The Impact of Stocks Listed on the Tokyo Stock Exchange After the Enforcement of Basel II

摘要

Macro Prudential policies, which international organizations and the central bank in each countries focus on, prevent financial markets from being panicked. The Basel Capital Accord is one of such macro Prudential policies. Before and after the enforcement of Basel II, we analyze the impact of (1) expected daily return, (2) beta risk, and (3) market liquidity, for stocks listed on the Tokyo Stock Exchange. This paper is revealed that the market liquidity is declined and the beta risk is increased after Basel II is implemented.