Assessing the Impact of COVID-19 on Major Industries in Japan: A Dynamic Conditional Correlation Approach

24 Pages Posted: 22 Jan 2021

Date Written: November 20, 2020

Abstract

This study assesses the impact of the novel coronavirus disease (COVID-19) cases on the Japanese stock market. As of October 30, 2020, the cumulative number of cases in Japan has reached over one hundred thousand. COVID-19 has significantly affected both the lifestyle and the economy in Japan. First, this study develops composite stock indices by industry sector and prefecture, taking into consideration the effects of the increase in infections on industries and firms in the core prefectures. Second, this study investigates the dynamic conditional correlations between the composite stock index returns and the increment in COVID-19 cases using dynamic conditional correlation multivariate GARCH models. Finally, it can contribute to financial research in terms of coexistence of regional business economies with COVID-19.

Keywords: COVID-19; Composite stock index; Sector and regional analysis; Dynamic conditional correlation (DCC); Multivariate GARCH

JEL Classification: D53; G10; G28; C51

Suggested Citation

Kanno, Masayasu, Assessing the Impact of COVID-19 on Major Industries in Japan: A Dynamic Conditional Correlation Approach (November 20, 2020). Available at SSRN: https://ssrn.com/abstract=3770614 or http://dx.doi.org/10.2139/ssrn.3770614

Masayasu Kanno (Contact Author)

Nihon University ( email )

5-2-1, Kinuta
Setagaya
Tokyo, 1578570
Japan

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

Paper statistics

Downloads
32
Abstract Views
398
PlumX Metrics