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

William T. Ziemba

Chapter 11 in Handbook of Applied Investment Research, 2020, pp 187-214 from World Scientific Publishing Co. Pte. Ltd.

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.

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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