Abstract: World Scientific Series in FinanceCalendar Anomalies and Arbitrage, pp. 321-342 (2012) No AccessDay of the Week Effects in Japanese StocksKiyoshi Kato, Sandra L. Schwartz, and William T. ZiembaKiyoshi KatoNanzan University, Japan, Sandra L. SchwartzUniversity of Tsukuba, Japan, and William T. ZiembaYamaichi Research Institute, Tokyo University of Tsukuba, JapanUniversity of British Columbia, CanadaWithout implicating them William T. Ziemba would like to thank his colleagues, particularly A. Komatsu and H. Shintani at the Yamaichi Research Institute for their help and useful discussions on anomalous behavior in Japanese security markets. This research was supported by the Yamaichi Research Institute and by a grant from the Centre for international Business Studies. University of British Columbia. Willaim T. Ziemba's research on this topic was conducted at the Yamaichi Research Institute and he thanks the institute for permission to publish the new results. This paper is a modified version of a chapter in Ziemba and Schwartz (1990).https://doi.org/10.1142/9789814405461_0013Cited by:5 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: Many of the anomalies in the U.S. markets also occur in Japan. Although literature on Japanese stock market anomalies is just starting to be written, we do have some good independent studies of interday and day of the week, small firm, and January effects, as well as the development of data bases and arbitrage pricing equations. In this paper, we survey several studies on the day of the week effect.1 Other anomalies are discussed in Ziemba (1989ab). For other aspects of the Japanese stock market see Ziemba (1989c) and Ziemba and Schwartz (1990)… FiguresReferencesRelatedDetailsCited By 5Analysis of Selected Seasonality Effects in the Following Metal Markets: Gold, Silver, Platinum, Palladium and CopperKrzysztof Borowski and Malgorzata Lukasik1 Jan 2015 | SSRN Electronic Journal, Vol. 2Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity ExchangeKrzysztof Borowski1 Jan 2015 | SSRN Electronic Journal, Vol. 5Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random ForestManish Kumar and Thenmozhi M.1 Jan 2006 | SSRN Electronic Journal, Vol. 31Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock IndexAn-Sing Chen, Hazem Daouk and Mark T. Leung1 Jan 2001 | SSRN Electronic Journal, Vol. 17Global and Relative Over- and Underreactions in International Stock Market IndexesOliver Schnusenberg and Jeff Madura1 Jan 2000 | SSRN Electronic Journal, Vol. 21 Calendar Anomalies and ArbitrageMetrics History PDF download
Publication Year: 2012
Publication Date: 2012-07-25
Language: en
Type: book-chapter
Indexed In: ['crossref']
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Cited By Count: 8
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