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We compare performance evaluation of the TOPIX Core 30 of Japanese stocks by the performance evaluation index based on the economic index of riskiness of Aumann and Serrano (J Polit Econ 116:810–836, 2008) and the Sharpe ratio. The performance index of Aumann and Serrano, which can take into account high moments and disaster risk, is more relevant for risk-averse investors than the Sharpe ratio. The two performance indexes are, unlike the U.S. stocks, surprising similar in the majority of the stocks studied. However, there do exist contrasting stocks where the two performance indexes differ considerably, reflecting the underlying performance of stocks. Use of the two performance indexes together can result in better characterization of stocks. [ABSTRACT FROM AUTHOR]

In this paper, the dynamic correlation of Japanese stock returns is estimated by using the dynamic conditional correlation (DCC-GARCH) model to study their correlation dynamics empirically. It is difficult to fit the model to the whole stock market jointly at the same time; therefore, a network-based clustering is applied for the dimensionality reduction of the sample data. Two types correlation structures are estimated: homogeneous groups of stocks in a balanced size are created by clustering to observe within-group correlation, while a single portfolio that comprises group portfolio returns is also created to observe between-group correlation. The estimation result reveals dynamic changes in correlation intensity represented by the largest eigenvalue of the estimated correlation matrix. A higher level of correlation intensity and volatility are observed during the crisis periods, namely after both the Lehman collapse and the Great East Japan Earthquake, for the between- and within-group correlations. It is also confirmed that the pattern of correlation change is significantly different between the groups. The proposed method is useful for monitoring dynamic correlation of asset returns efficiently in a large scale of portfolio. [ABSTRACT FROM AUTHOR]

The monetary policy targets the short rates; however, during zero interest rate policy (ZIRP), the short end of the yield curve cannot serve as a policy instrument. Relying on the joint yields-macro latent factors model, this study empirically examines the effect of monetary policy stances on term structure and the possible feedback effect on the real sector using the Japanese experience of ZIRP. The analysis indicates that it is the entire term structure that transmits the policy shocks to the real economy rather than the yield spread only. The monetary policy signals pass through the yield curve level and slope factors to stimulate the economic activity. The curvature factor, besides reflecting the cyclical fluctuations of the economy, acts as a leading indicator for future inflation. In addition, policy influence tends to be low as the short end becomes segmented toward medium/long-term of the yield curve. Furthermore, volatility in bond markets is found to be asymmetrically affected by positive and negative shocks and long end tends to be less sensitive to stochastic shocks than the short maturities. The expectation hypothesis of the term structure does not hold during the ZIRP period. [ABSTRACT FROM PUBLISHER]