What Industries Move the NT Ratio? Exploring the Linkage between the NT Ratio and Industry Returns in Japan
DOI:
https://doi.org/10.14738/abr.24.307Abstract
This paper investigates which industries drive the recent high NT ratio in Japan. Our empirical examinations derive the following evidence. First, (1) for our first half sub-sample period before the US Lehman shock, it is only the return of transportation industry that is relatively strongly connected with the changes of the NT ratio. Second, we also find that (2) for our latter half sub-sample period, the industries which are relatively strongly connected with the recent higher NT ratio are foods, textiles and apparel, chemicals, pharmaceuticals, glass and ceramics, electric machinery, precision instruments, other manufacturing, retail, communications, and warehousing industries. This evidence after the US Lehman shock also suggests that the linkage between the NT ratio and the above eleven industry returns becomes stronger. On the other hand, we further clarify that (3) the returns of electric power industry always show the statistically significant negative correlations with the changes of the NT ratio regardless of the sample periods.
Keywords: Industry stock returns; Nikkei 225; NT ratio; TOPIX.
References
Casas, I. and Gao, J. (2008). Econometric estimation in long-range dependent volatility models: Theory and practice, Journal of Econometrics, 147, 72-83.
Cho, Y.H., Linton, O. and Whang, Y.J. (2007). Are there Monday effects in stock returns: A stochastic dominance approach, Journal of Empirical Finance, 14, 736-755.
Lu, Y.K. and Perron, P. (2010). Modeling and forecasting stock return volatility using a random level shift model, Journal of Empirical Finance, 17, 138-156.
Mollick, A.V. and Assefa, T.A. (2013). U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis, Energy Economics, 36, 1-18.
Narayan, P.K. and Thuraisamy, K.S. (2013). Common trends and common cycles in stock markets, Economic Modelling, 35, 472-476.
Rosa, C. (2011). Words that shake traders: The stock market's reaction to central bank communication in real time, Journal of Empirical Finance, 18, 915-934.
