The primary aim of this paper is to examine characteristics of stocks that hit the limits listed in the Tokyo Stock … likely related to company driven upward movements. This means that price limits rules were effective in Japan in curbing …

The primary aim of this paper is to examine characteristics of stocks that hit the limits listed in the Tokyo Stock … likely related to company driven upward movements. This means that price limits rules were effective in Japan in curbing …

In 2015 the Tokyo Stock Exchange (TSE) implemented Arrowhead Renewal improvements (ARI) that reduced latency from about …

, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan's regional … stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in … Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of …

unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in …

The capital asset pricing model (CAPM) is tested using data of all available stocks in the Caracas Stock Exchange (CSE …) from 1992 to 1998. We use a multiple regression model to test several hypotheses that lead to the validation of the CAPM …. We find significant evidence to conclude that the CAPM should not be used to predict stock returns in the CSE. However …

) three factor model holds for the Indonesian Stock Exchange and more robust than CAPM in non-financial stock, in portfolio …