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Stock Split Bubble and Livedoor-Shock
Kohsaka, Youki - Graduate School of Economics, Osaka University - 2011
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
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Did the ETF enhance arbitrage between cash and futures of the Nikkei225?
Kohsaka, Youki - Graduate School of Economics, Osaka University - 2009
This paper examines how the informational efficiency of the Japanese stock markets changed with the introduction of …) the frequency of arbitrage transactions as a measures of the intensity of arbitrage activities and 4) the time during a … deviation from non-arbitrage condition for an indicator of the achieved informational efficiency. I found that the frequency and …
Persistent link: https://www.econbiz.de/10005039676
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Traditional financing and distant trades during modernization process of financial industry: a case of Yamaguchi prefecture in the 1870s
Takatsuki, Yasuo - Graduate School of Economics, Osaka University - 2007
This paper examines the efficiency of the Dojima Rice Market established in 1730 in Osaka, and closed in 1869 due to … the classic measure of market efficiency; "weak-form efficiency" were applied to Dojima Rice Market, and it is shown that … there existed these types of efficiency. …
Persistent link: https://www.econbiz.de/10005773262
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Transaction Pattern and Liquidity Parameters (in Japanese)
Hashimoto, Hisashi - Graduate School of Economics, Osaka University - 2005
This paper introduces probability which represents symmetry transaction pattern into Roll [1984] and shows that the second autocorrelation for stockfs return is not necessarily zero. Glosten/Harris [1988] considers trader who symmetrically trades as information trader. Then I examine the...
Persistent link: https://www.econbiz.de/10005773297