The present study analysed Japan's stock market by modelling habit formation and durable effects in consumption, based on data from income quintile groups. The sample period for the empirical research was January 1971 through December 1993. Results of this analysis revealed that durable effects...

This paper has two purposes: it introduces the econometric methods used to analyze time series data with general frequency and presents a framework for analyzing economic variables that are measured daily; this special case is then applied to the trading volume of stock markets.

Booth and Ciner (2001) find that the prices of commodity futures traded on the Tokyo Grain Exchange (TGE) do not move together in the long run. This study analyses whether their empirical results remain true for a more recent period. The empirical results suggest that the cointegrating relation...

The Dojima Rice Market in Osaka was the first futures market in the world, and an influential role model for modern futures markets. This study examines the efficiency of the original futures market by applying time‐series analysis to data on futures prices from Japan's Tokugawa era...

Although many studies have investigated market efficiency of spot and futures prices, that among futures with different maturities has not been studied extensively. In this study, market efficiency and unbiasedness among such futures are defined and the concept of “consistently efficient (or...

(GEM) based on the dynamic equicorrelation of trading volume and stock returns. We find that the hot IPO effect ends after two years with the imbalance between demand and supply for GEM stock relieved, which indicates that the rational learning process requires almost two years for most...

Purpose – To provide an alternative channel of investigation of comovement in four large European equity markets over a sample period of nearly 30 years. Design/methodology/approach – The paper adopts a two stage methodological approach. In the first instance, the interaction between the...