Strategy switching in the Japanese stock market

Ryuichi Yamamoto*, Hideaki Hirata

*この研究の対応する著者

研究成果: Article査読

10 被引用数 (Scopus)

抄録

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.

本文言語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
10
DOI
出版ステータスPublished - 2013 10
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学
  • 制御と最適化
  • 応用数学

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