The Relationship Between Trading Volume and Returns in the Japanese Equity Market PDF Download
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Author: Shoichi Mizusawa
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 88
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Author: Shoichi Mizusawa
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 88
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Author: Fumiko Takeda
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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This paper examines the relationship between online search intensity and stock-trading behavior in the Japanese market. The search intensity is measured by the search volume of company names on Google, which is expected to be related to the aggregate stock purchasing behavior of individual investors. Our sample consists of 189 stocks included in the Nikkei 225 and searched between 2008 and 2011. We find correlations with search intensity that are strongly positive for trading volume and weakly positive for stock returns. Our results are consistent with the notion that the increase of search activity is associated with increases of trading activity, but the probability that this increase of trading raises stock prices is not high, probably because of the fact that our sample period includes major negative economic shocks such as the 2008 world financial crisis and the 2011 Great East Japan Earthquake; also, the presence of individual investors, whose online search activity is expected to be well-associated with stock trading, is smaller in Japan than in the U.S.
Author: Mr.Jun Nagayasu
Publisher: International Monetary Fund
ISBN: 145185627X
Category : Business & Economics
Languages : en
Pages : 24
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Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH). The result is valid for all sample periods, suggesting that the recent equity market reform has not produced major efficiency gains.
Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
ISBN: 0226260216
Category : Business & Economics
Languages : en
Pages : 428
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Book Description
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author: Yasushi Hamao
Publisher:
ISBN:
Category :
Languages : en
Pages : 88
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Author: Takatoshi Itō
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 52
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Book Description
This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the U.S. and Japanese stock markets by using intradaily data from October 1985 to December 1991. By examining the effect of foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to distinguish between the market contagion and informational efficiency hypotheses in order to explain the cause of international transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns across these two markets are significant and tend to increase during a high volatility period, which support the informational efficiency hypothesis; (2) lagged volatility and volume spillovers are not found across the two markets; (3) the effect of the New York stock returns on the Tokyo returns exhibits a structural change in October 1987.
Author: Louis Gagnon
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Using intraday prices for the Samp;P 500 and Nikkei Stock Average and aggregate trading volume for the New York and Tokyo Stock Exchanges, we show how short-run comovements between national stock market returns vary over time in a way related to the trading volume and liquidity in those markets. We frame our analysis in the context of the equilibrium models of trading developed by Campbell, Grossman and Wang (1993) and Blume, Easley and O?Hara (1994) which predict that trading volume acts as a signal of the information content of a given price move. While we find that there exists significant short-run dependence in returns and volatility between Japan and the U.S., we offer new evidence that these return quot;spilloversquot; are sensitive to interactions with trading volume in both markets. The cross-market effects with volume are revealed in both close-to-open and open-to-close returns and often exhibit non-linearities which are not predicted by theory.
Author: Mariko Fujii
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
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Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Author: Takato Hiraki
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 30
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