SEASONALITY EFFECTS IN JAPANESE FUTURES MARKETS

William T. Ziemba

Chapter 9 in Handbook of Applied Investment Research, 2020, pp 143-171 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This paper investigates seasonal regularities in the security price returns on the first section of the Tokyo Stock Exchange. The research uses data from the futures markets in Singapore for the Nikkei Dow 225 index and in Osaka for the Kabusaki 50 index. The questions of main concern are whether or not the seasonal anomalies observed in the spot markets are maintained, are they anticipated in the futures markets, and do the futures market anticipations alter the character of the seasonal regularity. Results are presented concerning day of the week, monthly, holiday, turn of the month and year and first half of the month effects. The conclusions are tentative because the futures markets have only a short history to date.

Keywords: Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors (search for similar items in EconPapers)
JEL-codes: G1 G11 G17 (search for similar items in EconPapers)
Date: 2020
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