「救日元」的代价：日股会重演两年前的大跌吗？

Original Author: Zhao Ying

Source: Wall Street Sights

Will the Japanese stock market repeat the August 2024 crash?

Global investors still remember the crash two years ago.From July to August 2024, the TOPIX fell 24% from its historic high, triggered by the dollar-yen exchange rate plummeting from 162 yen to 143 yen in less than a month, combined with the Bank of Japan's unexpected interest rate hike and weaker-than-expected US non-farm payroll data. This convergence of multiple negative factors sent a market heavily weighted in long positions on exporters and financial stocks into a tailspin. Now, as the yen continues to weaken, market concerns are returning.

According to Bruce Kirk, an analyst on Goldman Sachs' Japan equity strategy team, the current macro environment facing the yen is fundamentally different from two years ago, and the conditions for a rapid yen appreciation are significantly weaker. However, equity market positioning is more crowded, with foreign net buying, hedge fund allocation ratios, and retail margin balances all exceeding or significantly higher than levels seen in July 2024. The probability of a flash crash in the exchange rate has decreased, but in the event of an unexpected shock to the AI narrative or geopolitics, the Japanese stock market is actually more fragile than it was two years ago.

The core of this assessment lies in: If the risk stems from the yen, the problem has never been the starting or ending point of the exchange rate, but the speed of its movement. From January to March 2025, the dollar-yen rate gradually fell from 158 to 147, yet the TOPIX rose 5% over the same period. In contrast, the crash in July 2024 was precisely triggered by a chain reaction from the yen rapidly strengthening by 11% in just three weeks. Currently, the market has hardly priced in any sudden yen strengthening—the 1-month implied volatility for the dollar-yen is relatively low—meaning that if it does happen, the impact will be greater.

The Real Mechanism of the 2024 Crash: Not the Exchange Rate, but a Chain Reaction of Stop-Losses

Reconstructing the internal logic of that crash is far more complex than the surface explanation of a "yen appreciation hurting exporter profits."

Phase 1 (July 11 to end of month): A weaker-than-expected US CPI and yen intervention led to an initial decline in exporter-related sectors. The TOPIX banking index barely moved during this period and even rose 5% on July 31st, the day the Bank of Japan announced its rate hike.

Phase 2 (July 31 to August 5) was the real massacre. The Bank of Japan's rate hike was more hawkish than expected, followed by the collapse of US non-farm payroll data on August 2nd. These two independent negative narratives converged within 48 hours. Banking stocks plummeted 27% from the peak on the rate hike day to August 5th, completely reversing the market's underlying long/short bias—going long on exporters and financials while shorting domestic defensive stocks.

Ultimately, after the single-day crash on August 5th, the TOPIX rebounded 23% from its low by September 3rd. The speed of the rebound itself is telling: this was more of a stop-loss triggered liquidity crisis rather than a fundamental re-pricing of the Japanese stock market.

The Logic for a Weaker Yen is More Robust Than in 2024

The "perfect storm" that caused the yen to reverse course two years ago—expectations of larger-than-expected Fed rate cuts, a surprisingly hawkish BOJ rate hike, and yen intervention—is currently not in place to happen simultaneously.

The logic driving the current yen weakness has already shifted. Before 2024, the US-Japan real interest rate differential well explained the dollar-yen trend. However, since the LDP's defeat in the 2025 upper house election and the rise of the Takaichi Sanae administration, the market has begun to doubt Japan's fiscal sustainability. The economic stimulus plan has pushed JGB yields higher, but this increase primarily reflects a widening of the term premium on Japanese government bonds relative to US Treasuries, rather than a narrowing of the US-Japan yield spread. The 10-year JGB yield has approached 3%, sparking discussion about potential repatriation of Japan's pension assets. However, the mainstream view is that if this process is gradual and well-telegraphed, it is unlikely to trigger a crash like the one in 2024.

Goldman Sachs' G10 FX strategy team has revised its 3-month, 6-month, and 12-month dollar-yen forecasts up to 162, 163, and 165 respectively (previously 160, 158, 155), citing "higher-for-longer US rates, low recession risk, Japanese fiscal concerns, and the BOJ's extremely slow rate hike path, all of which support continued depreciation pressure on the yen."

Based on CFTC positioning data, speculative net short positions in the yen are close to July 2024 levels. But the difference this time is that the market has already priced in yen weakness—whereas the July 2024 crash occurred precisely because the market had not priced in a sudden yen strengthening at all.

Japanese Equity Positioning is More Crowded and Concentrated Than Two Years Ago

Macro conditions favor a weaker yen, but equity market fragility is quietly accumulating.

Quantitatively: The TOPIX and Nikkei 225 are 37% and 53% higher, respectively, compared to July 11, 2024. Net foreign buying has seen an inflow of approximately 14.8 trillion yen since Liberation Day (April 2025), with current net foreign positions over 20% higher than before the July 2024 crash. Retail margin loan balances are 35% higher than in July 2024, nearing a five-year high. Goldman Sachs' prime services data shows that the total/net allocation of hedge funds to Japan as a percentage of their global portfolio is at the 99th and 98th percentiles, respectively, over the past five years.

Structurally: The TOPIX's gains this year are highly concentrated—many constituent stocks are still trading below their 200-day moving average, but the index is being driven higher by banks, steel/non-ferrous metals, electronics/precision instruments, and AI-related exporters. The Nikkei/TOPIX ratio (NT ratio) expanded to an 18x historical high in June this year. The median valuation of AI-related stocks within the TOPIX is nearly double that of non-AI stocks. This mirrors the exact structure seen before the July 2024 crash: a widespread portfolio bias of going long on exporters and financials while shorting domestic defensive stocks.

If an unexpected shock occurs, this structure implies that selling will propagate quickly and be very difficult to hedge in time.

The Real Tail Risk: Collapse of the AI Narrative or a Geopolitical Black Swan

The probability of a yen-driven flash crash itself is lower than in 2024. A more noteworthy risk comes from another direction: any event that shakes the global AI growth narrative—such as the sell-off triggered by DeepSeek in Q1 2025—or a geopolitical shock significant enough to undermine the narrative of "robust US-led global growth" would expose the currently crowded AI-related positions to a situation similar to that of exporter stocks in 2024.

Two years ago, the crash was later characterized by many overseas investors as a "Japan-specific problem." But at this moment, the Japanese stock market embodies a highly concentrated expression of the global AI theme, with both foreign and retail positions at historic highs. If the narrative reverses, the fallout might not be confined to Japan.