The Covariations of Equity Markets: An Exploration of the Nordic and the Japanese Markets
Chikashi TSUJI

Abstract
In this paper, the developments of the time-series covariations of stock returns between the Japanese equity markets and the Nordic stock markets
are empirically analyzed. We inspect the covariations by dividing sample periods into several periods that are before and after the US Lehman Shock. In this paper, it is firstly revealed that the connections of stock returns between the Japanese markets and the Nordic markets recently gradually increased. Furthermore, it is secondly clarified that right after the Lehman Shock in the US, the comovements between stock returns in Japan and those in several Nordic countries highly increased.

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