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Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not …
Persistent link: https://www.econbiz.de/10010294592
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International Stock Return Predictability Under Model Uncertainty
Schrimpf, Andreas - 2008
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10010298059
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Market efficiency and international linkage of stock prices: An analysis with high-frequency data
Tsutsui, Yoshiro; Hirayama, Kenjiro - 2004
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...
Persistent link: https://www.econbiz.de/10010332406
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Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not …
Persistent link: https://www.econbiz.de/10009750238
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The Accuracy of Press Reports Regarding the Foreign Exchange Interventions of the Bank of Japan
Frenkel, Michael; Pierdzioch, Christian; Stadtmann, Georg - 2002
conducted by the Bank of Japan (BoJ) between January 1995 and December 1999. We find that the reports of interventions in the …
Persistent link: https://www.econbiz.de/10010260509
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Market efficiency and international linkage of stock prices : an analysis with high-frequency data
Tsutsui, Yoshirō (contributor);  … - 2004 - [Elektronische Ressource]
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...
Persistent link: https://www.econbiz.de/10002428035
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Momentum in Japan : The Exception that Proves the Rule
Asness, Clifford S. - 2011
- Japan. The failure of momentum in Japan has led some to call into question momentum's viability, suggesting that perhaps … momentum strategies are strongly negatively correlated, they need to be studied as a system. We show that the results in Japan … statistical noise. Viewed as a system, we show momentum strategies are actually a success in Japan. In sum, we find the Japanese …
Persistent link: https://www.econbiz.de/10013128943
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Performance of Technical Trading Systems in the Yen/Dollar Market
Schulmeister, Stephan - 2011
The study investigates the profitability of 1024 moving average and momentum models and their components in the yen/dollar market. It turns out that all models would have been profitable between 1976 and 1999. The pattern of profitability is as follows. The models produce more single losses than...
Persistent link: https://www.econbiz.de/10013132461
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Securities Transaction Tax and Market Efficiency : Evidence from the Japanese Experience
Liu, Shinhua - 2010
surrounding the April 1989 changes in tax rates on securities transactions and capital gains in Japan. We find significant … decreases in estimates of the first-order autocorrelation in returns for Japanese stocks listed in Japan, but no changes for …
Persistent link: https://www.econbiz.de/10013138505
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Transaction Costs and Price Volatility : New Evidence from the Tokyo Stock Exchange
Liu, Shinhua - 2010
We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the …
Persistent link: https://www.econbiz.de/10013138506