When the Japanese Stock Market Meets COVID-19: Impact of Ownership, China and US Exposure, and ESG Channels

47 Pages Posted: 17 Apr 2020 Last revised: 1 Dec 2020

See all articles by Hidenori Takahashi

Hidenori Takahashi

Nagoya University

Kazuo Yamada

Ritsumeikan University - College of Business Administration

Date Written: December 1, 2020

Abstract

We identify factors affecting the Japanese stock market during the COVID-19 pandemic period. First, we focus on the ownership structure. We find that indirect ownership through the exchange-traded fund purchasing program by the Bank of Japan has a positive impact on abnormal returns. Foreign ownership is negatively associated with abnormal returns, whereas ownership by traditional business groups is positively associated with abnormal returns. Second, we examine the impact of global value chains and find that stock returns are lower for companies with China and U.S. exposure. Third, in terms of environmental, social, and governance (ESG) engagement, there is no evidence that firms that have highly rated ESG scores have higher abnormal returns, but firms with ESG funds outperform those without.

Keywords: COVID-19; Japanese stock market; Bank of Japan (BOJ); Foreign ownership; Business groups; ESG; Global value chain

JEL Classification: G30

Suggested Citation

Takahashi, Hidenori and Yamada, Kazuo, When the Japanese Stock Market Meets COVID-19: Impact of Ownership, China and US Exposure, and ESG Channels (December 1, 2020). Available at SSRN: https://ssrn.com/abstract=3577424 or http://dx.doi.org/10.2139/ssrn.3577424

Hidenori Takahashi

Nagoya University ( email )

Furo-cho, Chikusa-ku
Nagoya, 464-8601
Japan

Kazuo Yamada (Contact Author)

Ritsumeikan University - College of Business Administration ( email )

2-150 Iwakura
Ibaraki, Osaka 5678570
Japan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
902
Abstract Views
3,892
rank
32,575
PlumX Metrics