Short-Term Market Efficiency in the Futures Markets: Topix Futures and 10-Year Jgb Futures

Posted: 19 Dec 2005

See all articles by Joel Rentzler

Joel Rentzler

City University of New York (CUNY) - Baruch College

Kishore Tandon

CUNY Baruch College - Zicklin School of Business

Susana Yu

Iona College

Abstract

This paper examines the effect of the past price information on the two major futures contracts traded on the Tokyo Stock Exchange: the TOPIX futures and the 10-year JGB futures. The unique 90-minute lunch break on the exchange creates two mini-sessions in each calendar-trading day. This paper compares these contracts between the morning and afternoon sessions. In addition, percentage-returns and tick-size-returns are used to measure the intraday price movements following past price performance. These futures contracts present evidence of short-term market inefficiency over the period 1994 to 2003.

Keywords: Index Futures, Overreaction, Market Efficiency

JEL Classification: G14

Suggested Citation

Rentzler, Joel and Tandon, Kishore and Yu, Susana, Short-Term Market Efficiency in the Futures Markets: Topix Futures and 10-Year Jgb Futures. Global Finance Journal, 2006. Available at SSRN: https://ssrn.com/abstract=871066

Joel Rentzler

City University of New York (CUNY) - Baruch College ( email )

17 Lexington Avenue
New York, NY 10010
United States

Kishore Tandon

CUNY Baruch College - Zicklin School of Business ( email )

55 Lexington Avenue
New York, NY 10010
United States
(646) 312-3468 (Phone)
(646) 312-3451 (Fax)

Susana Yu (Contact Author)

Iona College ( email )

715 North Avenue
New Rochelle, NY 10801
United States

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