TY - JOUR
T1 - Strategy switching in the Japanese stock market
AU - Yamamoto, Ryuichi
AU - Hirata, Hideaki
N1 - Funding Information:
The authors are grateful to Cars Hommes (the Editor), two anonymous referees, Naoki Kishimoto, Blake LeBaron, Hidetoshi Ohashi, Carol Osler, and Stefan Reitz, who provided useful suggestions and feedback on an earlier draft. This paper has also benefitted from comments by participants at the 5th annual meeting of the Association of Behavioral Economics and Finance (Hyogo, Japan) and the 17th Annual Conference on Computing in Economics and Finance (CEF 2011) (San Francisco, USA), and research seminars at Brandeis University, Chuo University, Hosei University, the Institute of Statistical Mathematics, National Taiwan University, Tunghai University, Waseda University, and Yokohama National University. Ryuichi Yamamoto gratefully acknowledges financial support from the National Science Council (Grant no. NSC100-2410-H-004–079-MY2 ).
PY - 2013/10
Y1 - 2013/10
N2 - 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.
AB - 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.
KW - Agent-based modeling
KW - Expectations
KW - Japanese stock market
KW - Strategy switching
KW - Survey data
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U2 - 10.1016/j.jedc.2013.05.006
DO - 10.1016/j.jedc.2013.05.006
M3 - Article
AN - SCOPUS:84880701955
SN - 0165-1889
VL - 37
SP - 2010
EP - 2022
JO - Journal of Economic Dynamics and Control
JF - Journal of Economic Dynamics and Control
IS - 10
ER -