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Abstract Views: 1115
Downloads: 387
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An Analysis of Japanese Stock Return Dynamics Conditional on U.S. Monday Holiday Closures
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TAKATO HIRAKI
Kwansei Gakuin University - Business School
EDWIN D. MABERLY
Monash University
June 2000
FRB Atlanta Working Paper No. 2000-6
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Abstract:
This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative on Tuesday and anomalous; this phenomenon is known as the Japanese-Tuesday effect. One explanation for the Japanese-Tuesday effect is that there exists a cause and effect relationship with Monday returns in New York. Historically, Monday returns in New York are negative, a phenomenon known as the U.S.-Monday effect. The empirical results show that U.S. Monday closures have a significant impact on Japanese return dynamics for surrounding trading days. The empirical evidence does not support the hypothesis that the U.S.-Monday and Japanese-Tuesday effects are related. Potential explanations for the occurrence and then disappearance of the Japanese-Tuesday effect rely on microstructure properties unique to Tokyo. More recently, spillover effects from New York to Tokyo have increased in intensity, and this is attributed to the introduction of the Nikkei 225 index on the SIMEX.
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Keywords: Spillover effects, Japanese-Tuesday effect, market efficiency
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JEL Classifications: F30, G14
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Working Paper Series
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Suggested Citation
Hiraki, Takato and Maberly, Edwin D., "An Analysis of Japanese Stock Return Dynamics Conditional on U.S. Monday Holiday Closures"
(June 2000).
FRB Atlanta Working Paper No. 2000-6. Available at SSRN: http://ssrn.com/abstract=235008
or DOI: 10.2139/ssrn.235008
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Contact Information for
TAKATO
HIRAKI
(Contact Author)
Email address for TAKATO
HIRAKI
Kwansei Gakuin University - Business School
Nishinomiya 662-8501
Japan
(+81)798-54-6973 (Phone)
(+81)798-51-0903 (Fax)
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Contact Information for
EDWIN
D.
MABERLY
Email address for EDWIN
D.
MABERLY
Monash University
Clayton Campus
Wellington Road
Clayton
,VIC
3800
Australia
61399055178 (Phone)
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Jul 24, 2000 |
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