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Market Evaluations of Banking Fragility in Japan : Japan Premium, Stock Prices, and Credit Derivatives

Ito, Takatoshi - 2003

This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and … credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually … indicators were high both in the first period and in the second period; Credit default swap (CDS) premium explains Japan premium …

Persistent link: https://www.econbiz.de/10012469110

Japan Premium and Stock Prices : Two Mirrors of Japanese Banking Crises

Ito, Takatoshi - 2000

market. Two indicators, the Japan premium and the stock price index of the banking sector in Tokyo, were examined … Japan Premium most were the Daiwa Bank incidence in the fall of 1995, failures of large financial institutions in November …-movement relationship at around the summer of 1995. (5) News that affected Japan premium and bank stocks are sometimes different. The bank …

Persistent link: https://www.econbiz.de/10012470734

Explaining Asset Bubbles in Japan

Ito, Takatoshi - 1995

This paper examines the stock and land price behaviors during the bubble economy period (the second half of the 1980s), paying considerable attention to the linkage of the two markets and the effects of monetary policy. In particular, we examine whether the booms in these asset prices can be...

Persistent link: https://www.econbiz.de/10012473511

Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets

Ito, Takatoshi - 1993

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on...

Persistent link: https://www.econbiz.de/10012474348

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

Lin, Wen-Ling - 1991

This paper investigates empirically how returns and volatilities of stock indices are correlated between Tokyo and New York. Intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight hours, while New York...

Persistent link: https://www.econbiz.de/10012475066

Defying Gravity : How Long Will Japanese Government Bond Prices Remain High?

Hoshi, Takeo - 2012

Recent academic papers have shown that the Japanese sovereign debt situation is not sustainable. The puzzle is that the bond rate has remained low and stable. Some suggest that the low yield can be explained by domestic residents' willingness to hold Japanese government bonds (JGBs) despite its...

Persistent link: https://www.econbiz.de/10012460374