Impacts of Global Pandemics, Financial Crises, and Oil Price Shocks on Japanese Stock Market

Several financial and health crises pushed the global economy and stock market into a severe recession. Moreover, the global economic slowdown and contraction have decreased demand for crude oil, putting more pressure on stock markets. This study investigates the impacts of financial and health crisis events and oil prices on the Japanese stock market due to Japanese stock reacted to a large drop after the crisis occurred in many times. The autoregressive distributed lag (ARDL) model was adopted to find the result. Furthermore, by separating the changes in oil prices into positive and negative shocks, the short- and long-run asymmetries on the oil-stock nexus are also explored. Our findings show strong evidence of the negative impact of financial and health crisis events and oil price shocks in the short run. However, these short-run effects do not last into long-run effects. Besides, the result reveals the higher impact of a health crisis compared to a financial crisis.