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Stock prices in Japan rise at night

Tsutsui, Yoshirō - In: Japan and the world economy : international journal of … 15 (2003) 4, pp. 391-406

Persistent link: https://www.econbiz.de/10001813531

Expanding the scope of expectations data collection : the US and Japanese stock markets

Shiller, Robert J.; Konya, Fumiko; Tsutsui, Yoshirō - 1992

Persistent link: https://www.econbiz.de/10000835903

Investor behavior in the October 1987 stock market crash : the case of Japan

Shiller, Robert J.; Konya, Fumiko; Tsutsui, Yoshirō - 1988

Persistent link: https://www.econbiz.de/10000757998

Special quotes invoke autocorrelation in Japanese stock prices

Tsutsui, Yoshirō; Hirayama, Kenjiro; Tanaka, Takahiro; … - In: Asian economic journal : journal of the East Asian … 21 (2007) 4, pp. 369-386

Persistent link: https://www.econbiz.de/10003632880

Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

Nishimura, Yusaku; Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Journal of the Japanese and international economies : … 35 (2015), pp. 23-42

Persistent link: https://www.econbiz.de/10011380505

Estimation of the common and country-specific shock to stock prices

Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Journal of the Japanese and international economies : … 19 (2005) 3, pp. 322-337

Persistent link: https://www.econbiz.de/10003176640

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

Approriate lag specification for daily responses of international stock markets

Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Applied financial economics 14 (2004) 14, pp. 1017-1025

Persistent link: https://www.econbiz.de/10002377754

Are international portfolio adjustments a cause of comovements in stock prices?

Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Pacific-Basin finance journal 12 (2004) 4, pp. 463-478

Persistent link: https://www.econbiz.de/10002145101

Can we make money with fifth-order autocorrelation in Japanese stock prices?

Tsutsui, Yoshirō; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005

We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals since 1997/98, which implies there is an arbitrage opportunity. Special quotes that are issued whenever there is a price jump in excess of a predetermined band seem to be the...

Persistent link: https://www.econbiz.de/10003056780