Strategy switching in the Japanese stock market

Ryuichi Yamamoto () and Hideaki Hirata ()

Journal of Economic Dynamics and Control, 2013, vol. 37, issue 10, 2010-2022

Abstract: This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the buy-side and sell-side professionals use either fundamental or trend-following strategies throughout their expectation formation processes and that they switch between fundamental and trend-following strategies over time. We also discuss that strategy switching can be key in understanding the persistent deviation of the TOPIX from the fundamentals.

Keywords: Strategy switching; Agent-based modeling; Survey data; Expectations; Japanese stock market (search for similar items in EconPapers)
JEL-codes: G12 G17 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:37:y:2013:i:10:p:2010-2022

DOI: 10.1016/j.jedc.2013.05.006

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