Heterogeneous impacts of Abenomics on the stock market: A Fund flow analysis |
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| Institution: | 1. Department of International Relations, Kobe City University of Foreign Studies, 9-1 Gakuen-Higashimachi, Nishi-ku, Kobe 651-2187, Japan;2. College of Business Administration, Ritsumeikan University, 2-150 Iwakura-cho, Ibaraki, Osaka 567-8570, Japan;1. School of Social Sciences, Waseda University, Japan;2. School of Political Science and Economics, Waseda University, Japan;1. Institute of Economic Research, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo 186-8603, Japan;2. Nakasone Yasuhiro Peace Institute, Toranomon 30 Mori Building 6F, 3-2-2 Toranomon, Minato-ku, Tokyo 105-0001, Japan;1. The South East Asian Central Banks (SEACEN) Research and Training Centre, Kuala Lumpur, Malaysia;2. Centre for Applied Macroeconomic Analysis (CAMA), Australian National University (ANU), Canberra, Australia |
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| Abstract: | This study examines the heterogeneous impacts of Abenomics on the Japanese stock market using fund flow data. While Fukuda (2015) identifies changes in foreign investors’ expectations from price changes in financial markets, we focus on changes in the quantity demanded of Japanese stocks. We obtain three findings. First, only foreign investors aggressively and immediately purchased Japanese stocks at the onset of Abenomics. Second, since the two years following the launch of Abenomics, foreign investment inflows into Japanese stocks have changed due to external factors originating in the United States. Third, a VAR analysis shows the heterogeneous impacts of Abenomics among investors inside and outside Japan. However, the changes in foreign investors’ expectations are short-lived in the sense that signs of permanent shifts as a result of Abenomics cannot be identified after 2014. |
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