Working Paper: NBER ID: w2684
Authors: Robert J. Shiller; Fumiko Konya; Yoshiro Tsutsui
Abstract: In a questionnaire survey we asked Japanese institutional investors to recall what they thought and did during the worldwide stock market crash in October, 1987. The results confirm that the drop in U. S. stock prices was the primary factor on their minds, and other news stories in the United States dominated Japanese news stories. A comparison with an earlier survey of U. 5. institutional investors at the time of the crash (Shiller [1987])shows a remarkable similarity between Japanese and U. S. institutional investors in a number of attitudinal and behavioral dimensions. The results suggest that events in the United States were the proximate cause of the crash in Japan, but that the transmission mechanism of the crash was very similar in both countries.
Keywords: Investor behavior; Stock market crash; Japan; U.S. stock market; Institutional investors
JEL Codes: G12; G14
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| U.S. stock prices drop (G10) | Japanese investors' perceptions (F31) |
| U.S. market declines (N22) | heightened anxiety among Japanese investors (F65) |
| U.S. market events (G14) | behavioral changes among Japanese investors (G41) |
| U.S. market events (G14) | Japanese investor sentiment (G41) |
| Psychological contagion of fear (C92) | anxiety levels of Japanese investors during the crash (G01) |