| Abstract: | This paper analyses the interdependence between the US and Japanese stock price indexes, focusing on whether it exists only when a large change in the index occurs and what its possible causes are. To this end, I employ a kind of 'event study', which seeks to investigate whether the stock price index of one country significantly reacts only to a large change in the index of the other country. The results suggest that: (i) a strong two-way causality between the indexes is recognized clearly when one index shows a large change, while the interdependence is much less clear for small changes; and (ii) the news of a large fall or rise of the index itself plays an important role in the interdependence. |
