News and Market Efficiency in the Japanese Stock Market

Wenti Du

Journal of Behavioral Finance, 2021, vol. 22, issue 3, 306-319

Abstract: Economists have debated whether market reactions to news depart from the predictions of the efficient market hypothesis (EMH). This article uses the sentiment index and the surprise index from the Thomson Reuters MarketPsych Indices and an ARCH model to investigate the reactions of the return of the Nikkei 225 closing price to different types of news between January 5, 1998 and December 29, 2017, and whether those responses are consistent with the predictions of the EMH. Three sub-periods during the full sample are identified, and the market reactions to the news are then examined and compared among the sub-periods.

Date: 2021
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/15427560.2020.1774886

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