日経平均株価と海外株式市場との連動性分析

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  • Analysis of the Linkage between Nikkei Stock Average and Foreign Stock Markets
  • ニッケイ ヘイキン カブカ ト カイガイ カブシキ シジョウ ト ノ レンドウセイ ブンセキ

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When Lehman Brothers went bankrupt in 2008, as in previous global financial crises, we could see that all banks expanding internationally tended to have closer linkage with global markets to perform balance-sheets adjustments. In recent years, the Nikkei stock average has been influenced by international linkage a lot. We analyzed the movement of shareholders by using the data of the Japanese distribution of dividends to shareholders. From factor analysis for the transition of investment ratio of each department, we could explain the actions of investments. 　Also, we performed multiple regression analysis to analyze the linkage between the Nikkei stock average and foreign stock market indices using the Dow Jones average, the S&P500, and the SSE composite indices as explained variables. From these results, we succeeded in showing the international linkage of Nikkei stock average by using statistical data.

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