Japanese currency and stock market—What happened during the COVID-19 pandemic?
| Autor: | Neluka Devpura, Hua Wang, Paresh Kumar Narayan |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
Coronavirus disease 2019 (COVID-19) 05 social sciences Economics Econometrics and Finance (miscellaneous) 0211 other engineering and technologies COVID-19 Exchange rate 02 engineering and technology Monetary economics Recent Trends in Economic Research Econometric model Stock returns Us dollar Currency 0502 economics and business Pandemic Economics Stock market 021108 energy 050207 economics Stock (geology) |
| Zdroj: | Economic Analysis and Policy |
| ISSN: | 0313-5926 |
| DOI: | 10.1016/j.eap.2020.09.014 |
| Popis: | This paper examines the relationship between the Japanese Yen and the country’s stock returns. Using several variants of econometric models and empirical specifications, we unravel that the depreciation of the Yen vis-à-vis the US dollar led to gains in Japanese stock returns. A one standard deviation depreciation of the Yen during the COVID-19 period (equivalent to 0.588%) improved stock market returns by 71% of average returns We see that this relationship was stronger over the COVID-19 period (January 2020 to August 2020) compared to the pre-crisis period. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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