Japanese stock market sectoral dynamics: A time and frequency analysis
研究了1999年至2022年日本股市各行业间的联动性，发现周期性或进攻型股票是冲击的主要传递者，短期溢出效应强于中期，房地产和能源行业在不同时间跨度上提供分散化收益。
Abstract This study examines the Japanese stock market connectedness across different sectors, focusing on both the time and frequency dimensions. The dataset used spans from January 1999 to April 2022 and employs various methodologies, including time‐varying parameter vector autoregressions, TVP‐VAR frequency dependency, and Quantile coherency. The empirical findings reveal that cyclical or aggressive stocks predominantly act as net transmitters of shocks across sectors. Moreover, short‐term spillovers are more significant compared to intermediate‐term spillovers, indicating that Japanese sectors are more pronounced to market shocks in the short run. The spillover effects are also asymmetric and vary over time. Additionally, the real estate sector exhibits diversification benefits across different time horizons, while the energy sector provides protection primarily in the short run. This research contributes to the development of financial policies aimed at reducing sectoral imbalances and promoting stable growth. Furthermore, it offers insights for investors seeking to devise optimal portfolio diversification strategies.