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International linkages of the Japanese stock market

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Author Info

  • Chong, Terence Tai-Leung
  • Wong, Ying-Chiu
  • Yan, Isabel Kit-Ming

Abstract

Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead-lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session can be used to formulate profitable strategies to trade in Nikkei.

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File URL: http://www.sciencedirect.com/science/article/B6VF1-4P5R616-1/2/2c8bc9e5b50ff6fd77964aa17bd1fdbc
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Bibliographic Info

Article provided by Elsevier in its journal Japan and the World Economy.

Volume (Year): 20 (2008)
Issue (Month): 4 (December)
Pages: 601-621

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Handle: RePEc:eee:japwor:v:20:y:2008:i:4:p:601-621

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Web page: http://www.elsevier.com/locate/inca/505557

Related research

Keywords: Japanese stock market International linkages;

References

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  9. Goetzmann, William N. & Ivković, Zoran & Rouwenhorst, K. Geert, 2001. "Day Trading International Mutual Funds: Evidence and Policy Solutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(03), pages 287-309, September.
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  15. Connolly, Robert A. & Wang, F. Albert, 2003. "International equity market comovements: Economic fundamentals or contagion?," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 23-43, January.
  16. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-99, September.
  17. Chowdhury, Abdur R., 1994. "Stock market interdependencies: Evidence from the asian NIEs," Journal of Macroeconomics, Elsevier, vol. 16(4), pages 629-651.
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  19. Roll, R., 1989. "Price Volatility, International Market Links, And Their Implications For Regulatory Policies," Papers t10, Columbia - Center for Futures Markets.
  20. George M. von Furstenberg & Bang Nam Jeon, 1989. "International Stock Price Movements: Links and Messages," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(1), pages 125-180.
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