* 1 はじめに,, TOPIX TOPIX, TOPIX TOPIX Shelor Anderson and Cross C Japan Society of Monetary Economics
図 1 東日本大震災前後の株価 (TOPIX) の推移 1,000 950 900 850 800 750 700 図 2 阪神大震災前後の株価 (TOPIX) の推移 1,650 1,550 1,450 1,350 1,250 1,150 Worthington and Valadkhani Kamesaka Hood et al. Kamesaka Nofsinger and Kawakita Japan Society of Monetary Economics
図 3 東日本大震災前後の主要投資家の株式純購入額 ( 週次 ) 東証 1 部 1,000,000,000 800,000,000 600,000,000 400,000,000 200,000,000 0-200,000,000-400,000,000-600,000,000-800,000,000 図 4 東日本大震災前後の主要投資家の株式純購入額 ( 週次 ) 東証 2 部 3,000,000 2,000,000 1,000,000 0-1,000,000-2,000,000-3,000,000 ) ) 2 データ Karolyi Bae Yamada and Ito Japan Society of Monetary Economics
図 5 東日本大震災前後の主要投資家の株式純購入額 ( 週次 ) 東証マザーズ 20,000,000 15,000,000 10,000,000 5,000,000 0-5,000,000-10,000,000-15,000,000-20,000,000 図 6 阪神大震災前後の主要投資家の株式純購入額 ( 週次 ) 東証 1 部 300,000,000 200,000,000 100,000,000 0-100,000,000-200,000,000-300,000,000, Japan Society of Monetary Economics
図 7 阪神大震災前後の主要投資家の株式純購入額 ( 週次 ) 東証 2 部 15,000,000 10,000,000 5,000,000 0-5,000,000-10,000,000-15,000,000 図 8 東日本大震災前後の海外投資家地域別の株式純購入額 ( 月次 ) 1,200,000,000 1,000,000,000 800,000,000 600,000,000 400,000,000 200,000,000 0-200,000,000-400,000,000-600,000,000-800,000,000-1,000,000,000 VAR 3 分析結果 t i it it NBR it i it it i it it it it it / it it Japan Society of Monetary Economics
表 1a 東日本大震災前後 : 主要投資主体の週次株式純購入額, 純購入比率 東証 1 部...........,............................................. 表 1b 阪神大震災前後 : 主要投資主体の週次株式純購入額, 純購入比率 東証 1 部........................................................ Japan Society of Monetary Economics
表 2a 東日本大震災前後 : 株式リターン, 為替変化率と各投資主体の純購入比率の相関係数 東証 1 部.................................. 表 2b 阪神大震災前後 : 株式リターン, 為替変化率と各投資主体の純購入比率の相関係数 東証 1 部.................................. a NBR.. b...... log P t /P t / TOPIX a,. Japan Society of Monetary Economics
表 3 東日本大震災前後 : 各市場別の VAR 分析結果 ( 主要結果の抜粋 ). ****. ***. *******. ******. ****** ** *** ***. ***,. *** ** *** *** ** ***. ********* ** *** ** *** ** ** *** ** ** *** p<., ** p<.,* p<. VAR AIC Akaike Information Criterion SBIC Schwarz Bayesian Information Criterion VAR 表 4 東日本大震災前後 : 各市場別の VAR 分析結果 ( 主要結果の抜粋 )( 東京電力 の株式リターンを使用 ).*. ***. *. ***. ******. ******. ******.* *** *** *** ***.* *** ***.* ***.****.***.*** * * *** ****.* *** **** ***.* *** *** **** *** p<., ** p<.,* p<. VAR AIC Akaike Information Criterion SBIC Schwarz Bayesian Information Criterion VAR Japan Society of Monetary Economics
表 5 阪神大震災前後 : 各市場別の VAR 分析結果 ( 主要結果の抜粋 ) *** ***. ***. ***. ***. ***. ******. ***** *** ** *** ***. *** ***. ***** ***.** **. ******.******* *** ** ** *** *** ** *** p<., ** p<.,* p<. VAR AIC Akaike Information Criterion SBIC Schwarz Bayesian Information Criterion VAR.. b. VAR VAR AIC Akaike Information Criterion SBIC Schwarz Bayesian Information Criterion VAR VAR Japan Society of Monetary Economics
VAR VAR 4 考察 ) Japan Society of Monetary Economics
[ 参考文献 ] No. pp. - FP No.pp. - Bae K T. Yamada and K. Ito How Do Individual Institutional and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan International Review of Finance, Vol. Issue -, pp.-. Hood M. A. Kamesaka J. R. Nofsinger and T. Tamura Investor Response to a Natural Disaster: Evidence from Japan s Earthquake Pacific-Basin Finance Journal, Vol., pp.-. Kamesaka A., The Great East Japan Earthquake and Investor Behavior in Japan s Equity Markets Public Policy Review Research Institute Ministry of Finance Japan, Vol. No., pp. -. Kamesaka A. J. R. Nofsinger and H. Kawakita Investment Patterns and Performance of Investor Groups in Japan Pacific-Basin Finance Journal, Vol. No., pp. -. Karolyi G. A. Did the Asian Financial Crisis Scare Foreign Investors Out of Japan? Pacific-Basin Finance Journal, Vol. No., pp.-. Shelor R.M. Anderson D.C. and Cross M.L. The Impact of the California Earthquake on Real Estate Firms Stock Value Journal of Real Estate Research, Vol. No. pp.-. Worthington A. and Valadkhani A. Measuring the Impact of Natural Disasters on Capital Markets : An Empirical Application Using Intervention Analysis Applied Economics, Vol.pp.-. Japan Society of Monetary Economics
SUMMARY FOREIGN AND DOMESTIC INVESTOR BEHAVIOR BEFORE AND AFTER THE GREAT EAST JAPAN EARTHQUAKE By TERUYUKI TAMURA and AKIKO KAMESAKA In recent years foreign investors have accounted for the majority of the trading activity in Japanese equity markets. After the Great East Japan Earthquake their share of the market increased markedly and they became net buyers of Japanese equities; during this period the main net sellers were Japanese securities companies on Tokyo Stock Exchange Section and individual investors on Tokyo Stock Exchange Section and the MOTHERS exchange We conclude that foreign investor demand helped to prevent a more severe Japanese equity market crash in the aftermath of the crisis. Sophia University Aoyama Gakuin University Japan Society of Monetary Economics