Premium
Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market
Author(s) -
AMIHUD YAKOV,
MENDELSON HAIM
Publication year - 1991
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1991.tb04643.x
Subject(s) - clearing , database transaction , stock exchange , monetary economics , volatility (finance) , stock (firearms) , closing (real estate) , financial economics , transaction data , trading strategy , market clearing , business , economics , finance , computer science , microeconomics , database , engineering , mechanical engineering
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.