Asian Financial Linkages: The Case of Japan
|Author:||Mgr. Fialová Anežka|
|Year:||2014 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Doctoral
|Awards and prizes:|
|Abstract:||This work reviews the topic of international financial linkages, including theoretical
definitions and the main methodological approaches of the empirical measurement based on
vector autoregressive models. One of the approaches, the Spillover Index methodo
Diebold & Yilmaz (
), is then used to analyze the developments of financial linkages
of the Japanese stock market in the period from 1995 to 2012. The attention is paid both to the
relations with western developed economies and within the
region of East Asia. The main
contribution of this paper is the fact that it comprises a complete review of international
relations of Japanese stock market during the era of unprecedented financial liberalization.
The results of the empirical study confir
m the opening of Japanese stock markets towards
foreign influence. Even though USA have been the major driving force behind the movements
in East Asian stock markets, Japan has become a significant regional player, whose influence
on East Asian countries h
as been growing. The developments in the Japanese stock market are
on the other hand driven solely by the western developed countries, which further supports the
view of Japan as the regional financial leader.