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Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

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Cited by:

  1. David Abad & Roberto Pascual, 2010. "Switching To A Temporary Call Auction In Times Of High Uncertainty," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 45-75, March.
  2. Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J. M., 2007. "The Impact of Overnight Periods on Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(2), pages 517-533, June.
  3. Gourieroux, Christian & Le Fol, Gaëlle, 1997. "Modes de négociation et caractéristiques de marché," CEPREMAP Working Papers (Couverture Orange) 9714, CEPREMAP.
  4. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Uno, Jun & Yuferova, Darya, 2017. "Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods," SAFE Working Paper Series 144, Leibniz Institute for Financial Research SAFE, revised 2017.
  5. Thomas George & Chuan-Yang Hwang & Tavy Ronen, 2010. "Bootstrap refinements in tests of microstructure frictions," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 47-70, July.
  6. Yamori, Nobuyoshi, 1998. "Does international trading of stocks decrease pricing errors? Evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 413-432, December.
  7. Olfa Benouda Sioud & Dorra Mezzez Hmaied, 2002. "The Impact of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market," Working Papers 0222, Economic Research Forum, revised 01 Aug 2002.
  8. Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
  9. Silvio John Camilleri & Christopher J. Green, 2009. "The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 257-284.
  10. Rapheedah Musneh & Mohd. Rahimie Abdul Karim & Caroline Geetha A/P Arokiadasan Baburaw, 2021. "Liquidity risk and stock returns: empirical evidence from industrial products and services sector in Bursa Malaysia," Future Business Journal, Springer, vol. 7(1), pages 1-10, December.
  11. Patricia Chelley‐Steeley, 2005. "Noise and the Trading Mechanism: the Case of SETS," European Financial Management, European Financial Management Association, vol. 11(3), pages 387-424, June.
  12. Torben G. Anderson & Tim Bollerslev & Ashish Das, 1998. "Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment," NBER Working Papers 6666, National Bureau of Economic Research, Inc.
  13. Jie-Haun Lee & Ji-Chai Lin, 1995. "Volatility And Liquidity At Nyse Opening Calls: A Closer Look," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 479-493, December.
  14. Muravyev, Dmitriy & Ni, Xuechuan (Charles), 2020. "Why do option returns change sign from day to night?," Journal of Financial Economics, Elsevier, vol. 136(1), pages 219-238.
  15. Shin S. Ikeda, 2015. "Illiquidity in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers 15-04, National Graduate Institute for Policy Studies.
  16. Goodfellow, Christiane & Bohl, Martin T. & Gebka, Bartosz, 2009. "Together we invest? Individual and institutional investors' trading behaviour in Poland," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 212-221, September.
  17. Rosita P. Chang & Shuh‐Tzy Hsu & Nai‐Kuan Huang & S. Ghon Rhee, 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1‐2), pages 137-170, January.
  18. Christian Gouriéroux & Gaëlle Le Fol, 1998. "Effet des modes de négociation sur les échanges," Revue Économique, Programme National Persée, vol. 49(3), pages 795-808.
  19. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017. "Coming early to the party," SAFE Working Paper Series 182, Leibniz Institute for Financial Research SAFE.
    • Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
  20. G. Mujtaba Mian & Christopher M. Adam, 2000. "Does More Market-Wide Information Originate While an Exchange is Open: Some Anomalous Evidence from the ASX," Australian Journal of Management, Australian School of Business, vol. 25(3), pages 339-352, December.
  21. Yoshiro Tsutsui & Kenjiro Hirayama & Takahiro Tanaka & Nobutaka Uesugi, 2007. "Special Quotes Invoke Autocorrelation in Japanese Stock Prices," Asian Economic Journal, East Asian Economic Association, vol. 21(4), pages 369-386, December.
  22. Takatoshi Ito & Richard K. Lyons & Michael T. Melvin, 1996. "Is There Private Information in the FX Market? The Tokyo Experiment," Working Papers _005, University of California at Berkeley, Haas School of Business.
  23. IKEDA Shin Suke, 2017. "Illiquidity in the Japan Electric Power Exchange," Discussion papers 17122, Research Institute of Economy, Trade and Industry (RIETI).
  24. Sanjeev Dewan & Haim Mendelson, 1998. "Information Technology and Time-Based Competition in Financial Markets," Management Science, INFORMS, vol. 44(5), pages 595-609, May.
  25. Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High‐Frequency Data," The Japanese Economic Review, Japanese Economic Association, vol. 61(2), pages 175-201, June.
  26. Lin, Wen-Ling, 1995. "Market closure and predictability of intradaily stock returns in the United States and Japan," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 19-44, March.
  27. Fatima Sol Murta, 2007. "The Money Market Daily Session :an UHF-GARCH Model Applied to the Portuguese Case Before and After the Introduction Of the Minimum Reserve System of the Single Monetary Policy," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(3), pages 285-314.
  28. Patricia Chelley-Steeley, 2001. "Opening Returns, Noise, And Overreaction," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(4), pages 513-521, December.
  29. Geoffrey Booth, G. & Ciner, Cetin, 1997. "International transmission on information in corn futures markets," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 175-187, October.
  30. Bu, Ruijun & Fu, Xi & Jawadi, Fredj, 2019. "Does the volatility of volatility risk forecast future stock returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 16-36.
  31. Frino, Alex & McInish, Thomas H. & Toner, Martin, 1998. "The liquidity of automated exchanges: new evidence from German Bund futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 225-241, December.
  32. Gau, Yin-Feng & Hua, Mingshu, 2007. "Intraday exchange rate volatility: ARCH, news and seasonality effects," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 135-158, March.
  33. Naik, Narayan Y. & Yadav, Pradeep K., 2004. "Trading costs of public investors with obligatory and voluntary market-making: Evidence from market reforms," CFR Working Papers 04-06, University of Cologne, Centre for Financial Research (CFR).
  34. Kenjiro Hirayama & Yoshiro Tsutsui, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High Frequency Data," Discussion Papers in Economics and Business 03-04, Osaka University, Graduate School of Economics.
  35. Juan C. Reboredo, 2012. "The switch from continuous to call auction trading in response to a large intraday price movement," Applied Economics, Taylor & Francis Journals, vol. 44(8), pages 945-967, March.
  36. Allan Hodgson & Bart Van Praag, 2006. "Information trading by corporate insiders based on accounting accruals: forecasting economic performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(5), pages 819-842, December.
  37. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
  38. Reint Gropp & Arjan Kadareja, 2012. "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1117-1149, September.
  39. Xu, Liao & Yin, Xiangkang, 2017. "Does ETF trading affect the efficiency of the underlying index?," International Review of Financial Analysis, Elsevier, vol. 51(C), pages 82-101.
  40. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, vol. 160(1), pages 272-279, January.
  41. Chelley-Steeley, Patricia L., 2008. "Market quality changes in the London Stock Market," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2248-2253, October.
  42. Chang, Rosita P. & Ghon Rhee, S. & Soedigno, Susatio, 1995. "Price volatility of Indonesian stocks," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 337-355, July.
  43. Bremer, Marc & Hiraki, Takato, 1999. "Volume and individual security returns on the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 351-370, August.
  44. Cem Mehmet Baydur & Bora Suslu & Selahattin Bekmez, 2005. "Monetary Policy Analysis for Turkey in a Game Theoretical Perspective," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(29), pages 39-64.
  45. Kim, Sang W. & Rogers, John H., 1995. "International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 117-133, June.
  46. Coppejans, Mark & Domowitz, Ian, 1997. "Noise In the Price Discovery Process: A Comparison of Periodicand Continuous Auctions," Working Papers 97-04, Duke University, Department of Economics.
  47. Gary Tian & Mingyuan Guo, 2007. "Interday and intraday volatility: Additional evidence from the Shanghai Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 28(3), pages 287-306, April.
  48. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
  49. Semenov, Andrei, 2015. "The small-cap effect in the predictability of individual stock returns," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 178-197.
  50. Sandip Dutta & Subhash C Sharma, 2012. "Daytime vs. Overnight Trading in Equity Index Futures Markets," Accounting and Finance Research, Sciedu Press, vol. 1(2), pages 1-13, November.
  51. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 627-658.
  52. Xinhui Yang & Jie Zhang & Qing Ye, 2020. "Tick size and market quality: Simulations based on agent‐based artificial stock markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(3), pages 125-141, July.
  53. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  54. Tse, Yiuman, 1999. "Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1831-1860, December.
  55. Theobald, Michael & Yallup, Peter, 2005. "Intradaily volatility and adjustment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 407-424, December.
  56. Xu, Cheng Kenneth, 2000. "The microstructure of the Chinese stock market," China Economic Review, Elsevier, vol. 11(1), pages 79-97.
  57. Hee-Joon Ahn, 2014. "Does Trading by Small Investors Improve or Deteriorate Price Efficiency? Evidence from the Minimum Trade Unit Changes on the Korea Exchange," IJFS, MDPI, vol. 2(2), pages 1-17, May.
  58. Tsutsui, Yoshiro, 2003. "Stock prices in Japan rise at night," Japan and the World Economy, Elsevier, vol. 15(4), pages 391-406, December.
  59. M. Hasan Eken, 2005. "A Risk and Profitability Approach to Bank Performance Measurement: The Case of Turkish Commercial Banks," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(29), pages 15-38.
  60. Comerton-Forde, Carole & Rydge, James, 2006. "The influence of call auction algorithm rules on market efficiency," Journal of Financial Markets, Elsevier, vol. 9(2), pages 199-222, May.
  61. Webb, Robert I., 1995. "Futures trading in less 'noisy' markets," Japan and the World Economy, Elsevier, vol. 7(2), pages 155-173, July.
  62. Husam RJOUB & Irfan CIVCIR & Nil Gunsel RESATOGLU, 2017. "Micro and Macroeconomic Determinants of Stock Prices: The Case of Turkish Banking Sector," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 150-166, March.
  63. Sioud Olfa Benouda & Mezzez Hmaied Dorra, 2003. "The Effects of Automation on Liquidity, Volatility, Stock Returns and Efficiency: Evidence from the Tunisian Stock Market," Review of Middle East Economics and Finance, De Gruyter, vol. 1(2), pages 43-56, August.
  64. Silvio John Camilleri & Christopher J. Green, 2004. "The Impact of the Suspension of Opening and Closing Call," Finance 0411012, University Library of Munich, Germany.
  65. Güray Kucukkocaoglu, 2005. "Single-Price Auction System for the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(29), pages 65-79.
  66. Hu, Shing-yang, 2006. "A simple estimate of noise and its determinant in a call auction market," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 348-362.
  67. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
  68. Lars Norden, 1994. "Daily distribution of Swedish OMX-index returns over intraday-to-intraday time intervals," Finnish Economic Papers, Finnish Economic Association, vol. 7(1), pages 3-16, Spring.
  69. Dey, Malay K. & Wang, Chaoyan, 2012. "Return spread and liquidity: Evidence from Hong Kong ADRs," Research in International Business and Finance, Elsevier, vol. 26(2), pages 164-180.
  70. Li, Zeguang & Hou, Keqiang & Zhang, Chao, 2021. "The impacts of circuit breakers on China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  71. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
  72. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y.K., 2005. "Adverse selection, brokerage coverage, and trading activity on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1483-1508, June.
  73. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  74. Anagnostidis, Panagiotis & Kanas, Angelos & Papachristou, George, 2015. "Information revelation in the Greek exchange opening call: Daily and intraday evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 167-184.
  75. George, Thomas J & Hwang, Chuan-Yang, 2001. "Information Flow and Pricing Errors: A Unified Approach to Estimation and Testing," Review of Financial Studies, Society for Financial Studies, vol. 14(4), pages 979-1020.
  76. FERROUHI, El Mehdi & EZZAHID, Elhadj, 2013. "Trading mechanisms, return’s volatility and efficiency in the Casablanca Stock Exchange," MPRA Paper 77322, University Library of Munich, Germany.
  77. Lee, Jie-Haun & Chou, Robin K., 2004. "The intraday stock return characteristics surrounding price limit hits," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 485-501.
  78. Ronen, Tavy, 1998. "Trading structure and overnight information: A natural experiment from the Tel-Aviv Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 489-512, May.
  79. Weiyu Kuo & Yu‐Ching Li, 2011. "Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets," International Review of Finance, International Review of Finance Ltd., vol. 11(4), pages 417-444, December.
  80. Harrison Hong & Jiang Wang, 2000. "Trading and Returns under Periodic Market Closures," Journal of Finance, American Finance Association, vol. 55(1), pages 297-354, February.
  81. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
  82. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
  83. Agarwalla, Sobhesh Kumar & Pandey, Ajay, 2012. "Whether Cross-Listing, Stock-specific and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data," IIMA Working Papers WP2012-11-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
  84. Chan, K. C. & Fong, Wai-Ming & Kho, Bong-Chan & Stulz, ReneM., 1996. "Information, trading and stock returns: Lessons from dually-listed securities," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1161-1187, August.
  85. Miyakoshi, Tatsuyoshi & Tsukuda, Yoshihiko & Shimada, Junji, 2016. "Magnitudes of Market Inefficiency: Theory and Application," Japan and the World Economy, Elsevier, vol. 39(C), pages 23-36.
  86. Cai, Jun & Hamao, Yasushi & Ho, Richard Y.K., 2008. "Tick size change and liquidity provision for Japanese stock trading near [yen sign]1000," Japan and the World Economy, Elsevier, vol. 20(1), pages 19-39, January.
  87. Comerton-Forde, Carole, 1999. "Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 495-521, December.
  88. Ikeda, Shin S., 2019. "Illiquidity in the Japan electric power exchange," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 16-39.
  89. Rosita P. Chang & Shuh-Tzy Hsu & Nai-Kuan Huang & S. Ghon Rhee, 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 137-170.
  90. Eldor, Rafi & Hauser, Shmuel & Pilo, Batia & Shurki, Itzik, 2006. "The contribution of market makers to liquidity and efficiency of options trading in electronic markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2025-2040, July.
  91. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
  92. Bruno Biais & Denis Hilton & Karine Mazurier & Sébastien Pouget, 2005. "Judgemental Overconfidence, Self-Monitoring, and Trading Performance in an Experimental Financial Market," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(2), pages 287-312.
  93. Camilleri, Silvio John & Galea, Francelle, 2019. "The Determinants of Securities Trading Activity: Evidence from four European Equity Markets," MPRA Paper 95298, University Library of Munich, Germany.
  94. Harris, Milton & Raviv, Artur, 1993. "Differences of Opinion Make a Horse Race," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 473-506.
  95. Carole Comerton-Forde & James Rydge & Hayley Burridge, 2007. "Not all call auctions are created equal: evidence from Hong Kong," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 395-413, November.
  96. Shin S. Ikeda, 2013. "An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers 12-22, National Graduate Institute for Policy Studies.
  97. Shastri, Karen A. & Shastri, Kuldeep & Sirodom, Kulpatra, 1995. "Trading mechanisms and return volatility: An empirical analysis of the stock exchange of Thailand," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 357-370, July.
  98. Dhillon, Upinder S. & Lasser, Dennis J. & Watanabe, Taiji, 1997. "Volatility, information, and double versus walrasian auction pricing in US and Japanese futures markets," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 1045-1061, July.
  99. Chang, Rosita P. & Rhee, S. Ghon & Stone, Gregory R. & Tang, Ning, 2008. "How does the call market method affect price efficiency? Evidence from the Singapore Stock Market," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2205-2219, October.
  100. Lang, Larry H. P. & Lee, Yi Tsung, 1999. "Performance of various transaction frequencies under call markets: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 23-39, February.
  101. Chan, Kalok & Chockalingam, Mark & Lai, Kent W. L., 2000. "Overnight information and intraday trading behavior: evidence from NYSE cross-listed stocks and their local market information," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 495-509, December.
  102. Delphine Lautier & Fabrice Riva, 2008. "The determinants of volatility on the American crude oil futures market," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 32(2), pages 105-122, June.
  103. Chelley-Steeley, Patricia, 2009. "Price synchronicity: The closing call auction and the London stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 777-791, December.
  104. Hiraki, Takato & Maberly, Edwin D., 1995. "Are preholiday returns in Tokyo really anomalous? If so, why?," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 93-111, May.
  105. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Ho, Richard Y. K., 2002. "The components of the bid-ask spread in a limit-order market: evidence from the Tokyo Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 9(4), pages 399-430, November.
  106. Ahn, Hee-Joon & Cai, Jun & Hamao, Yasushi & Melvin, Michael, 2014. "Little guys, liquidity, and the informational efficiency of price: Evidence from the Tokyo Stock Exchange on the effects of small investor participation," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 163-181.
  107. Chelley-Steeley, Patricia, 2005. "Explaining volatility and serial correlation in opening and closing returns: A study of the FT-30 components," Global Finance Journal, Elsevier, vol. 16(1), pages 1-15, August.
  108. Chow, Edward H. & Lee, Jie-Haun & Shyy, Gang, 1996. "Trading mechanisms and trading preferences on a 24-hour futures market: A case study of the Floor/GLOBEX switch on MATIF," Journal of Banking & Finance, Elsevier, vol. 20(10), pages 1695-1713, December.
  109. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
  110. Hebner, Kevin J. & Park, Young S., 1995. "The loss compensation practice of Japanese securities companies," Japan and the World Economy, Elsevier, vol. 7(3), pages 263-290, September.
  111. Lauterbach, B. & Wohl, A., 2001. "A note on price noises and their correction process: Evidence from two equal-payoff government bonds," Journal of Banking & Finance, Elsevier, vol. 25(3), pages 597-612, March.
  112. Guler Aras & Alovsat Muslumov, 2005. "Institutional Investors and Stock Market Development: A Causality Study," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 8(29), pages 1-14.
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