The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Japanese currency and stock market—What happened during the COVID-19 pandemic?
Open accessAbstract
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.
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Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Bollerslev, T., & Wooldridge, J. M. (1992) · Econometric Reviews · doi:10.1080/07474939208800229 · Cited by 3,217
Financial markets under the global pandemic of COVID-19
Zhang, D., Hu, M., & Ji, Q. (2020) · Finance Research Letters · doi:10.1016/j.frl.2020.101528 · Cited by 2,341
Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns
Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020) · Journal of Behavioral and Experimental Finance · doi:10.1016/j.jbef.2020.100326 · Cited by 1,432
Financial contagion during COVID–19 crisis
Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2020) · SSRN Electronic Journal · doi:10.2139/ssrn.3584898 · Cited by 935
The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies
Corbet, S., Larkin, C., & Lucey, B. (2020) · Finance Research Letters · doi:10.1016/j.frl.2020.101554 · Cited by 876
Safe haven or risky hazard? Bitcoin during the Covid-19 bear market
Conlon, T., & McGee, R. (2020) · Finance Research Letters · doi:10.1016/j.frl.2020.101607 · Cited by 829
A new unit root test with two structural breaks in level and slope at unknown time
Narayan, P. K., & Popp, S. (2010) · Journal of Applied Statistics · doi:10.1080/02664760903039883 · Cited by 721
Self-citationCoronavirus (COVID-19) — An epidemic or pandemic for financial markets
Ali, M., Alam, N., & Rizvi, S. A. R. (2020) · Journal of Behavioral and Experimental Finance · doi:10.1016/j.jbef.2020.100341 · Cited by 715
Country Responses and the Reaction of the Stock Market to COVID-19—a Preliminary Exposition
Phan, D. H. B., & Narayan, P. K. (2020) · Emerging Markets Finance and Trade · doi:10.1080/1540496x.2020.1784719 · Cited by 650
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Metadata
- Authors
- Narayan, P. K., Devpura, N., & Wang, H.
- Venue
- Economic Analysis and Policy
- Publisher
- Elsevier BV
- Published
- 2020-12
- Volume
- 68
- Pages
- 191-198
- ISSN
- 0313-5926 (ISSN-L)
- OpenAlex
- W3088925262
- Cited by
- 268
- References
- 39
- FWCI
- 46.61
- Type
- journal article
- Language
- en
- Open access
- green
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