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Volume and individual security returns on the Tokyo Stock Exchange

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  • Bremer, Marc
  • Hiraki, Takato

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  • 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.
    • Handle: RePEc:eee:pacfin:v:7:y:1999:i:3-4:p:351-370
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    References listed on IDEAS

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    1. Conrad, Jennifer S & Hameed, Allaudeen & Niden, Cathy, 1994. "Volume and Autocovariances in Short-Horizon Individual Security Returns," Journal of Finance, American Finance Association, vol. 49(4), pages 1305-1329, September.
    2. Hamao, Yasushi & Hasbrouck, Joel, 1995. "Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 849-878.
    3. Atkins, Allen B. & Dyl, Edward A., 1990. "Price Reversals, Bid-Ask Spreads, and Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 535-547, December.
    4. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    5. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(4), pages 905-939.
    6. Amihud, Yakov & Mendelson, Haim, 1991. "Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-1789, December.
    7. Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
    8. Kim, O & Verrecchia, Re, 1991. "Trading Volume And Price Reactions To Public Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 29(2), pages 302-321.
    9. Bremer, Marc & Kato, Kiyoshi, 1996. "Trading Volume for Winners and Losers on the Tokyo Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 127-142, March.
    10. Bruce N. Lehmann and David M. Modest., 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Research Program in Finance Working Papers RPF-234, University of California at Berkeley.
    11. Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 1-28.
    12. 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.
    13. Bremer, Marc & Hiraki, Takato & Sweeney, Richard J., 1997. "Predictable Patterns after Large Stock Price Changes on the Tokyo Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(3), pages 345-365, September.
    14. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. "Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-181, March.
    15. Conrad, Jennifer & Kaul, Gautam & Nimalendran, M., 1991. "Components of short-horizon individual security returns," Journal of Financial Economics, Elsevier, vol. 29(2), pages 365-384, October.
    16. He, Hua & Wang, Jiang, 1995. "Differential Information and Dynamic Behavior of Stock Trading Volume," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 919-972.
    17. Kim, Kenneth & Rhee, S Ghon, 1997. "Price Limit Performance: Evidence from the Tokyo Stock Exchange," Journal of Finance, American Finance Association, vol. 52(2), pages 885-899, June.
    18. Cox, Don R & Peterson, David R, 1994. "Stock Returns Following Large One-Day Declines: Evidence on Short-Term Reversals and Longer-Term Performance," Journal of Finance, American Finance Association, vol. 49(1), pages 255-267, March.
    19. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-168, February.
    20. Amihud, Yakov & Mendelson, Haim, 1989. "Market microstructure and price discovery on the Tokyo Stock Exchange," Japan and the World Economy, Elsevier, vol. 1(4), pages 341-370, November.
    21. Park, Jinwoo, 1995. "A Market Microstructure Explanation for Predictable Variations in Stock Returns following Large Price Changes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(2), pages 241-256, June.
    22. Lehmann, Bruce N & Modest, David M, 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Journal of Finance, American Finance Association, vol. 49(3), pages 951-984, July.
    23. Bremer, Marc & Sweeney, Richard J, 1991. "The Reversal of Large Stock-Price Decreases," Journal of Finance, American Finance Association, vol. 46(2), pages 747-754, June.
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    Cited by:

    1. Ding, David K. & McInish, Thomas H. & Wongchoti, Udomsak, 2008. "Behavioral explanations of trading volume and short-horizon price patterns: An investigation of seven Asia-Pacific markets," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 183-203, June.
    2. Zolotoy, L., 2008. "Empirical essays on the information transfer between and the informational efficiency of stock markets," Other publications TiSEM 2a2652c6-1060-4622-8721-8, Tilburg University, School of Economics and Management.
    3. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 312-329.
    4. Bo Li & Qian Sun & Changyun Wang, 2014. "Liquidity, Liquidity Risk and Stock Returns: Evidence from Japan," European Financial Management, European Financial Management Association, vol. 20(1), pages 126-151, January.
    5. Stuart M. Locke & Kartick Gupta, 2007. "The performance of entrepreneurial companies post-listing on the New Zealand Stock Exchange," Venture Capital, Taylor & Francis Journals, vol. 10(1), pages 87-110, May.
    6. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
    7. Hearn, Bruce, 2011. "Size and liquidity effects in Japanese regional stock markets," Journal of the Japanese and International Economies, Elsevier, vol. 25(2), pages 157-181, June.
    8. Iihara, Yoshio & Kato, Hideaki Kiyoshi & Tokunaga, Toshifumi, 2004. "The winner-loser effect in Japanese stock returns," Japan and the World Economy, Elsevier, vol. 16(4), pages 471-485, December.
    9. Chang, Yuk Ying & Faff, Robert & Hwang, Chuan-Yang, 2010. "Liquidity and stock returns in Japan: New evidence," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 90-115, January.
    10. Ramiah, Vikash & Cheng, Ka Yeung & Orriols, Julien & Naughton, Tony & Hallahan, Terrence, 2011. "Contrarian investment strategies work better for dually-traded stocks: Evidence from Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 140-156, January.

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