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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...
Persistent link: https://www.econbiz.de/10009323619
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...
Persistent link: https://www.econbiz.de/10005039676
Persistent link: https://www.econbiz.de/10000447208