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Volatility forecasting using related markets' information for the Tokyo stock exchange

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 90 (2020), pp. 143-158

Persistent link: https://www.econbiz.de/10012428085

How to predict the consequences of a tick value change? : evidence from the Tokyo stock exchange pilot program

Huang, Weibing; Lehalle, Charles-Albert; Rosenbaum, Mathieu - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-19

Persistent link: https://www.econbiz.de/10011715772

The stock market reaction to the 2020 Tokyo Olympics : evidence from Japanese sponsors and Taiwanese Olympic-related firms

Lu, Huei-Fu - In: International journal of sport finance 18 (2023) 3, pp. 133-149

Persistent link: https://www.econbiz.de/10014367275

Size and liquidity effects in Japanese regional stock markets

Hearn, Bruce - In: Journal of the Japanese and international economies : … 25 (2011) 2, pp. 157-181

Persistent link: https://www.econbiz.de/10009247520

Size and Liquidity Effects in Japanese Regional Stock Markets

Hearn, Bruce Allen - 2012

, as used in a multifactor CAPM. The performance of this model is contrasted using a unique sample from Japan's regional … stock exchanges, namely Sapporo, Nagoya, Fukuoka, Osaka and Tokyo. The evidence suggests that size effects are important in … Tokyo, liquidity plays a more important role in the conditional modelling of returns particularly in the smaller markets of …

Persistent link: https://www.econbiz.de/10013116478

Low-latency trading and price discovery : evidence from the Tokyo Stock Exchange in the pre-opening and opening periods

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This version: April 2017

unique dataset from the Tokyo Stock Exchange (TSE) based on server-IDs and find that HFTs dynamically alter their presence in …

Persistent link: https://www.econbiz.de/10012061992

Trading mechanisms and value-discovery : cross-national evidence and policy implications

Amihud, Yakov - In: Carnegie Rochester conference series on public policy : … 34 (1991), pp. 105-130

Persistent link: https://www.econbiz.de/10001115271

Price clustering on the Tokyo stock exchange

Aşçioǧlu, Ash; Comerton-Forde, Carole; McInish, Thomas H. - In: The financial review : the official publication of the … 42 (2007) 2, pp. 289-301

Persistent link: https://www.econbiz.de/10003629832

The financial revolution : the big bang worldwide

Hamilton, Adrian - 1986

Persistent link: https://www.econbiz.de/10004040648

Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange

Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289

Persistent link: https://www.econbiz.de/10012205614