Identifying permanent and temporary components in daily and monthly Japanese stock prices

Asia-Pacific Financial Markets

Volumn 4, Issue 3, 1997, Pages 233-256

  Bonnie, Ray ^a   Chen, Shaw ^b   Jarrett, Jeffrey ^b  

^a NEW JERSEY INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF RHODE ISLAND   (United States)

Author keywords

ARFIMA model; Canonical correlation; Japanese stock prices; Persistence; TOPIX

Indexed keywords

EID: 53249121907     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (44)

1. Aydogan, K. and Booth, G. (1988), Are there long cycles in common stock returns? Southern Economic Journal 55, 141-149.
2. Amihud, Y. and Mendelson, H. (1991), Volatility, efficiency, and trading: Evidence from the Japanese stock market, Journal of Finance; 46, 1765-1789.
3. Bailey, W. and Stulz, R.M. (1990), Benefits of international diversification: the case of Pacific-Basin stock markets, Journal of Portfolio Management, 57-61.
4. Bailey, W., Stulz, R.M. and Yen, S. (1990), Properties of daily stock returns from the Pacific-Basin stock markets: Evidence and implications, in Pacific Basin Capital Markets Research, Vol. I, S.G. Rhee and R.P. Chang (eds.), North-Holland, 155-171.
5. Banz, R. (1981), The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
6. Bard, Y. (1974), Nonlinear Parameter Estimation, Academic Press, New York.
7. Box, G.E.P. and Pierce, D.A. (1970), Distribution of residual autocorrelations in autoregressive-integrated moving average time series models, Journal of the American Statistical Association 65, 1509-1526.
8. Brenner, M. and Subrahmanyam, M.G. (1989), The behavior of prices in the NIKKEI spot and futures market, Journal of Financial Economics 23, 363-383.
9. Campbell, J.Y. and Hamao, Y. (1992), Predictable stock returns in the United States and Japan: A study of long-term capital market integration, Journal of Finance 47, 43-69.
10. Chen, S., Jarrett, J. and Rhee, S.G. (1995), The impact of futures trading on cash market volatility: Evidence from the Tokyo Stock Exchange, in Research in International Business and Finance, T. Bed (eds.), JAI Press.
11. Cheung, Y.-W. (1903), Long memory in foreign exchange rates, Journal of Business and Economic Statistic 11, 93-101.
12. Cheung, Y.-W., He, J. and Ng, L. (1994), Pacific Basin stock markets and real activity, Pacific-Basin Finance Journal 2, 349-373.
13. Cho, D.C., Eun, S. and Senbet, L. (1986), International asset pricing theory: An empirical investigation, Journal of Finance 41, 313-330.
14. Constand, R.L., Freitas, L.P. and Sullivan, M.J. (1991), Factors affecting price earnings ratios and market values of Japanese firms, Financial Management 20, 68-79.
15. Crato, N. (1993), Some international evidence regarding the stochastic memory of stock returns, Applied Financial Economics, forthcoming.
16. Davies, R. and Harte, D. (1987), Tests for Hurst effect, Biometrika, 95-101.
17. Diebold, F. and Rudebusch, C. (1989), Long memory and persistence in aggregate output. Journal of International Economics 24, 189-209.
18. Fama, E. (1970), Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383-417.
19. Fama, E. and French, K. (1998), Permanent and temporary components of stock prices, Journal of Political Economy 96, 246-273.
20. French, K.R. and Poterba, J.M. (1991), Were Japanese stock prices too high? Journal of Financial Economics 29, 337-363.
21. Geweke, J. and Porter-Hudak, S. (1983), The estimation and application of long memory time series models, Journal of Time Series Analysis 4, 221-238.
22. Granger, C.W.J. (1992), Forecasting stock market prices: Lessons for forecasters, Int. J. Forecasting 8, 3-13.
23. Grander, C.W.J. and Joyeux, R. (1980), An introduction to long memory time series model and fractional differencing, Journal of Time Series Analysis 1, 15-29.
24. Greene, M. and Fielitz, B. (1977), Long-term dependence in common stock returns, Journal of Financial Economics 4, 339-349.
25. Hamao, Y. (1989), Japanese stocks, bonds, bills, and inflation, 1973-87, Journal of Portfolio Management, Winter, 20-26.
26. Hardouvelis, G.A. and Peristiani, P. (1992), Margin requirements, speculative trading, and stock price fluctuations: The case of Japan. Quarterly Journal of Economics 107, 1333-1370.
27. Hosking, J.R.M. (1981), Fractional differencing, Biometrika 68, 165-176.
28. Hosking, J.R.M. (1984), Modeling persistence in hydrological time series using fractional differencing, Water Resources Research 20, 1898-1908.
29. Hurst, H. (1951), Long-term storage capacity of reservoirs, Transactions of the American Society of Civil Engineers 116, 770-808.
30. Kato, K. (1990a), Weekly patterns in Japanese stock returns, Management Science 36, 1031-1043.
31. Kato, K. (1990b), Being a winner in the Tokyo Stock Market, Journal of Portfolio Management 16, 52-56.
32. Li, W.K. and McLeod, A.I. (1986), Fractional time series modelling, Biometrika 73, 217-221.
33. Lo, A. (1992), Long-term memory in stock market prices, Econometrica 59, 1279-1313.
34. Mandelbrot, B. (1963), The variation of certain speculative prices, Journal of Finance 26, 394-419.
35. Ng, V., Chang, R. and Chou, R. (1991), An examination of the behavior of the Pacific-Basin stock market volatility, in Pacific-Basin Capital Markets Research, Vol. II, S.G. Rhee and R.P. Chang (eds.), North Holland, 245-260.
36. Ouliaris, S. and Phoon, K-F. (1992), Long-term memory in international stock market returns, presented at 1992 Pacific Basin Finance Conference, Hong Kong, July, 1992.
37. PACAP Research Center (1991), User Guide: Pacific Basin Capital Markets Databases, University of Rhode Island.
38. Poterba, J. and Summers, L. (1988), Mean reversion in stock returns: Evidence and implications, Journal of Financial Economics 22, 27-59.
39. Porter-Hudak, S. (1990), An application of the seasonal fractionally differenced model to the monetary aggregates, Journal of the American Statistical Association 85, 338-344.
40. Richardson, M. (1993), Temporary components of stock prices: A skeptic's view, Journal of Business and Economic Statistics 11, 199-208.
41. Sowell, F. (1992), Maximum likelihood estimation of stationary univariate fractionally integrated time series models, Journal of Econometrics 53, 165-188.
42. Tiao, G. and Tsay, R. (1989), Model specification in multivariate time series (with discussion), Journal of the Royal Statistical Society, Series B 51, 157-213.
43. Tsay, R. (1990), Correlation transformation and components of stock prices, Technical Report, Statistical Research Center, Graduate School of Business, University of Chicago.
44. Ziemba, W.T., Bailey, W. and Hamao, Y. (eds.) (1991), Japanese Financial Market Research, North Holland: Amsterdam, London, New York.