You had the idea down correctly, but here's a different approach:
Sub TYEX()
Dim ie As Object
Set ie = CreateObject("InternetExplorer.Application")
With ie
.navigate "https://www.jpx.co.jp/markets/public/short-selling/index.html"
.Visible = True
Do While .Busy Or .readyState < 4
DoEvents
Loop
Dim doc As Object, tbl As Object
Set doc = .document
Set tbl = doc.getElementsByClassName("component-normal-table")(0).Children(0)
Dim r As Long, xlsArr(), a As Object
With tbl.Rows
ReDim xlsArr(1 To .Length - 1)
For r = 1 To .Length - 1 ' 0 is the table header
xlsArr(r) = .Item(r).Children(1).innerHTML
Next r
End With
With CreateObject("VBScript.RegExp")
.Pattern = "<a href=""(\/markets.*?\.xls)"
For r = 1 To UBound(xlsArr)
xlsArr(r) = "https://www.jpx.co.jp" & .Execute(xlsArr(r))(0).SubMatches(0)
Debug.Print xlsArr(r)
Next
End With
End With
'Add to sheet
Dim ws As Worksheet, rng As Range
Set ws = ThisWorkbook.Worksheets(1)
With ws
Set rng = .Range(.Cells(NextRow(ws), 1), .Cells(NextRow(ws) + UBound( _
xlsArr) - 1, 1))
rng.Value = Application.Transpose(xlsArr)
End With
End Sub
Public Function NextRow(ByVal ws As Worksheet, Optional ByVal col As Variant = 1) As Long
With ws
NextRow = .Cells(.Rows.Count, col).End(xlUp).Row + 1
End With
End Function
Breaking Down the Code
This will loop your html table rows. We start at 1, because 0 is actually just the table header.
With tbl.Rows
ReDim xlsArr(1 To .Length - 1)
For r = 1 To .Length - 1 ' 0 is the table header
xlsArr(r) = .Item(r).Children(1).innerHTML
Next r
End With
This uses regular expressions to extract the url from the innerHTML property. You can see how this particular regex works here: Regex101
With CreateObject("VBScript.RegExp")
.Pattern = "<a href=""(\/markets.*?\.xls)"
For r = 1 To UBound(xlsArr)
xlsArr(r) = "https://www.jpx.co.jp" & .Execute(xlsArr(r))(0).SubMatches(0)
Debug.Print xlsArr(r)
Next
End With
You will size your range to be the same size as your array that contains the links, then write the array to the worksheet. This is usually much faster than writing cells one-by-one.
'Add to sheet
Dim ws As Worksheet, rng As Range
Set ws = ThisWorkbook.Worksheets(1)
With ws
Set rng = .Range(.Cells(NextRow(ws), 1), .Cells(NextRow(ws) + UBound( _
xlsArr) - 1, 1))
rng.Value = Application.Transpose(xlsArr)
End With