The Intertemporal relationship of the U.S. and Japanese stock markets: Evidence from the 21st century
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School of Business |
Bachelor's thesis
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Authors
Date
2019
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Degree programme
Rahoitus
Language
en
Pages
18+5
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Abstract
This study introduces new evidence of stock market relations between U.S and Japan from the 21st century by examining the lead lag relationship between the Tokyo Stock Exchange and the New York Stock Exchange over the last two decades. Evidence is found that traders can predict the future performance of Nikkei 225 Index using past return data of S&P 500. Correlations among open to close returns are a violation of the efficient market hypothesis, however profitable trading strategies are highly sensitive to changes in transaction costs and dependent of the phase of the ongoing economical cycle.Description
Thesis advisor
Joenväärä, JuhaKeywords
International linkages, Japanese stock market, U.S. stock market, Trading simulation