The Role of Public Information in Japan: Effects of Scheduled Macroeconomic Announcements on the Foreign Exchange, Debt, and Stock Markets

37 Pages Posted: 1 May 2005

See all articles by Suk-Joong Kim

Suk-Joong Kim

The University of Sydney Business School

Lyndsen Kow

UNSW Business School

Abstract

We investigate the impact of the announcements of 16 key macroeconomic variables on the Japanese foreign exchange, debt and stock markets. Despite the importance of the Japanese economy in the world stage, there hasn't been a thorough study of role of scheduled information releases in Japan. We find significant first and second moment influences on returns, and this indicates that these announcement news (or surprises) are a source of tradable information, beyond the mere act of releasing economic figures. The announcements in general raise volatility by generating additional uncertainty in the market, with the debt market exhibiting a much greater response to news than the stock market. Exchange rates and interest rate respond more to inflation-related variables, while the stock market responds more to growth-related variables. Overall, markets participants are found to react to different news announcements in a variety of sophisticated and rational ways.

Keywords: Announcement News, Japanese Financial Markets

JEL Classification: G14, G15, F36

Suggested Citation

Kim, Suk-Joong and Kow, Lyndsen, The Role of Public Information in Japan: Effects of Scheduled Macroeconomic Announcements on the Foreign Exchange, Debt, and Stock Markets. Available at SSRN: https://ssrn.com/abstract=708987 or http://dx.doi.org/10.2139/ssrn.708987

Suk-Joong Kim (Contact Author)

The University of Sydney Business School ( email )

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Sydney, NSW 2006
Australia
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+61 2 9351 6461 (Fax)

Lyndsen Kow

UNSW Business School

UNSW Business School
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Sydney, NSW 2052
Australia

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