This paper examines whether the stock split bubble in Japan burst by not only reformed system, but also Livedoor-shock. It is difficult to identify the effects of the both events, because they occurred in the same month (January, 2006). Thus, I identify both effects by dividing the samples into...

This study experimentally investigates the interaction between firmfs information acquisition choice and mandatory disclosure in the presence of proprietary costs. The results demonstrate that mandatory disclosure diminishes firmfs incentive to acquire industry-wide demand information when...

Under the Financial Instruments and Exchange Act, the managers of an IPO firm are not allowed to sell their own shares for a certain time period after the IPO, which is well known as the lockup period. We examine whether the first fiscal year end of an IPO firm lies before the expiration date of...

This study develops a new model-free benchmark of implied volatility for the Japanese stock market similar in construction to the new VIX based on the S&P 500 index. It also examines the stochastic dynamics of the implied volatility index and its relationship with realized volatility in both...

In this paper we analyze return and volatility spillovers during overlapping trading hours between China (Shanghai Composite Index) and Japan (Nikkei 225 Index) using intraday high-frequency data. We first adjusted the 5-min. returns for intraday periodicity with Flexible Fourier Form (FFF)....

We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index...

This paper examines how the informational efficiency of the Japanese stock markets changed with the introduction of ETFs(Exchange-Traded Funds) by looking at the arbitrage relationships between cash and futures of the Nikkei225. This paper is unique in that it uses tick data, which enable me to...

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

We assess the IMF supported program on the structural reforms after the Asian crisis in 1997 in terms of the before-after, with-without and event study approaches with applying a time varying parameter model to the nine Asian stock markets. All the supported countries except for Thailand (...

This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...