Speight (1997) has reported evidence of systematic asymmetric behaviour in business cycles defined by Japanese industrial production. This paper investigates whether or not this observed asymmetric behaviour can be explained by the stock market; in particular, it tests for a Granger causal relation from stock returns to industrial production. We consider threshold models to capture the asymmetric relationship between monthly Japanese industrial production growth rates and Nikkei index stock returns. We test for "steepness" in the relationship. The results provide strong evidence to support that negative returns have "steeper" effects on the business cycle than positive returns. Incorporating these findings into modelling the relationship between industrial production and the stock market will undoubtedly improve the prediction of business cycles, particularly their downturns. Since Japan is a major trading partner of many countries around the globe, the results are indeed very useful to local as well as foreign economic and business decision makers.