Dynamics of Tokyo Electric Power Company and the Nikkei<br/>: 1985 to 2016 including the Fukushima disaster

Rey, Serge; Nivoix, Sophie

doi:2018.33.1.979

The Journal of Economic Integration 2018 March;33(1) :979-1010.
DOI: https://doi.org/10.11130/jei.2018.33.1.979

Dynamics of Tokyo Electric Power Company and the Nikkei
: 1985 to 2016 including the Fukushima disaster

Serge Rey, Sophie Nivoix,

CATT, University of Pau, Pau, France
Université de Poitiers, Poitiers, France

Corresponding Author: Serge Rey ,Tel: 33(0)559408063, Fax: 33(0)559408010,

ABSTRACT

From an asset portfolio management perspective, analyses of the correlations between returns are of great importance. This article investigates the correlations between the rates of return of Tokyo Electric Power Company stock and the Japanese Nikkei index over the lengthy period of 1985 to 2016. Using Markov-switching models, we seek to determine the effects of the Fukushima earthquake disaster compared with those of other shocks on the Japanese financial market. Although the Fukushima catastrophe resulted in more volatile stock prices, it had not changed the correlation structure among asset returns. In addition, both low- and high- volatility regimes, the Nikkei causes Tokyo Electric Power Company, but Tokyo Electric Power Company does not cause the Nikkei.

JEL Classification

C24: Truncated and Censored Models; Switching Regression Models
C32: Time Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
G00: General
G01: Financial Crises