Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market
1991; Wiley; Volume: 46; Issue: 5 Linguagem: Inglês
10.2307/2328572
ISSN1540-6261
Autores Tópico(s)Financial Markets and Investment Strategies
ResumoThe Journal of FinanceVolume 46, Issue 5 p. 1765-1789 Article Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market YAKOV AMIHUD, YAKOV AMIHUDSearch for more papers by this authorHAIM MENDELSON, HAIM MENDELSONYakov Amihud is from the Leonard N. Stern Graduate School of Business, New York University, New York 10006, and Faculty of Management, Tel-Aviv University, Tel Aviv, Israel. Haim Mendelson is from the Graduate School of Business, Stanford University, Stanford, CA 94305–5015. We acknowledge partial support by the Japan-U.S. Center for Business and Economics Studies at New York University, by the Business School Trust Faculty Fellowship at Stanford University, and by Apple Computer. We thank the Tokyo Stock Exchange for providing the data and Jun Shimizu for his help. We thank the anonymous referee and René Stulz, the Editor, for their helpful suggestions, and Edgar Gorres and Noam Mendelson for programming assistance.Search for more papers by this author YAKOV AMIHUD, YAKOV AMIHUDSearch for more papers by this authorHAIM MENDELSON, HAIM MENDELSONYakov Amihud is from the Leonard N. Stern Graduate School of Business, New York University, New York 10006, and Faculty of Management, Tel-Aviv University, Tel Aviv, Israel. Haim Mendelson is from the Graduate School of Business, Stanford University, Stanford, CA 94305–5015. We acknowledge partial support by the Japan-U.S. Center for Business and Economics Studies at New York University, by the Business School Trust Faculty Fellowship at Stanford University, and by Apple Computer. We thank the Tokyo Stock Exchange for providing the data and Jun Shimizu for his help. We thank the anonymous referee and René Stulz, the Editor, for their helpful suggestions, and Edgar Gorres and Noam Mendelson for programming assistance.Search for more papers by this author First published: December 1991 https://doi.org/10.1111/j.1540-6261.1991.tb04643.xCitations: 135 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL ABSTRACT We study the joint effect of the trading mechanism and the time at which transactions take place on the behavior of stock returns using data from Japan. The Tokyo Stock Exchange employs a periodic clearing procedure twice a day, at the opening of both the morning and the afternoon sessions. This enables us to discern the effect of the clearing mechanism from the effect of the overnight trading halt. While the periodic clearing at the beginning of the trading day is noisy and inefficient, the midday clearing transaction appears to be no worse than the two closing transactions. REFERENCES Amihud, Yakov and Haim Mendelson, 1985, An integrated computerized trading system, In Y. Amihud, T. Ho, and R. Schwartz, eds.: Market Making and the Changing Structure of the Securities Industry, (Lexington Books, Lexington, MA). Amihud, Yakov and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223– 249. Amihud, Yakov and Haim Mendelson, 1987a, Trading mechanisms and stock returns: An empirical investigation, Journal of Finance 42, 533– 553. Amihud, Yakov and Haim Mendelson, 1987b, Are trading rule profits feasible?, Journal of Portfolio Management, Fall, 77–78. Amihud, Yakov and Haim Mendelson, 1988, Liquidity, volatility and exchange automation, Journal of Accounting, Auditing and Finance 3, 369– 395. Amihud, Yakov and Haim Mendelson, 1989a, The effects of beta, bid-ask spread, residual risk and size on stock returns, Journal of Finance 44, 479– 486. Amihud, Yakov and Haim Mendelson, 1989b, Market microstructure and price discovery in the Tokyo Stock Exchange, Japan and the World Economy 1, 341– 370. Amihud, Yakov and Haim Mendelson, 1990, How (not) to integrate the European capital markets, In A. Giovaninni and C. Mayer, eds.: European Financial Integration, (Cambridge University Press, Cambridge, MA), 73– 99. Amihud, Yakov and Haim Mendelson, 1991, Liquidity, maturity and the yields on U.S. treasury securities, Journal of Finance 46, 1411– 1425. Amihud, Yakov, Haim Mendelson, and Maurizio Murgia, 1990, Stock market microstructure and return volatility: Evidence from Italy, Journal of Banking and Finance 14, 423– 440. Barclay, Michael J., Robert H. Litzenberger, and Jerold B. Warner, 1990, Private information, trading volume, and stock return variances, Review of Financial Studies 3, 233– 253. Black, Fischer, 1986, Noise, Journal of Finance 41, 529– 543. Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383– 417. French, Kenneth R. and Richard Roll, 1986, Stock returns and variances: The arrival of information and the reaction of traders, Journal of Financial Economics 17, 5– 26. Garbade, Kenneth D. and William Silber, 1979, Structural organization of secondary markets: Clearing frequency, dealer activity and liquidity risk, Journal of Finance 34, 577– 593. Harris, Lawrence, 1986, A transaction data study of weekly and intradaily patterns in stock returns, Journal of Financial Economics 16, 99– 117. Harris, Lawrence, 1989, A day-end transaction price anomaly, Journal of Financial and Quantitative Analysis 24, 29– 45. Lockwood, Larry J. and Scott C. Linn, 1990, An examination of stock market return volatility during overnight and intraday periods, 1964–1989, Journal of Finance 45, 591– 601. Mendelson, Haim, 1982, Market behavior in a clearing house, Econometrica 50, 1505– 1524. Mendelson, Haim, 1985, Random competitive exchange: Price distributions and gains from trade, Journal of Economic Theory 37, 254– 280. Mendelson, Haim, 1987, Consolidation, fragmentation and market performane, Journal of Financial and Quantitative Analysis 22, 189– 207. Roll, Richard, 1984, A simple implicit measure of the bid/ask spread in an efficient market, Journal of Finance 39, 1127– 1139. Stoll, Hans R. and Robert E. Whaley, 1990, Stock market structure and volatility, Review of Financial Studies 3, 37– 71. Wood, Robert A., Thomas H. McInish and J. Keith Ord, 1985, An investigation of transactions data for NYSE stocks, Journal of Finance 40, 723– 739. Citing Literature Volume46, Issue5December 1991Pages 1765-1789 ReferencesRelatedInformation
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