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International linkages of the Japanese stock market

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  • 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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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

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Keywords: Japanese stock market International linkages;

References

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