UBC Theses and Dissertations
Cointegration and stationarity analysis of Japanese speculative land and stock markets: 1982-1993 Kelly, Heidi M. C.
There was a remarkable downturn in the stock and land markets of Japan at the end of 1989 and the beginning of 1990. This thesis examines speculative stock and land market indices, explores relationships between these indices, and determines if the downturn had any affect on such relationships. The two sets of data used are measures of the Japanese speculative stock market (the Nikkei and Topix, Tokyo Stock Exchange market indices) and measures of the Japanese speculative land market (golf course membership price indices for the country as a whole, the eastern part of Japan, the western part of Japan, and Tokyo). Preliminary analysis of the data suggests the existence of three similarities: first, between the two stock market indices; second, amongst the four golf course membership price indices; and, third, between the set of stock market indices and the set of golf course membership price indices. The graphs of the data, the effects of transformations, the lack of outliers, the lack of seasonality, and the distributions of the data are remarkably alike. However, a more technical look at the data supports the opposing point of view. ARIMA modelling shows there exists surprisingly little structural similarity either within or between the two sets of data (i.e., the speculative stock and land market indices). In addition, cointegration test results provide little evidence of the expected relationship between these data sets. When accounting for the effect of the downturn on the data, evidence of linear relationships does exist. Cointegration tests using data before the downturn provide evidence of linear relationships between the two data sets (particularly between the stock market indices and the country composite index for golf course membership prices). However, examination of data from after the downturn shows that the downturn seems to have changed the data in such a way as to remove these previously existing linear relationships between the two sets of indices. Cointegration tests show no linear relationships appear to exist within either data set before the downturn (i.e., between the two stock market indices or between any pairwise combination of the four golf course membership price indices), but there is evidence of some such relationships after the downturn. The conclusion of this paper is that the downturn actually changed the relationships within each set of data (i.e., between different measures of the speculative stock market and between different measures of the speculative land market) and between the two sets of data (i.e., the relationship between the Japanese stock and land markets).
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