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[{"key": "dc.contributor.advisor", "value": "Heimonen, Kari", "language": null, "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Rissanen, Leevi", "language": null, "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2024-08-22T11:05:55Z", "language": null, "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2024-08-22T11:05:55Z", "language": null, "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2024", "language": null, "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/96729", "language": null, "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "Tutkimus koskee inflaation vaikutuksia Japanin nimellisiin osaketuottoihin Japanin keskus-pankin harjoittaman m\u00e4\u00e4r\u00e4llisen elvytyksen (QE) ajanjaksoina, sek\u00e4 ajanjaksoina, kun m\u00e4\u00e4r\u00e4llist\u00e4 elvytyst\u00e4 ei k\u00e4ytetty. Tutkimuksen kohteena oleva ajanjakso on vuodesta 2001 vuoden 2023 loppuun. Tarkoitus oli selvitt\u00e4\u00e4, onko inflaation ja nimellisten osaketuottojen v\u00e4linen suhde negatiivinen QE-jaksojen aikana ja kuinka vahva t\u00e4m\u00e4 mahdollinen riippuvuus on. Hypoteesi oli, ett\u00e4 inflaation ja nimellisten osaketuottojen v\u00e4lill\u00e4 on vahva negatiivinen suhde kyseisen\u00e4 ajanjaksona. Suhdetta tutkittiin osittaisella sopeutusmallilla, jossa riippuvana muuttujana toiminut osakkeiden tuotto sis\u00e4llytettiin viiv\u00e4stettyn\u00e4 riippumattomien muuttujien joukkoon. T\u00e4m\u00e4n lis\u00e4ksi inflaation ja nimellisten osaketuottojen v\u00e4list\u00e4 korrelaatiota tutkittiin vektoriautoregressiivisell\u00e4 (VAR) mallilla. \nLineaarisessa osittaisen sopeutumismallin regressiossa inflaation ei havaittu vaikuttavan osaketuottoihin QE-jaksoina. Kun malliin sis\u00e4llytettiin neli\u00f6ity inflaatio riippumattomana muuttujana, muuttui inflaatio merkitsev\u00e4ksi, mik\u00e4, yhdess\u00e4 merkitsev\u00e4n neli\u00f6idyn inflaation kanssa, viittaa jossain m\u00e4\u00e4rin ep\u00e4lineaariseen suhteeseen osaketuottojen ja inflaation v\u00e4lill\u00e4. VAR-mallin avulla havaittiin, ett\u00e4 kahden ja kolmen jakson viiveell\u00e4 inflaatiolla oli vaikutus osaketuottoihin. Kahden jakson viiveell\u00e4 vaikutus oli positiivinen, ja kolmen jakson viiveell\u00e4 negatiivinen. T\u00e4m\u00e4 tarkoittaa sit\u00e4, ett\u00e4 osakemarkkinat reagoivat muutoksiin inflaatiossa viiveell\u00e4, ja ett\u00e4 ensimm\u00e4inen reaktio on samansuuntainen muutokseen n\u00e4hden, ja sen j\u00e4lkeen reaktio k\u00e4\u00e4ntyy vastakkaiseksi.\nTutkimuksen rajoitukset ja analyysin tulokset huomioon ottaen voidaan todeta negatiivinen suhde inflaation ja osaketuottojen v\u00e4lill\u00e4 QE-jaksoina tiettyin\u00e4 hetkin\u00e4 ajassa viiv\u00e4stettyn\u00e4, mik\u00e4 vahvistaa tutkimuskysymykset ja hypoteesin oikeaksi.\nToisekseen havaittiin, ett\u00e4 osaketuottoihin vaikuttavat voimakkaammin ja johdonmukaisemmin talouspolitiikan ep\u00e4varmuus, M2 rahavarannot, sek\u00e4 VIX-volatiliteetti-indeksi.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.abstract", "value": "The effects of inflation on Japanese nominal stock returns during quantitative easing (QE) and non-quantitative easing periods between 2001 and 2023 were studied to see the relationship between inflation and nominal stock returns during QE periods. Economic literature lends support to a strong negative relationship between inflation and nominal stock returns.\nThe relationship was studied with a partial adjustment model of equity returns, and with a vector autoregressive (VAR) model which displayed the impacts of monetary policy shocks on equity returns in various monetary conditions including the BOJ's QE episodes.\nInflation was not found to have an effect on stock returns during QE periods in a linear regression setting with the partial adjustment model. Including a quadratic term, inflation, along with the quadratic term, became statistically significant, implying a somewhat nonlinear relationship between stock returns and QE periods. \nWith the VAR model, it was found that inflation lagged by two and three periods had an effect on stock returns, with a positive and a negative relationship respectively. This means that the stock markets react to inflation changes with a slight delay, and that the first impact is moving in the same direction, and later in time reversing the direction.\nTaking into consideration the restrictions of the study and the results from the analysis, nominal stock returns are indeed negatively related to inflation during the QE periods, confirming the research questions and the hypothesis.\nSecondly, it was found that the stock returns are greatly influenced not only by money supply but also by uncertainty and risks: Japanese equity returns were largely exposed to economic policy uncertainty and the VIX volatility index.", "language": "en", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by jyx lomake-julkaisija (jyx-julkaisija.group@korppi.jyu.fi) on 2024-08-22T11:05:55Z\nNo. of bitstreams: 0", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2024-08-22T11:05:55Z (GMT). No. of bitstreams: 0", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "54", "language": null, "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "eng", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "CC BY 4.0", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.title", "value": "The Effects of Inflation to Japanese Stock Markets", "language": null, "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-202408225622", "language": null, "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Master's Degree Programme in Banking and International Finance", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Master's Degree Programme in Banking and International Finance", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.copyright", "value": "\u00a9 The Author(s)", "language": null, "element": "rights", "qualifier": "copyright", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "openAccess", "language": null, "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.format.content", "value": "fulltext", "language": null, "element": "format", "qualifier": "content", "schema": "dc"}, {"key": "dc.rights.url", "value": "https://creativecommons.org/licenses/by/4.0/", "language": null, "element": "rights", "qualifier": "url", "schema": "dc"}]
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