This study assesses the impact of the novel coronavirus disease (COVID-19) cases on the Japanese stock market. As of October 30, 2020, the cumulative number of cases in Japan has reached over one hundred thousand. COVID-19 has significantly affected both the lifestyle and the economy in Japan. First, this study develops composite stock indices by industry sector and prefecture, taking into consideration the effects of the increase in infections on industries and firms in the core prefectures. Second, this study investigates the dynamic conditional correlations between the composite stock index returns and the increment in COVID-19 cases using dynamic conditional correlation multivariate GARCH models. Finally, it can contribute to financial research in terms of coexistence of regional business economies with COVID-19.

本研究评估了新型冠状病毒病 (COVID-19) 病例对日本股市的影响。截至2020年10月30日，日本累计病例已超十万。COVID-19 对日本的生活方式和经济都产生了重大影响。首先，本研究按行业部门和州制定了综合股票指数，同时考虑了感染增加对核心州的行业和企业的影响。其次，本研究使用动态条件相关多变量 GARCH 模型研究综合股票指数收益与 COVID-19 案例增量之间的动态条件相关性。最后，它可以在区域商业经济与 COVID-19 共存方面为金融研究做出贡献。