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Hedging, IPOs and Japanese Days-of-the-Week Stock Return Patterns

In: Studies On Financial Markets In East Asia

Author

Listed:
  • Ken-ichi TATSUMI

    (Gakushuin University, Japan)

Abstract

The effect of presence of such hedging tools as stock index derivatives and a margin trading on daily stock prices is considered by comparing the days-of-the-week return patterns between two Exchanges, one with hedging tools and the other without them. Nonlinear nonparametric time series analytic tools are applied and then a test by random weekly rank shuffling (RWRS) is proposed which makes it possible to carry out hypotheses testing. Investigating daily interpolated stock price indexes of Nikkei 225 and Nikkei JASDAQ Average since 1989, we show that there is a difference of the day-of-the-week effect due to the presence of stock index derivatives and it is also partly related to initial public offerings.

Suggested Citation

  • Ken-ichi TATSUMI, 2011. "Hedging, IPOs and Japanese Days-of-the-Week Stock Return Patterns," World Scientific Book Chapters, in: Masayuki Susai & Shigeru Uchida (ed.), Studies On Financial Markets In East Asia, chapter 8, pages 121-145, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814343374_0008
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