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Publication year
Volatility, Efficiency, and Trading: Evidence From the Japanese Stock Market.
Resource type
Authors/contributors
- Amihud, Yakov (Author)
- Mendelson, Haim (Author)
Title
Volatility, Efficiency, and Trading: Evidence From the Japanese Stock Market.
Abstract
The authors 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 them 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.
Publication
The Journal of Finance
Volume
46
Issue
5
Pages
1765-89
Date
1991-12
Citation
Amihud, Y., & Mendelson, H. (1991). Volatility, Efficiency, and Trading: Evidence From the Japanese Stock Market. The Journal of Finance, 46, 1765–1789.
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