Analysis of the Time Series Characteristics of Intraday Momentum on the Tokyo Stock Exchange

Huixing Jin ()
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Huixing Jin: Graduate School of Economics, Osaka University

No 23-11, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: This research analyzed the time-series characteristics of intraday momentum in the market returns of the Tokyo Stock Exchange,using the TOPIX index.Specifically,the study confirmed that,apart from the financial crisis in 2008,events such as the Great East Japan Earthquake and the COVID-19 shock also significantly impacted the intraday momentum of the Tokyo Stock Exchange.Additionally,the study identified the existence of calendar effects in the intradaymomentum of the Tokyo Stock Exchange,notably observed statistically on trading days before weekends or after long holidays.

Keywords: Stock market; Momentum; Market return (search for similar items in EconPapers)
JEL-codes: G14 G17 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2023-11
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