International linkages of the Japanese stock market

Terence Tai-Leung Chong; Ying-Chiu Wong; Isabel Kit-Ming Yan

doi:10.1016/j.japwor.2007.06.004

International linkages of the Japanese stock market

Terence Tai-Leung Chong
, Ying-Chiu Wong
, Isabel Kit-Ming Yan

Department of Economics and Finance

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

8 Citations (Scopus)

Abstract

Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead-lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session can be used to formulate profitable strategies to trade in Nikkei. © 2007 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	601-621
Journal	Japan and the World Economy
Volume	20
Issue number	4
DOIs	https://doi.org/10.1016/j.japwor.2007.06.004
Publication status	Published - Dec 2008

Research Keywords

International linkages
Japanese stock market

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10.1016/j.japwor.2007.06.004

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title = "International linkages of the Japanese stock market",

abstract = "Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead-lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session can be used to formulate profitable strategies to trade in Nikkei. {\textcopyright} 2007 Elsevier B.V. All rights reserved.",

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author = "Chong, \{Terence Tai-Leung\} and Ying-Chiu Wong and Yan, \{Isabel Kit-Ming\}",

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T1 - International linkages of the Japanese stock market

AU - Chong, Terence Tai-Leung

AU - Wong, Ying-Chiu

AU - Yan, Isabel Kit-Ming

PY - 2008/12

Y1 - 2008/12

N2 - Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead-lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session can be used to formulate profitable strategies to trade in Nikkei. © 2007 Elsevier B.V. All rights reserved.

AB - Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead-lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session can be used to formulate profitable strategies to trade in Nikkei. © 2007 Elsevier B.V. All rights reserved.

KW - International linkages

KW - Japanese stock market

UR - https://www.scopus.com/pages/publications/45449092966

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-45449092966&origin=recordpage

U2 - 10.1016/j.japwor.2007.06.004

DO - 10.1016/j.japwor.2007.06.004

M3 - RGC 21 - Publication in refereed journal

SN - 0922-1425

VL - 20

SP - 601

EP - 621

JO - Japan and the World Economy

JF - Japan and the World Economy

IS - 4

ER -

International linkages of the Japanese stock market

Abstract

Research Keywords

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