Department of Finance, Temple University, Department of Finance, University of Illinois, and Department of Finance, Real Estate and Decision Sciences, The Wichita State University, respectively. We are grateful for comments and suggestions received from Jay Choi, Joe Friedman, Ralph Greenberg, Joanne Hill, the editor René Stulz, Alan Tucker, and, in particular, an anonymous referee. Thanks also to Bryan Sadoff and Hiroharu Tanaka for making data available and to Kazu Maeda and Minoru Terada for providing institutional details of the Japanese equity markets.
The Intertemporal Relation Between the U.S. and Japanese Stock Markets
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 4, pages 1297–1306, September 1990
How to Cite
BECKER, K. G., FINNERTY, J. E. and GUPTA, M. (1990), The Intertemporal Relation Between the U.S. and Japanese Stock Markets. The Journal of Finance, 45: 1297–1306. doi: 10.1111/j.1540-6261.1990.tb02438.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
This paper finds a high correlation between the open to close returns for U.S. stocks in the previous trading day and the Japanese equity market performance in the current period. In contrast, the Japanese market has only a small impact on the U.S. return in the current period. High correlations among open to close returns are a violation of the efficient market hypothesis; however, in trading simulations, the excess profits in Japan vanish when transactions costs and transfer taxes are included.