Strategy switching in the Japanese stock market

Ryuichi Yamamoto, Hideaki Hirata

研究成果: Article

9 引用 (Scopus)

抜粋

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.

元の言語English
ページ(範囲)2010-2022
ページ数13
ジャーナルJournal of Economic Dynamics and Control
37
発行部数10
DOI
出版物ステータスPublished - 2013 10 1
外部発表Yes

ASJC Scopus subject areas

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

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