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Which institutions matter to short-term market efficiency in Japan?

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  • Wang, Anxing
  • Zhou, Jimei
  • Chen, Tao

Abstract

Recent work suggests that institutional investors play an important role in short-term market efficiency. This study provides new evidence for the prevalence of this efficiency-enhancing effect by categorizing institutions into different types: foreign institutions, financial institutions, securities companies, government and regional public authorities, and other institutions. Looking at the Japanese market, we find that the presence of institutional investors, financial institutions in particular, improves the information environment. With respect to foreign institutions, this efficiency-enhancing effect is most clearly seen in trading costs and order imbalances. Robustness checks confirm that our findings are not driven by the endogeneity and time variation of ownership structure.

Suggested Citation

  • Wang, Anxing & Zhou, Jimei & Chen, Tao, 2011. "Which institutions matter to short-term market efficiency in Japan?," Research in Economics, Elsevier, vol. 65(3), pages 164-179, September.
    • Handle: RePEc:eee:reecon:v:65:y:2011:i:3:p:164-179
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    Cited by:

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    2. Mohammad Joarder & Monir Ahmed & Tahsina Haque & Syed Hasanuzzaman, 2014. "An empirical testing of informational efficiency in Bangladesh capital market," Economic Change and Restructuring, Springer, vol. 47(1), pages 63-87, February.

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