The effect of market returns, interest rates, and exchange rates on the stock returns of Japanese horizontal keiretsu financial firms

This research empirically examines the sensitivity of individual and portfolio stock returns for Japanese horizontal keiretsu financial firms to unanticipated changes in market returns, interest rates (government bond returns), exchange rate changes, and nominal interest rate spread changes. Results...

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Bibliographic Details
Published in:Journal of multinational financial management 2001-04, Vol.11 (2), p.165-182
Main Authors: Koch, Timothy W, Saporoschenko, Andrew
Format: Article
Language:English
Subjects:
Exchange rates
Financial management
Financial systems
Interest rates
International finance
Japan
Japanese financial system
Keiretsu
Mathematical economics
Return-generating model
Statistics
Stock returns
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Summary:This research empirically examines the sensitivity of individual and portfolio stock returns for Japanese horizontal keiretsu financial firms to unanticipated changes in market returns, interest rates (government bond returns), exchange rate changes, and nominal interest rate spread changes. Results indicate that the stock returns of keiretsu financial firms often exhibit significant negative responses to interest rate increases. Results also indicate that keiretsu financial firms have higher than average market risk but insignificant exposure to exchange rate changes. There is weak evidence that risk exposures, as measured by betas, are larger when keiretsu financial firm cohesion is greater.
ISSN:1042-444X
1873-1309
DOI:10.1016/S1042-444X(00)00048-7