Stock Market Volatility and Macroeconomic Volatility: Evidence in Japan

• Main Authors: Chen Ching Yi, 陳靜儀
• Other Authors: Yuan-Lin Hsu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/46879347420309160260

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 97 === The purpose of this paper is to analyze the relationship between stock market volatility and the 18 well known macroeconomic volatilities in Japan. The research period is from September, 1998 to December, 2008. I collect and apply the monthly data to the designed models. The research uses the simple root examination, the ordinary least squares regression (OLS), and the GARCH(1,1) model to investigate the influences of economic volatilities to the stock market volatility. The empirical evidence shows that there are significant negative effects of the fluctuation of Japanese industrial production annual rate, the Japanese unemployment rate, the Japanese import price index annual rate, the OECD leading rate on the fluctuation of Nikkei 225 index rate of return. However the fluctuation of Japanese vehicles sale annual rate and the Japanese export price index annual rate has the significant positive influence on the fluctuation of Nikkei 225 index rate of return.