Download or read book Econometric Analysis of Intra daily Trading Activity on Tokyo Stock Exchange written by Luc Bauwens and published by . This book was released on 2005 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Econometric Analysis of Intra Daily Activity on Tokyo Stock Exchange written by Luc Bauwens and published by . This book was released on 2005 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze statistically inter-trade durations of four stocks listed on the Tokyo Stock Exchange in 2003. We find that these data display the usual stylized facts (intra-daily seasonality clustering and overdispersion) found for similar data of the New York Stock Exchange, but with some differences. We also estimate autoregressive conditional duration models for fitting the durations. We find that, like for comparable data of the NYSE, some models fit in a satisfactory way the dynamic properties of the durations, but do not always fit well the conditional distribution of the data.

Download or read book An Econometric Analysis of Intra daily Stock Market Liquidity Volatility and News Impacts written by Axel Groß-Klußmann and published by . This book was released on 2012 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary and Economic Studies written by and published by . This book was released on 2006 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Reform and Price Discovery at the Tokyo Stock Exchange From 1990 to 2012 written by K. Kubota and published by Springer. This book was released on 2015-04-30 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last two decades the Tokyo Stock Exchange implemented several important reforms in regulations, market trading mechanisms, and IT trading systems. In this book we analyze the impact of the evolution of the Tokyo Stock Exchange (TSE), at the same time discussing reforms in stock trading by related accounting standards and legal regulations. With daily stock return and market microstructure data, we analyze how these reforms have significantly influenced the pricing structure and price discovery process of traded stocks, as well as the trading style of institutional investors, individual investors, and high frequency traders. The research methodology we employ is primarily standard market microstructure tests as well as methods used in conventional empirical financial economics. We simultaneously use the most relevant concepts in these fields for our empirical tests and provide a comprehensive picture of trading, price discovery, pricing structure, and public vs. private information dissemination.

Download or read book Econometric Modelling of Stock Market Intraday Activity written by Luc Bauwens and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 25 years, applied econometrics has undergone tremen dous changes, with active developments in fields of research such as time series, labor econometrics, financial econometrics and simulation based methods. Time series analysis has been an active field of research since the seminal work by Box and Jenkins (1976), who introduced a gen eral framework in which time series can be analyzed. In the world of financial econometrics and the application of time series techniques, the ARCH model of Engle (1982) has shifted the focus from the modelling of the process in itself to the modelling of the volatility of the process. In less than 15 years, it has become one of the most successful fields of 1 applied econometric research with hundreds of published papers. As an alternative to the ARCH modelling of the volatility, Taylor (1986) intro duced the stochastic volatility model, whose features are quite similar to the ARCH specification but which involves an unobserved or latent component for the volatility. While being more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous applications in the modelling of volatility and more particularly in the econometric part of option pricing formulas. Although modelling volatil ity is one of the best known examples of applied financial econometrics, other topics (factor models, present value relationships, term structure 2 models) were also successfully tackled.

Download or read book Bank of Japan Monetary and Economic Studies written by and published by . This book was released on 2006 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forecasting Skewness in Stock Returns written by Mariko Fujii and published by . This book was released on 2006 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Microstructure of the Yen dollar Foreign Exchange Market written by Takatoshi Itō and published by . This book was released on 2004 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper establishes several intra-day patterns of the high-frequency exchange rate behavior, using the firm bid-ask quote, transaction of the EBS data set. First, the activity of quote and transactions is high in the beginning hours of the three major currency markets -- Tokyo, London, and New York and low during the Tokyo and London lunch hours and late afternoon in New York. Second, a new observation is obtained in that activity does not increase toward the end of business hours in the three major markets, even during the closing hours of New York on Friday. Third, an average bid-ask spread is narrow (wide), when quote and deal frequencies are high (low, respectively), except the beginning hour of Tokyo (GMT 0), when the bid-ask spread is wide despite high levels of activity.

Download or read book Trading and Liquidity on the Tokyo Stock Exchange written by Bruce Neal Lehmann and published by . This book was released on 1994 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Structure and Liquidity on the Tokyo Stock Exchange written by Bruce Neal Lehmann and published by . This book was released on 1994 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Reform and Price Discovery at the Tokyo Stock Exchange From 1990 to 2012 written by K. Kubota and published by Palgrave Pivot. This book was released on 2015-10-09 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book we analyze the impact of the evolution of the Tokyo Stock Exchange (TSE), at the same time discussing reforms in stock trading by related accounting standards and legal regulations.

Download or read book Securities Trading in the Absence of Dealers written by Yasushi Hamao and published by . This book was released on 1992 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Efficiency of the Japanese Equity Market written by Jun Nagayasu and published by International Monetary Fund. This book was released on 2003-07 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH). The result is valid for all sample periods, suggesting that the recent equity market reform has not produced major efficiency gains.

Download or read book An Empirical Investigation of Stock Markets written by Shigeyuki Hamori and published by Springer. This book was released on 2012-10-03 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Empirical Investigation of Stock Markets: The CCF Approach attempts to make an empirical contribution to the literature on the movements of stock prices in major economies, i.e. Germany, Japan, the UK and the USA. Specifically, the cross-correlation function (CCF) approach is used to analyze the stock market. This volume provides some empirical evidence regarding the economic linkages among a group of different countries. Chapter 2 and Chapter 3 analyze the international linkage of stock prices among Germany, Japan, the UK and the USA. Chapter 2 applies the standard approach, whereas Chapter 3 uses the CCF approach. Chapter 4 analyzes the relationship between stock prices and exchange rates. Chapter 5 analyzes the relationship among stock prices, exchange rates, and real economic activities. Chapter 6 summarizes the main results obtained in each chapter and comments on the possible directions of future research.

Download or read book Journal of Economic Literature written by and published by . This book was released on 2007 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.