Market Conditions and Calendar Anomalies in Japanese Stock Returns
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DOI: 10.1007/s10690-018-9263-4
Abstract: This study revisits calendar anomalies in Japanese stock returns to examine whether they can be explained by market conditions. Results of the OLS and GARCH (1,1) regression models show that most of the well-known calendar… read more here.
Keywords: calendar anomalies; stock returns; market; japanese stock ... See more keywords
Modeling Trading Behavior in the Japanese Stock Market During QE Tapering and Post-QE Exit
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DOI: 10.1007/s10690-019-09272-6
Abstract: This study investigates the trading dynamics between institutional, foreign and retail investors during QE and post-QE exit in the Japanese stock market. A theoretical framework is developed to classify all transactions into trading, short-selling or… read more here.
Keywords: foreign retail; tapering post; post exit; japanese stock ... See more keywords