Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan
AbstractThis article examines the pattern of autocorrelation of daily stock index returns in the Tokyo Stock Exchange (TSE) by estimating the two variants of the EGARCH model by Nelson (1991). We confirm the findings by Sentana and Wadhwani (1992) and Koutmos (1997) that stock returns exhibit positive autocorrelation when volatility is low but they exhibit negative autocorrelation when volatility is rather high, and that stock returns are more negatively autocorrelated after price declines than after price rises. Evidence is also found that an increase in margin requirements makes stock returns more positively autocorrelated, which contrasts with Sentana and Wadhwani (1992) who were unable to detect any effect of margin requirements on the autocorrelation of returns in the US stock market.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 12 (2002)
Issue (Month): 6 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- Chen, Carl R. & Su, Yuli & Huang, Ying, 2008. "Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 789-798, September.
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