Noise Traders and Cultural Factors: The Japanese Rokuyo Effect Evidence Implications For Investor Sentiment Induced Return Anomalies

14 Pages Posted: 31 May 2012

See all articles by Edwin D. Maberly

Edwin D. Maberly

Monash University

Raylene M. Pierce

Deakin University

Takato Hiraki

Tokyo University of Science - School of Management

Date Written: May 21, 2012

Abstract

This paper examines unique cultural features associated with the Japanese calendar known as rokuyo, which classifies days into six categories of varying levels of favorable/unfavorable sentiment days. Prior to the internationalization of Japanese financial markets in the early 1980s, rokuyo has a significant impact on both daily trading volume and returns. Thereafter it impact is greatly diminished. This research is consistent with prior studies that cultural factors and superstition affect investment decisions. The results support the hypothesis that noise trading induced return patterns, in general are not persistent over time. Anecdotal evidence is presented supporting the hypothesis investor sentiment influences equity prices through buying and selling pressure induced by dynamic money flow patterns precipitated by the evolutionary nature of financial markets. Additional evidence is provided by examination of the U.S. Monday effect and a proxy for mutual fund money flows over the period 1970-2011.

Keywords: Japan, rokuyo, cultural factors, investor sentiment, anomalies

JEL Classification: G11, G12, G14, G15

Suggested Citation

Maberly, Edwin D. and Pierce, Raylene M. and Hiraki, Takato, Noise Traders and Cultural Factors: The Japanese Rokuyo Effect Evidence Implications For Investor Sentiment Induced Return Anomalies (May 21, 2012). Available at SSRN: https://ssrn.com/abstract=2063396 or http://dx.doi.org/10.2139/ssrn.2063396

Edwin D. Maberly (Contact Author)

Monash University ( email )

Clayton Campus
Wellington Road
Clayton, VIC 3800
Australia
61399055178 (Phone)

Raylene M. Pierce

Deakin University ( email )

75 Pigdons Road
Victoria, Victoria 3216
Australia

Takato Hiraki

Tokyo University of Science - School of Management ( email )

6-3-1 NiiJuku Katsushika-Ku
Tokyo, 125-8585
Japan
+81-480-21-7611 (Phone)
+81-480-21-7654 (Fax)

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