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New evidence on determinants of price momentum in the Japanese stock market

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  • Teplova, Tamara
  • Mikova, Evgeniya

Abstract

We investigate the cross section momentum effect in the Japanese stock market over the period January 1997 to December 2013, sub-periods before August 2008 and during the crisis September 2008–2009. From previous studies, it follows that the Japanese market is the exception to the findings on developed capital markets (momentum effect does not occur or is weak). Our study highlights the limitation of standard notions; we document the conditional nature of momentum and identify the characteristics of companies and their stocks and market states, allowing investors to earn positive momentum profit in the Japanese market (the statistically significant positive monthly return of zero cost portfolios is not less than 1%). It is shown that investors should take into account the seasonal pattern (for the Japanese stocks this revealed two months when we do not recommend taking investment activity) to increase portfolio profits. We explain the results from the specifics of the Japanese financial and governance systems, the ownership structure of listed Japanese firms and socio-cultural factors.

Suggested Citation

  • Teplova, Tamara & Mikova, Evgeniya, 2015. "New evidence on determinants of price momentum in the Japanese stock market," Research in International Business and Finance, Elsevier, vol. 34(C), pages 84-109.
  • Handle: RePEc:eee:riibaf:v:34:y:2015:i:c:p:84-109
    DOI: 10.1016/j.ribaf.2014.12.001
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    References listed on IDEAS

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    Cited by:

    1. Zaremba, Adam & Szyszka, Adam, 2016. "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 546-564.
    2. repec:eee:phsmap:v:493:y:2018:i:c:p:301-310 is not listed on IDEAS

    More about this item

    Keywords

    Cross section momentum effect; Long-short portfolios; Seasonal effect; Size and value effects; Japanese stock market; Japanese financial system; Ownership structure;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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