Strategy switching in the Japanese stock market

Ryuichi Yamamoto, Hideaki Hirata

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the buy-side and sell-side professionals use either fundamental or trend-following strategies throughout their expectation formation processes and that they switch between fundamental and trend-following strategies over time. We also discuss that strategy switching can be key in understanding the persistent deviation of the TOPIX from the fundamentals.

Original languageEnglish
Pages (from-to)2010-2022
Number of pages13
JournalJournal of Economic Dynamics and Control
Volume37
Issue number10
DOIs
Publication statusPublished - 2013 Oct 1

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Keywords

  • Agent-based modeling
  • Expectations
  • Japanese stock market
  • Strategy switching
  • Survey data

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

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