Thesis (Ph. D.)--University of Hawaii at Manoa, 2003. / Includes bibliographical references (leaves 219-236).

Thesis (Ph. D.)--University of Hawai'i, 2003. / Includes bibliographical references (leaves 219-236).

This dissertation discusses Japanese capital market deregulation for 1980:12-1996:12, which began gradually with the capital procurement of the most multinationalized firms and differentiated them from the pure domestic firms. We try to quantify what actually happened in the Tokyo Stock Exchange during the period to see whether the policy design could have contributed to the problems of non-performing loans and monetary policy ineffectiveness in the 1990s. We first outline the process of deregulation by a literature review. Then, the dissertation compares the statistical properties of monthly share returns for the internationalized corporations with the rest. We detected that the portfolios of internationalized and domestic firms appear to have unequal data generating processes, and possibly different structural break points, around 1984 and 1990, in their relationship with the global market. Next, we use the mild segmentation model (Errunza and Losq March 1985) to analyze the process of internationalization for the two types of firms. Our estimation suggests the internationalized share appraisal priced not only the world factor but also domestic influence more heavily than the pure domestic stocks, which leads us to reject the hypothesis for our data. We suspect the result may be attributable to the deregulation without an introduction of new valuation rules. The research concludes with an analysis of the changing function of the call rates as a traditional Japanese monetary policy tool, using the intertemporal capital asset pricing model (Merton 1973). The estimation results report that the pricing of internationalized firms could allocate no importance to the conventional domestic monetary policy instrument. Moreover, the pure domestic shares stopped reacting to the call rate in the 1990s, which implies the traditional monetary policy lost influence over asset pricing in its totality for the 1990s. Derived from these findings we conclude capital market liberalization / deregulation as an attempt to control the globalization of firms could generate unexpected reactions in the domestic market. Our estimation advises that liberalization ought to consciously reorganize the domestic capital market regulation, and the monetary authority should be flexible enough to find a way to interact with the domestic market valuations during deregulation. / Thesis (Ph. D.)--University of Hawaii at Manoa, 2003. / Mode of access: World Wide Web. / Includes bibliographical references (leaves 219-236). / Electronic reproduction. / Also available by subscription via World Wide Web / xiv, 236 leaves, bound ill. 29 cm

This paper studies the influence on the Japanese stock (cash and futures) markets of the Nikkei put warrants which were traded in Toronto and New York from February 1989 to April 1993. Implied changes in the Japanese prices based on the previous days’ North American warrant prices are compared to the actual price changes. Special attention is placed on the period from January 1990 to August 1992 when the Japanese stock market had a major decline.

This paper studies the influence on the Japanese stock (cash and futures) markets of the Nikkei put warrants which were traded in Toronto and New York from February 1989 to April 1993. Implied changes in the Japanese prices based on the previous days’ North American warrant prices are compared to the actual price changes. Special attention is placed on the period from January 1990 to August 1992 when the Japanese stock market had a major decline. / Business, Sauder School of / Graduate

In this thesis, extensive research regarding the relationship between macroeconomic variables and the stock market is carried out. For this purpose the two largest stock markets in the world, namely the US and Japan, are chosen. As a proxy for the US stock market we use the S&P500 and for Japan the Nikkei225. Although there are many empirical investigations of the US stock market, Japan has lagged behind. Especially the severe boom and bust sequence in Japan is unique in the developed world in recent economic history and it is important to shed more light on the causes of this development. First, we investigate the long-run relationship between selected macroeconomic variables and the stock market in a cointegration framework. As expected, we can support existing findings in the US, whereas Japan does not follow the same relationships as the US. Further econometric analysis reveals a structural break in Japan in the early 1990s. Before that break, the long-run relationship is comparable to the US, whereas after the break this relationship breaks down. We believe that a liquidity trap in a deflationary environment might have caused the normal relationship to break down. Secondly, we increase the variable set and apply a non-linear estimation technique to investigate non-linear behaviour between macroeconomic variables and the stock market. We find the non-linear models to have better in and out of sample performance than the appropriate linear models. Thirdly, we test a particular non-linear model of noise traders that interact with arbitrage traders in the dividend yield for the US and Japanese stock market. A two-regime switching model is supported with an inner random or momentum regime and an outer mean reversion regime. Overall, we recommend investors and policymakers to be aware that a liquidity trap in a deflationary environment could also cause severe downturn in the US if appropriate measures are not implemented accordingly.

In Chapter 1, we investigate the shareholder and creditor protection and look into the dividend policy implement in the stock market. The investor protection was analyzed based on the China company law and our result shows that the shareholder (creditor) protection is weak (strong) compared with the rest of the world. In China, a firm can issue as many as five different classes of shares: state shares, legal person shares, A-shares, foreign shares and employee shares. Under the weak shareholder protection in China, A-shareholders are categorized to the disadvantage group in corporate structure which demonstrates the classic free-rider problem. With the expertise and knowledge to monitor the management, controlling legal person not only enhance the corporate performance, but also expecting dividend payout as the reward. In our study, we have strong evidence on the legal person share ownership positively related to the dividend payout decision, while the A-shares and state shares ownership are negatively related to the decision on dividend payout. / The Japanese stock market provide a reasonable setting for studying intermediate-horizon price momentum effect, because Japan has the largest equity market aside from the U.S. in terms of both capitalization and number of securities. In Chapter 2, by measuring the relative strength of portfolio on the Japanese market, we found that the price momentum does not exist in the Japanese market. Further, the momentum returns keep always negative on any horizon, which is coherent in keiretsu and non-keiretsu grouping and in different trading volume. The decomposition on the expected average returns of different investment period in Japanese market shows that the price reversals is not capable to overwhelm the losses from the cross-sectional differences in mean returns and cannot yield statistically significant net momentum profits in the Japanese market. / This paper consists of two separate projects: (1) The investor protection and dividend policy in China, (2) Price momentum in Japan. / Wong Chin Pang, Antonio. / "April 2003." / Adviser: Jia He. / Source: Dissertation Abstracts International, Volume: 64-09, Section: A, page: 3413. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (p. 58-50). / Available also through the Internet via Current research @ Chinese University of Hong Kong under title: Essays in international finance (China, Japan) / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

The question for this thesis is whether the four major stock markets--the United States, Great Britain, West Germany, and Japan are interdependent or segmented. The study period runs from February 1979 to June 1987, with the Wall Street Journal as a source of data. The Granger causality test is used to test for relationships among the four major stock markets. The thesis is divided into five chapters-- 1) statement of the problem; 2) survey of literature; 3) methodology; 4) results and 5) conclusions. The overall findings of this thesis indicate that there are few or no comovement similarities among all the four stock markets. However, the findings do point out the significant influence of the United States stock market on the other three stock markets.