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Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects

In: HANDBOOK OF APPLIED INVESTMENT RESEARCH

Author

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  • William T. Ziemba

Abstract

This paper investigates evidence on several seasonal regularities in the security price returns on the Tokyo Stock Exchange. The study uses data on the NSA and TOPIX market indices from 1949–88. Results are presented concerning monthly, turn-of-the-month and first-half-of-the-month, turn-of-the-year, holiday and golden week effects on the TSE.

Suggested Citation

  • William T. Ziemba, 2020. "Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 11, pages 187-214, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811222634_0011
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    Cited by:

    1. Goodell, John W. & Kumar, Satish & Rao, Purnima & Verma, Shubhangi, 2023. "Emotions and stock market anomalies: A systematic review," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).

    More about this item

    Keywords

    Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G1 - Financial Economics - - General Financial Markets

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