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Author : Shoichi Mizusawa
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (243 download)
Download or read book The Relationship Between Trading Volume and Returns in the Japanese Equity Market written by Shoichi Mizusawa and published by . This book was released on 1993 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fumiko Takeda
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)
Download or read book Google Search Intensity and Its Relationship with Returns and Trading Volume of Japanese Stocks written by Fumiko Takeda and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relationship between online search intensity and stock-trading behavior in the Japanese market. The search intensity is measured by the search volume of company names on Google, which is expected to be related to the aggregate stock purchasing behavior of individual investors. Our sample consists of 189 stocks included in the Nikkei 225 and searched between 2008 and 2011. We find correlations with search intensity that are strongly positive for trading volume and weakly positive for stock returns. Our results are consistent with the notion that the increase of search activity is associated with increases of trading activity, but the probability that this increase of trading raises stock prices is not high, probably because of the fact that our sample period includes major negative economic shocks such as the 2008 world financial crisis and the 2011 Great East Japan Earthquake; also, the presence of individual investors, whose online search activity is expected to be well-associated with stock trading, is smaller in Japan than in the U.S.
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260216
Total Pages : 428 pages
Book Rating : 4.2/5 (262 download)
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author : Mr.Jun Nagayasu
Publisher : International Monetary Fund
ISBN 13 : 145185627X
Total Pages : 24 pages
Book Rating : 4.4/5 (518 download)
Download or read book The Efficiency of the Japanese Equity Market written by Mr.Jun Nagayasu and published by International Monetary Fund. This book was released on 2003-07-01 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH). The result is valid for all sample periods, suggesting that the recent equity market reform has not produced major efficiency gains.
Author : Yasushi Hamao
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (318 download)
Download or read book Living with the "enemy" written by Yasushi Hamao and published by . This book was released on 2000 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Takatoshi Itō
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book Price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets written by Takatoshi Itō and published by . This book was released on 1993 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.
Author : Louis Gagnon
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Information, Trading Volume and International Stock Market Comovements written by Louis Gagnon and published by . This book was released on 2010 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using intraday prices for the Samp;P 500 and Nikkei Stock Average and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in those markets. We frame our analysis in the context of the equilibrium models of trading developed by Campbell, Grossman and Wang (1993) and Blume, Easley and O?Hara (1994) which predict that trading volume acts as a signal of the information content of a given price move. While we find that there exists significant short-run dependence in returns and volatility between Japan and the U.S., we offer new evidence that these return quot;spilloversquot; are sensitive to interactions with trading volume in both markets. The cross-market effects with volume are revealed in both close-to-open and open-to-close returns and often exhibit non-linearities which are not predicted by theory.
Author : Stijn Claessens
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4./5 ( download)
Download or read book The Cross-section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Takato Hiraki
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.E/5 ( download)
Download or read book An Analysis of Japanese Stock Return Dynamics Conditional on U.S. Monday Holiday Closures written by Takato Hiraki and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Louis Kuo Chi Chan
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)
Download or read book Fundamentals and Stock Returns in Japan written by Louis Kuo Chi Chan and published by . This book was released on 1990 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michiro Naito
Publisher : John Wiley & Sons
ISBN 13 : 1119603668
Total Pages : 197 pages
Book Rating : 4.1/5 (196 download)
Download or read book Japanese Equities written by Michiro Naito and published by John Wiley & Sons. This book was released on 2019-10-28 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: An indispensable resource for anyone wishing to understand and successfully invest in the Nikkei. Recent years have seen steady growth in investor interest in the Japanese equity market, the second largest in the world. Japanese Equities describes how the Nikkei works, explains its driving factors and presents a collection of insightful case studies to help you successfully invest in the market. Author Michiro Naito, a former equity derivatives/quantitative strategist for J.P. Morgan Securities Japan, helps you understand the ups and downs of the market and capitalise on its money-making opportunities. Already a substantial part of many equity investor portfolios, the Nikkei exhibits characteristics that respond more sensitively to global economic conditions than other developed markets. This valuable book helps you grasp the idiosyncrasies of the market and correctly time investing decisions to maximise profits. This English translation of the original Japanese book includes additional chapters discussing recent political developments that influence the Japanese economy such as the re-election of Prime Minister Shinzo Abe, the trade policies of Donald Trump (the US-China trade war) and the difference in monetary policy between the Bank of Japan and the FED. This book: Offers a simple quantitative strategy to take advantage of the cyclical trends and repeating patterns of the Nikkei to attain desirable returns Explains how derivatives instruments affect the equity market, which is seldom covered in textbooks Highlights a quantitative approach supported by solid historical back-tests Discusses fundamental and technical factors that underlie the movement of the Japanese equity market Provides insights drawn from the author’s decades-long research and experience working in the securities industry Japanese Equities: A Practical Guide to Investing in the Nikkei is a must-have text for investors, hedge fund and pension fund managers, academics, researchers and students of international finance.
Author : Mariko Fujii
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.:/5 (318 download)
Download or read book Forecasting Skewness in Stock Returns written by Mariko Fujii and published by . This book was released on 2006 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Allan William Kleidon
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.0/5 ( download)
Download or read book Comment on 'price Volatility and Volume Spillovers Between the Tokyo and New York Stock Markets' written by Allan William Kleidon and published by . This book was released on 1994 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yasushi Hamao
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (318 download)
Download or read book Idiosyncratic Risk and the Creative Destruction of Japan written by Yasushi Hamao and published by . This book was released on 2003 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dramatic rise and fall of the Japanese equity market provides a unique opportunity to examine market-and firm-specific risks over different market conditions. The price behavior of Japanese equities in the 1990s is found to resemble that of U.S. equities during the Great Depression. Both show increasing market volatility and a prolonged large co-movement in equity prices. What is unique about the Japanese case is the surprising fall in firm-level volatility and turnover in Japanese stocks after its market crash in 1990. This large decrease in firm-level volatility may have impeded Japan's capital formation process as it has become more difficult over the past decade for both investors and managers to separate high quality from low quality firms. Using data on firm performance fundamentals and corporate bankruptcies, we show that the fall in firm-level volatility and turnover in Japanese stocks could be attributed to the sharp increase in earnings homogeneity among Japanese firms and the lack of corporate restructuring.
Author : Shigeki Sakakibara
Publisher : Praeger
ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Japanese Stock Market written by Shigeki Sakakibara and published by Praeger. This book was released on 1988-09-26 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume brings together professors of finance and accounting from Japanese universities to examine the Japanese stock market in terms of its pricing and accounting systems. The papers report the results of empirical research into the Japanese stock market within the framework of new theories of finance. Academics, professionals, and anyone seeking to understand or enter the Japanese market will applaud the publication of this practical, informative volume. Having gathered data from the late 1970's through 1984, the authors analyze the market's behavior and the applicability of two major theoretical pricing models -- the Capital Asset Pricing Models and the Efficient Market Hypothesis -- to that market. Chapter 1 provides background statistical evidence on the behavior of monthly returns on Tokyo Stock Exchange common stocks. Chapter 2 discusses an empirical test of the capital asset pricing model. Chapter 3 examines evidence on the price performance of unseasoned new issues. The authors also examine the Japanese accounting disclosure system: Chapter 4 deals empirically with the information content of the annual accounting announcements and related market efficiency. The next chapter presents empirical evidence on the relationship between unsystematic returns and earnings forecast errors. Next, empirical research into the usefulness to investors of the disclosure system is examined. Finally, Chapter 7 presents several interesting questions and topics for future research on the Japanese stock market.
Author : Takatoshi Ito
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets written by Takatoshi Ito and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.
Author : W. T. Ziemba
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (318 download)
Download or read book Seasonality Effects in Japanese Futures Markets written by W. T. Ziemba and published by . This book was released on 1991 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
