SEASONALITY EFFECTS IN JAPANESE FUTURES MARKETS

William T. Ziemba
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William T. Ziemba: Yamaichi Research Institute, Tokyo, Japan and University of Tsukuba, Japan and University of British Columbia, Canada

Chapter 12 in Calendar Anomalies and Arbitrage, 2012, pp 291-319 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper investigates seasonal regularities in the security price returns on the first section of the Tokyo Stock Exchange. The research uses data from the futures markets in Singapore for the Nikkei Dow 225 index and in Osaka for the Kabusaki 50 index. The questions of main concern are whether or not the seasonal anomalies observed in the spot markets are maintained, are they anticipated in the futures markets, and do the futures market anticipations alter the character of the seasonal regularity. Results are presented concerning day of the week, monthly, holiday, turn of the month and year and first half of the month effects. The conclusions are tentative because the futures markets have only a short history to date.

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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