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International linkages of the Japanese stock market

  • Chong, Terence Tai-Leung
  • Wong, Ying-Chiu
  • Yan, Isabel Kit-Ming

Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead-lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session can be used to formulate profitable strategies to trade in Nikkei.

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File URL: http://www.sciencedirect.com/science/article/pii/S0922-1425(07)00026-6
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Article provided by Elsevier in its journal Japan and the World Economy.

Volume (Year): 20 (2008)
Issue (Month): 4 (December)
Pages: 601-621

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Handle: RePEc:eee:japwor:v:20:y:2008:i:4:p:601-621
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505557

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  17. Fatemi, Ali M. & Park, Jinwoo, 1996. "Seasonal patterns in Japanese ADR returns and the US stock market influence," Japan and the World Economy, Elsevier, vol. 8(1), pages 65-79, March.
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