Similar Search Results

The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets

Öztek, Mehmet Fatih; Öcal, Nadir - In: Empirical economics : a journal of the Institute for … 50 (2016) 2, pp. 317-360

Persistent link: https://www.econbiz.de/10011453995

Value premium and implied equity duration in the Japanese stock market

Fukuta, Yuichi; Yamane, Akiko - In: Journal of international financial markets, … 39 (2015), pp. 102-121

Persistent link: https://www.econbiz.de/10011475648

On the Long-Run Holding Returns of Japanese Stocks : Individual Stocks vs. Portfolios

Kubota, Keiichi - 2010

We investigate the long-run holding returns of the stocks listed on eight Japanese stock exchanges with weekly return data from 1977 through 2007. We find existence of significant positive autocorrelations for the smallest and the middle quintile portfolios from the variance ratio test, but not...

Persistent link: https://www.econbiz.de/10013138973

Comparing dynamic and static performance indexes in the stock market : evidence from Japan

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Asia Pacific financial markets 29 (2022) 2, pp. 171-193

Persistent link: https://www.econbiz.de/10013260054

International stock return co-movements and trading activity

Sheng, Xin; Brzeszczyński, Janusz; Ibrahim, Boulis Maher - In: Finance research letters 23 (2017), pp. 12-18

Persistent link: https://www.econbiz.de/10011808297

Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model

Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014304236

Implied equity duration : lessons from the Japanese financial crises

Fukuta, Yuichi; Yamane, Akiko - 2024

Persistent link: https://www.econbiz.de/10015046884

Foreign investors, rebalancing trades, and increases in U.S.-Japan stock market correlations

Imai, Hiroyuki; Kim, Jong-Min - In: Applied economics 56 (2024) 47, pp. 5634-5649

Persistent link: https://www.econbiz.de/10015051126

Financial insights from the last few components of a stock market PCA

Yang, Libin; Rea, William; Rea, Alethea - In: International Journal of Financial Studies : open … 5 (2017) 3, pp. 1-12

We show that the last few components in the principal component analysis of the correlation matrix of a group of stocks may contain useful financial insights by identifying highly correlated pairs or larger groups of stocks. The results of this type of analysis can easily be included in the...

Persistent link: https://www.econbiz.de/10011759755

Impending doom : the loss of diversification before a crisis

Yang, Libin; Rea, William; Rea, Alethea - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-13

We present four methods of assessing the diversification potential within a stock market, and two of these are based on … consistent picture. The potential for diversification declined almost monotonically in the three years prior to the 2008 …, the diversification potential declined even further in the 2011 European debt crisis and the American credit downgrade. …

Persistent link: https://www.econbiz.de/10011760308