WHY DID THE NIKKEI CRASH - EXPANDING THE SCOPE OF EXPECTATIONS DATA-COLLECTION

Why did the Japanese stock market lose most of its value between 1989 and 1992? To help us answer this and related questions, we have collec ted parallel time series data from market participants in both Japan a nd the United States 1989-94 on their expectations, attitudes, and the ories. Substantial variability within countries through time in these data and, notably, dramatic differences across countries in expectatio ns were found. While no unambiguous explanation of the Japanese crash emerges from the results, we do find a clear relation of the crash to changes in Japanese price expectations and speculative strategies.