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

William T. Ziemba
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William T. Ziemba: University of British Columbia, Vancouver, BC. V6T 1Y8, Canada

Chapter 11 in Calendar Anomalies and Arbitrage, 2012, pp 263-290 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis 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: Calendar Anomalies; Arbitrage; Stock Prices; Stock Returns; US Stock Market; Futures Markets; Betting; Trading Strategies; Sports Market; Lottery Market; Capital Growth Theory; Semi-Strong Market Efficiency; Speculative Investments; Index Futures; Factor Models Based on Fundamental Anomalies; Worldwide Stock Market Strategies (search for similar items in EconPapers)
Date: 2012
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