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Public Investment and Stock Price Returns: The Case of Japan
Tomomi Miyazaki,Kazuki Hiraga,Masafumi Kozuka 한국재정학회 2017 한국재정학회 학술대회 논문집 Vol.2017 No.-
This research examines the effects of public investment on stock price returns using the Japan’s cross-industry data. To do so, we calculate the impulse response function by local projection method. The empirical results show that public investment has a positive impact on stock price returns. We observe this mainly for manufacturing industries both in quarterly and annual data. However, the policy effects after the 1990s was not necessarily large enough to stimulate the economy. Our empirical evidence on the post high-growth era in Japan suggests that public investment has been partly useful to support the revitalization of stock market.