Vliv makroekonomických faktorů a sentimentu investorů na japonský akciový trh v 21. století

The thesis examines the influence of macroeconomic factors and investor sentiment on the development of the Japanese stock market in the 21st century. Market development is approximated by the quarterly logarithmic growth of the Nikkei 225 index. The theoretical part characterizes the Japanese stock market, the Tokyo Stock Exchange, the Nikkei 225 index, and selected factors that may affect stock markets. The examined macroeconomic factors include real GDP growth, inflation, the M3 monetary aggregate, the JPY/USD exchange rate, and the long-term interest rate. Investor sentiment is captured using Google Search Volume, the Economic Policy Uncertainty Index, and the Consumer Confidence Index. The models also include crisis dummy variables capturing the global financial crisis, the Japanese disasters of 2011, the COVID-19 pandemic, and the initial shock associated with the Russia-Ukraine war. The empirical part uses quarterly data for the period 1Q2004–4Q2025, while the regression models, after the necessary transformations, are estimated for the period 2Q2004–4Q2025. The results show that the JPY/USD exchange rate is the most stable factor affecting the growth of the Nikkei 225 index. The importance of Google Search Volume and crisis periods was also partially confirmed. For most other macroeconomic and sentiment variables, individual statistical significance was not clearly demonstrated.