An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities
نویسندگان
چکیده
This paper examines whether there exists the effect of party alternative on Nikkei 225 stock behavior by the asymmetric GARCH model. The empirical work finds that the transition of ruling party effect is not a crucial variable to Nikkei 225 returns and volatility. Japanese feel apathy and alienation about political environment result in the succession of prime ministers does not influence the Japanese stock market behavior. Therefore, resigned previous prime ministers have become scapegoats for the poor performance of financial and economic policies. c © 2005 Peking University Press
منابع مشابه
The Effects of Stocks Return Volatility on Working Capital Accruals with Moderating Effects of Life Cycle and Ownership Structure of Firms
In this research using theoretical predictions from a real option-based investment framework, the present study aims to examine the effects of stock returns volatilities on changes of working capital accruals of firms. In addition, the moderating effect of variables such as, life cycle and ownership structure on the relationship between stock return volatilities and working capital accruals is ...
متن کاملInteractions Of Returns and Volatilities Among Different Sizes Of Stocks: A Survey In Tehran Stock Exchange
متن کامل
Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
This paper is intended as an investigation of the statistical properties of absolute log-returns, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two periods, an inflationary period and a deflationary period. We have previously [18] fou...
متن کاملMultivariate Volatility and Spillover Effects in Financial Markets
The relationship between volatility and risk has been one of the main factors underlying the interest in volatility modelling. An important question for international diversification is whether shocks in one market influence, or have spillovers into, returns and volatility in other markets. This paper tests for the existence of volatility spillovers among the S&P 500, FTSE 100 and Nikkei 225 st...
متن کاملCP-Bruno Dupire.qxd
prices as a function of volatility. If an option price is given by the market we can invert this relationship to get the implied volatility. If the model were perfect, this implied value would be the same for all option market prices, but reality shows this is not the case. Implied Black–Scholes volatilities strongly depend on the maturity and the strike of the European option under scrutiny. I...
متن کامل