日本量化策略：事件前夕与平衡倾向研判——利率波动、NKY关键水平及动量布局的最终核查

研报英文原文证据摘录

J P M O R G A N

Global Markets Strategy

16 September 2026

Japan Quant Strategy

Event Eve and Which Way the Balance Tips — A Final

Check on Rates Vol, NKY Key Levels, and Momentum

Positioning

Global Quantitative and Derivatives

Strategy

Masanari Takada AC

1. Sentiment & Positioning – Tug-of-war between interest

rates and share prices

With key events about to kick off in Japan and the US, the Tokyo market displayed

an even more cautious stance today (Sept 16). After the FOMC meeting in the US

on the 17th (3:00 a.m. Japan time), a cabinet reshuffle is set to take place, followed

by the Bank of Japan (BoJ)’s policy announcement and a press conference by BoJ

Governor Ueda on the 18th. Because share prices and interest rates can fluctuate

depending on the decisions made and statements coming out of these events, for

the time being it appears that many investors are waiting to see how the market

reacts before making any moves, rather than acting based on pre-event forecasts.

In the Japanese market, a gradual shift toward domestic demand-oriented/

defensive stocks has been ongoing since the beginning of September. Once

these events have concluded, the focus will be on whether this trend continues or

if there will be renewed buying interest in foreign demand-oriented/Momentum

stocks, which have undergone a correction over the past few months. At present,

both scenarios appear to be evenly matched, but we believe the ultimate direction

will be determined by a combination of US stock prices and US interest rates.

Stock sentiment is stuck in the neutral zone both in Japan and overseas. While

global stock prices have held up well and stock price volatility has remained

relatively stable, rising long-term interest rates have continued to weigh on the

market (Figure 1). In Japan as well, the real 10-year bond yield, using BEI, is

accelerating in positive territory, and caution over additional monetary tightening

has not receded.

In relation to Japanese stock sentiment, while the US 10-year treasury yield shows

an inverse correlation and the S&P 500 and SOX indices show a positive

correlation, the impact of JGB yields is not uniformly one-directional (Figure 3).

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