Hedging, IPOs and Japanese Days-of-the-Week Stock Return Patterns

Ken-ichi Tatsumi
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Ken-ichi Tatsumi: Gakushuin University, Japan

Chapter 8 in Studies on Financial Markets in East Asia, 2011, pp 121-145 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe effect of presence of such hedging tools as stock index derivatives and a margin trading on daily stock prices is considered by comparing the days-of-the-week return patterns between two Exchanges, one with hedging tools and the other without them. Nonlinear nonparametric time series analytic tools are applied and then a test by random weekly rank shuffling (RWRS) is proposed which makes it possible to carry out hypotheses testing. Investigating daily interpolated stock price indexes of Nikkei 225 and Nikkei JASDAQ Average since 1989, we show that there is a difference of the day-of-the-week effect due to the presence of stock index derivatives and it is also partly related to initial public offerings.

Keywords: Financial Market; Foreign Exchange Rate; Sub-prime Crisis; Real Estate Market; Relationship Banking; Dividend and Share; Stock Market; Government Bond; Hedging; IPO; Return; Volatility; Liquidity; Risk Attitude; Investment Behavior; Fund Managers (search for similar items in EconPapers)
Date: 2011
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