Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/volatility-efficiency-and-trading-evidence-from-the-japanese-stock-6IL75zZdX5
References (26)
-
Black Black (1986)
NoiseJournal of Finance, 41
-
L. Harris (1986)
A transaction data study of weekly and intradaily patterns in stock returnsJournal of Financial Economics, 16
-
Y. Amihud, H. Mendelson (1987)
Are Trading Rule Profits Feasible?, 14
-
Roll Roll (1984)
A simple implicit measure of the bid/ask spread in an efficient marketJournal of Finance, 39
-
K. Garbade, W. Silber (1979)
Structural Organization of Secondary Markets: Clearing Frequency, Dealer Activity and Liquidity RiskJournal of Finance, 34
-
K. French, Richard Roll (1986)
Stock return variances: The arrival of information and the reaction of tradersJournal of Financial Economics, 17
-
Y. Amihud, H. Mendelson (1986)
Asset pricing and the bid-ask spreadJournal of Financial Economics, 17
-
H. Mendelson (1982)
MARKET BEHAVIOR IN A CLEARING HOUSEEconometrica, 50
-
Y. Amihud, H. Mendelson (1987)
Trading Mechanisms and Stock Returns: An Empirical InvestigationJournal of Finance, 42
-
R. Kenneth, Roll Richard (1986)
FRENCH, and . Stock return variances: The arrival of information and the reaction of traders, Journal of Financial Economics, , ., 17
-
L. Harris (1989)
A Day-End Transaction Price AnomalyJournal of Financial and Quantitative Analysis, 24
-
H. Stoll, R. Whaley (1990)
Stock Market Structure and VolatilityReview of Financial Studies, 3
-
Amihud Amihud, Haim Haim (1988)
Liquidity, volatility and exchange automationJournal of Accounting, Auditing and Finance, 3
-
L. Lockwood, S. Linn (1990)
An Examination of Stock Market Return Volatility During Overnight and Intraday Periods -
Y. Amihud, H. Mendelson (1991)
European financial integration: How (not) to integrate the European capital markets -
Y. Amihud, T. Ho, R. Schwartz (1985)
Market Making and the Changing Structure of the Securities Industry -
Y. Amihud, H. Mendelson (1989)
The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock ReturnsJournal of Finance, 44
-
Michael Barclay, R. Litzenberger, Jerold Warner (1990)
Private information, trading volume, and stock-return variancesReview of Financial Studies, 3
-
Richard Roll (1984)
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient MarketJournal of Finance, 39
-
Y. Amihud, H. Mendelson (1991)
Liquidity, Maturity, and the Yields on U.S. Treasury SecuritiesJournal of Finance, 46
-
Y. Amihud, H. Mendelson (1989)
Market microstructure and price discovery on the Tokyo Stock ExchangeJapan and the World Economy, 1
-
Fama Fama (1970)
Efficient capital markets: A review of theory and empirical workJournal of Finance, 25
-
H. Mendelson (1985)
Random competitive exchange: Price distributions and gains from tradeJournal of Economic Theory, 37
-
Y. Amihud, H. Mendelson, Maurizio Murgia (1990)
Stock market microstructure and return volatility : Evidence from ItalyJournal of Banking and Finance, 14
-
H. Mendelson (1987)
Consolidation, Fragmentation, and Market PerformanceJournal of Financial and Quantitative Analysis, 22
-
R. Wood, Thomas Mcinish, J. Ord (1985)
An Investigation of Transactions Data for NYSE StocksJournal of Finance, 40
- Publisher
- Wiley
- Copyright
- 1991 The American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/j.1540-6261.1991.tb04643.x
- Publisher site
- See Article on Publisher Site
Abstract
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.
Journal
The Journal of Finance – Wiley
Published: Dec 1, 1991