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J. Risk Financial Manag. 2018, 11(3), 34; https://doi.org/10.3390/jrfm11030034

Dynamic Linkages between Japan’s Foreign Exchange and Stock Markets: Response to the Brexit Referendum and the 2016 U.S. Presidential Election

Department of Community Service and Science, Tohoku University of Community Service and Science, 9988580 Sakata, Japan
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Received: 20 June 2018 / Revised: 27 June 2018 / Accepted: 28 June 2018 / Published: 28 June 2018
(This article belongs to the Special Issue Stock Market Volatility Modelling and Forecasting)
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Abstract

In this paper, we analyse the response of Japan’s foreign exchange and stock markets to the outcomes of the Brexit referendum and the U.S. presidential election. We estimate the changes in returns of the daily exchange rates of the yen (JPY), the daily closing price index of the Nikkei and the dynamic conditional correlation (DCC) coefficients between the JPY and the Nikkei caused by both events. The empirical findings showed a significant change in the daily logarithmic returns of exchange rates of the JPY and the closing price index of the Nikkei, as well as their time-varying comovement (DCC) after both events. In general, the impact of the U.S. elections on financial markets and their dynamic correlation was stronger than the impact of the Brexit referendum. View Full-Text
Keywords: Brexit; U.S. presidential election; Japan; financial markets; DCC-GARCH Brexit; U.S. presidential election; Japan; financial markets; DCC-GARCH
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Sultonov, M.; Jehan, S.N. Dynamic Linkages between Japan’s Foreign Exchange and Stock Markets: Response to the Brexit Referendum and the 2016 U.S. Presidential Election. J. Risk Financial Manag. 2018, 11, 34.

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