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|Title||Macroeconomic Effects in the Japanese Stock Market|
|Institution||University of Zurich|
|Faculty||Faculty of Business, Economics and Informatics|
|Number of Pages||57|
|Abstract Text||This paper analyses the effect of several macroeconomic variables on the returns of the Nikkei 225 (N225) Index. Monthly and daily data of the last 18 to 20 years are used. The applied method for the time series data analysis is the EGARCH model. I find that the one-month government bond yield and the earnings have a negative effect on the N225 Index, while the influence of the unemployment rate, industrial production, Yen/USD exchange rate, retail sales and gross domestic product is positive. Remarkably, the consumer price index and the money aggregate have a positive impact on the N225 Index.|