification of the underlying shocks reveal that these shock-generating processes are characterized by nonlinearity with varied turning points and fit well with the actual historical events. Demand shocks, as opposed to supply shocks, are found to render pronounced influence on the stock market dynamics, indicating Japan's anaemic economic growth in the past decades has limited the role of supply shocks. Meanwhile, we find the importance of oil price shocks in driving the stock market as Japan is well synchronized in the world energy market." @default.
• W2129692725 created "2016-06-24" @default.
• W2129692725 creator A5037493564 @default.
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• W2129692725 date "2008-09-01" @default.
• W2129692725 modified "2023-10-16" @default.
• W2129692725 title "Macro shocks and the Japanese stock market" @default.
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• W2129692725 doi "https://doi.org/10.1080/09603100701720393" @default.
• W2129692725 hasPublicationYear "2008" @default.
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