Narayan Paresh Kumar, Devpura Neluka, Wang Hua
Centre for Financial Econometrics, Faculty of Business and Law, Deakin University, 221 Burwood Highway, Burwood, Victoria 3125, Australia.
Department of Statistics, Faculty of Applied Sciences, University of Sri Jayewardenepura, Sri Lanka.
Econ Anal Policy. 2020 Dec;68:191-198. doi: 10.1016/j.eap.2020.09.014. Epub 2020 Sep 28.
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.
本文研究了日元与日本股票回报之间的关系。通过使用多种计量经济模型和实证规范变体，我们发现日元兑美元贬值导致日本股票回报增加。在新冠疫情期间，日元一个标准差的贬值（相当于0.588%）使股票市场回报提高了平均回报的71%。我们发现，与危机前时期相比，这种关系在新冠疫情期间（2020年1月至2020年8月）更为显著。
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