Abstract
Applying S. Taylor's approach (1986), we make an extensive analysis on the Japanese stock market, foreign exchange market and the Japanese Government Bond Futures market. The purpose of this paper is to empirically reveal the structure of the Japanese markets via Taylor's model rather than to propose a new model. For this reason, we include a variety of analyzed data particularly for the Japanese stock market and the foreign exchange market because the results can be used in a different manner. The paper consists of three parts. But each part can be read separately.
Part 1: Overshooting hypothesis for Japanese stock prices
Part 2: A trend movement in daily/weekly Yen-Dollar exchange rates
Part 3: Price variations of Japanese Government Futures.
In the first part, the stock prices are shown to over-respond to new information, which is different from the behaviors of stock prices in other markets. In Part 2, a trend movement is revealed in Yen-Dollar exchange rates. In Part 3, a strategy in the Japanese Government Bond futures markets is shown to perform better than a buy and hold strategy.
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Kariya, T., Tsukuda, Y., Maru, J. et al. An extensive analysis on the Japanese markets via S. Taylor's model. Financial Engineering and the Japanese Markets 2, 15–86 (1995). https://doi.org/10.1007/BF02425229
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DOI: https://doi.org/10.1007/BF02425229