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International linkages of the Japanese stock market

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

Abstract

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.

Suggested Citation

  • Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, vol. 20(4), pages 601-621, December.
  • Handle: RePEc:eee:japwor:v:20:y:2008:i:4:p:601-621
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    References listed on IDEAS

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    Cited by:

    1. Elif Akben & Gökhan Özertan & Aslýhan D. Spaulding, 2008. "Are the Asian Equity Markets more Interdependent after the Financial Crisis?," Economics Bulletin, AccessEcon, vol. 6(16), pages 1-7.

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