Are preholiday returns in Tokyo really anomalous? If so, why?
1995; Elsevier BV; Volume: 3; Issue: 1 Linguagem: Inglês
10.1016/0927-538x(94)00026-4
ISSN1879-0585
AutoresTakato Hiraki, Edwin D. Maberly,
Tópico(s)Market Dynamics and Volatility
ResumoThis paper re-examines the pattern of stock returns surrounding Japanese holiday closures. The paper also discusses market microstructure features unique to the Tokyo Stock Exchange with holidays delineated into three distinct groups: “other” holidays, Golden Week holidays, and New Year's. Golden Week covers the period April 29 through May 5 and includes three major Japanese holidays. We find that the Japanese holiday effect is a Golden Week phenomenon. For the bulk of holidays, there is nothing unusual about preholiday returns. However, an examination of preholiday intraday returns reveals that afternoon session returns are unusually large for both “other” holidays and Golden Week holidays. Thus, in Tokyo, anomalous preholiday returns are confined to the afternoon trading session. High afternoon session returns are reversed on the postholiday, but only for “other” holidays. Empirical evidence is presented supporting the existence of asymmetric informational inefficiencies surrounding Japanese holiday closures.
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