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23 May 2013
Flash: In the Nikkei of time - Nomura
FXstreet.com (Barcelona) - Nomura Strategist Saeed Amen has taken a look at the impact of large daily Nikkei downmoves on USD/JPY.
He recently noted about how bullish equity flows can be bearish for the yen and indeed the rise in the Nikkei over the past few months has been very rapid and has been accompanied by a very large move in USD/JPY higher. Amen further continued his analysis of equities, but this time analysing today's fall in the Nikkei index, which was one of the largest in recent history.
He first did an event study looking at previous falls, assessing what the impact was on USD/JPY in the very short term and found that generally on the day of large Nikkei falls USD/JPY has also tended to decline, although the result was not as strong as he would have expected. He also discovered that in the following week, there has also been a tendency for USD/JPY spot to fall slightly, suggesting some element of follow through. he finishes by writing, “However, we find a much stronger result for subsequent Nikkei moves and find that it tends to rise on the vast majority of occasions in the following week.”
He recently noted about how bullish equity flows can be bearish for the yen and indeed the rise in the Nikkei over the past few months has been very rapid and has been accompanied by a very large move in USD/JPY higher. Amen further continued his analysis of equities, but this time analysing today's fall in the Nikkei index, which was one of the largest in recent history.
He first did an event study looking at previous falls, assessing what the impact was on USD/JPY in the very short term and found that generally on the day of large Nikkei falls USD/JPY has also tended to decline, although the result was not as strong as he would have expected. He also discovered that in the following week, there has also been a tendency for USD/JPY spot to fall slightly, suggesting some element of follow through. he finishes by writing, “However, we find a much stronger result for subsequent Nikkei moves and find that it tends to rise on the vast majority of occasions in the following week.”