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Analysis of the Time Series Characteristics of Intraday Momentum on the Tokyo Stock Exchange

Author

Listed:
  • HUIXING JIN

    (Graduate School of Economics, Osaka University)

Abstract

This research analyzed the time-series characteristics of intraday momentum in the market returns of the Tokyo Stock Exchange,using the TOPIX index.Specifically,the study confirmed that,apart from the financial crisis in 2008,events such as the Great East Japan Earthquake and the COVID-19 shock also significantly impacted the intraday momentum of the Tokyo Stock Exchange.Additionally,the study identified the existence of calendar effects in the intradaymomentum of the Tokyo Stock Exchange,notably observed statistically on trading days before weekends or after long holidays.

Suggested Citation

  • Huixing Jin, 2023. "Analysis of the Time Series Characteristics of Intraday Momentum on the Tokyo Stock Exchange," Discussion Papers in Economics and Business 23-11, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:2311
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    File URL: http://www2.econ.osaka-u.ac.jp/econ_society/dp/2311.pdf
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    More about this item

    Keywords

    Stock market; Momentum; Market return;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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