The Japanese economy in crises : a time series segmentation study

The authors performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997–2003 crisis,...

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Main Authors: Cheong, Siew Ann, Fornia, Robert Paulo, Lee, Gladys Hui Ting, Kok, Jun Liang, Yim, Woei Shyr, Xu, Danny Yuan, Zhang, Yiting
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2013
Online Access:https://hdl.handle.net/10356/98102
http://hdl.handle.net/10220/13249
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-981022020-03-07T12:34:44Z The Japanese economy in crises : a time series segmentation study Cheong, Siew Ann Fornia, Robert Paulo Lee, Gladys Hui Ting Kok, Jun Liang Yim, Woei Shyr Xu, Danny Yuan Zhang, Yiting School of Physical and Mathematical Sciences The authors performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997–2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years across-the-board recovery from the 1997–2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods: (i) 1997–1999 (Asian Financial Crisis), (ii) 2000–2002 (Technology Bubble Crisis), (iii) 2003–2006 (economic growth), (iv) 2007–2008 (Subprime Crisis), and (v) 2008–2010 (Lehman Brothers Crisis). In these MSTs, the Chemicals and Electric Machinery industries are consistently hubs. Finally, we present evidence from the segment-to-segment MSTs for flights to quality within the Japanese stock market. 2013-08-28T02:55:46Z 2019-12-06T19:50:33Z 2013-08-28T02:55:46Z 2019-12-06T19:50:33Z 2012 2012 Journal Article Cheong, S. A., Fornia, R. P., Lee, G. H. T., Kok, J. L., Yim, W. S., Xu, D. Y., & Zhang, Y. (2012). The Japanese Economy in Crises: A Time Series Segmentation Study. Economics: The Open-Access, Open-Assessment E-Journal, 6. 1864-6042 https://hdl.handle.net/10356/98102 http://hdl.handle.net/10220/13249 10.5018/economics-ejournal.ja.2012-5 en Economics: The open-access, open-assessment E-journal
institution Nanyang Technological University
building NTU Library
country Singapore
collection DR-NTU
language English
description The authors performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997–2003 crisis, and responded to the most recent global financial crisis in five stages. Of these, the second and main stage affecting 21 industries lasted only 27 days, in contrast to the two-and-a-half-years across-the-board recovery from the 1997–2003 financial crisis. We constructed the minimum spanning trees (MSTs) to visualize the Pearson cross correlations between Japanese industries over five macroeconomic periods: (i) 1997–1999 (Asian Financial Crisis), (ii) 2000–2002 (Technology Bubble Crisis), (iii) 2003–2006 (economic growth), (iv) 2007–2008 (Subprime Crisis), and (v) 2008–2010 (Lehman Brothers Crisis). In these MSTs, the Chemicals and Electric Machinery industries are consistently hubs. Finally, we present evidence from the segment-to-segment MSTs for flights to quality within the Japanese stock market.
author2 School of Physical and Mathematical Sciences
author_facet School of Physical and Mathematical Sciences
Cheong, Siew Ann
Fornia, Robert Paulo
Lee, Gladys Hui Ting
Kok, Jun Liang
Yim, Woei Shyr
Xu, Danny Yuan
Zhang, Yiting
format Article
author Cheong, Siew Ann
Fornia, Robert Paulo
Lee, Gladys Hui Ting
Kok, Jun Liang
Yim, Woei Shyr
Xu, Danny Yuan
Zhang, Yiting
spellingShingle Cheong, Siew Ann
Fornia, Robert Paulo
Lee, Gladys Hui Ting
Kok, Jun Liang
Yim, Woei Shyr
Xu, Danny Yuan
Zhang, Yiting
The Japanese economy in crises : a time series segmentation study
author_sort Cheong, Siew Ann
title The Japanese economy in crises : a time series segmentation study
title_short The Japanese economy in crises : a time series segmentation study
title_full The Japanese economy in crises : a time series segmentation study
title_fullStr The Japanese economy in crises : a time series segmentation study
title_full_unstemmed The Japanese economy in crises : a time series segmentation study
title_sort japanese economy in crises : a time series segmentation study
publishDate 2013
url https://hdl.handle.net/10356/98102
http://hdl.handle.net/10220/13249
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