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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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 |
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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. |
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School of Physical and Mathematical Sciences |
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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 |
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Article |
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Cheong, Siew Ann Fornia, Robert Paulo Lee, Gladys Hui Ting Kok, Jun Liang Yim, Woei Shyr Xu, Danny Yuan Zhang, Yiting |
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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 |
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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 |
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The Japanese economy in crises : a time series segmentation study |
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japanese economy in crises : a time series segmentation study |
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2013 |
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https://hdl.handle.net/10356/98102 http://hdl.handle.net/10220/13249 |
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