Fama Semi-strong form
BIS
TOPIX Kamesaka, Nofsinger and Kawakita Choe, Kho and Stulz Grinblatt and Keloharju Kang and Stulz Choe et al. Dahlquist and Robertsson Kalev, Nguyen and Oh Froot and Ramadorai Kamesaka et al. Bae, Yamada and Ito Choe et al. Kamesaka et al. Kalev et al. Bae et al. Shefrin and Statman Odean Barber and Odean Griffin, Harris and Topaloglu
x it VOL t volatility (VOL t) volatility RTNt return RFR it risk free rate EXR t exchange rate DFi dummy variable x it j u error term i i { }t
.... TIY BIY SIY I Y http://www.tse.or.jp/market/data/sector/index.html ETF REIT http://www.tse.or.jp/market/data/sector/file.html
.............................................................................................................. t x itb it S it x it n
... -.. -. -.. -.. n.. VOL t VOL I t Volatility Index Japan S & P VIX VOL H k t TOPIX k Pt TOPIX P _ k k VOL H t http://www-csfi.sigmath.es.osaka-u.ac.jp/
.. RTNtTOPIX TOPIX TOPIX Pt RTNt TOPIX TOPIX
.. RFR t FF FRB RFR t.. EXR t Granger and Newbold Said and Dickey Augmented Dickey-Fuller test ADF.. X t t {X t} AR ( ) http://www.federalreserve.gov/ http://www.stat-search.boj.or.jp/
t t {Xt} Xt Xt t {Xt}.. ADF ADF ADF ADF (p) H c, H c None InterceptTrend & Interceptc t nc c ct ADF FF RFR t RFR t EXR t ADF model None Intercept Trend & Intercept t p t p t p x t -.. -.. -.. x t -.. -.. -.. VOL I t -.. -.. -.. VOL H t -.. -.. -.. RTNt -.. -.. -.. FF RFR t -.. -.. -.. RFR t -.. -.. -.. EXRt -.. -.. -.. n OLS
.. OLS OLS x t z t ã b b ã x _, y _, z _ x t, y t, z t b b b b b ã a.. z t u t Cov (z t, u t) Sargan J Cov (z t, u t).. z t x t z t x t Cragg and Donald Stock and
Yogo Cragg and Donald Stock and Yogo FF RFR trfr t EXRt x it VOL t volatility (VOL t) volatility RTNt return x it u error term VOL t, (VOL t), RTNt, RTNt, RTNt using Implied Volatility p... VOL I t -... (VOL I t )... RTNt... x t... n S.E.R.. J p.. Cragg-Donald F. Stock-Yugo critical values.
using Historical Volatility p... VOL H t -... (VOL H t ) -... RTNt... x t... n S.E.R.. J p.. Cragg-Donald F. Stock-Yugo critical values. using Implied Volatility p -... VOLt I... (VOLt I ) -... RTNt -... x t... n S.E.R.. J p.. Cragg-Donald F. Stock-Yugo critical values. using Historical Volatility p -... VOL H t -... (VOL H t )... RTNt -... x t... n S.E.R.. J p.. Cragg-Donald F. Stock-Yugo critical values.
RSSR RSSURSSU RSSU F r, n r F r n F p using Implied Volatility.. using Historical Volatility.. using Implied Volatility.. using Historical Volatility..
VOL I t (VOL I t ) (..VOL I t ) VOL I t. RTNt x t VOL H t (VOL th ) S.E.R. Choe et al. Kamesaka et al. VOL I t (VOL I t ) (..VOL I t ) VOL I t. RTNt x t H VOL H t (VOL t ) S.E.R.
OLS
- - - - - - EViews RIETI -J- - Bae, K.E.E.H., T. Yamada, and K. Ito ( ) How do Individual, Institutional, and Foreign Investors Win and Lose in Equity Trades? Evidence from Japan, International Review of Finance, Vol., No. -, pp. -. Barber, B.M. and T. Odean ( ) Trading is hazardous to your wealth: The common stock investment performance of individual investors, The Journal of Finance, Vol., No., pp. -. Choe, H., B.C. Kho, and R.M. Stulz ( ) Do foreign investors destabilize stock markets? The Korean experience in, Journal of Financial Economics, Vol., No., pp. -. Cragg, J.G. and S.G. Donald ( ) Testing identifiability and specification in instrumental variable models, Econometric Theory, Vol., pp. -. Dahlquist, M. and G. Robertsson ( ) Direct foreign ownership, institutional investors, and firm characteristics, Journal of Financial Economics, Vol., No., pp. -. Fama, Eugene F ( ) Efficient Capital Markets: A Review of Theory and EmpiricalWork, Journal of Finance, Vol., No., pp. -. Froot, K.A. and T. Ramadorai ( ) The information content of international portfolio flows, Technical report, National Bureau of Economic Research. Granger, C.W.J. and P. Newbold ( ) Spurious regressions in econometrics, Journal of econometrics, Vol., No., pp. -. Griffin, J.M., J.H. Harris, and S. Topaloglu ( ) The dynamics of institutional and individual trading, The Journal of Finance, Vol., No., pp. -. Grinblatt, M. and M. Keloharju ( ) The investment behavior and performance of various investor types: a study of Finland's unique data set, Journal of Financial Economics, Vol., No., pp. -. Kalev, P.S., A.H. Nguyen, and N.Y. Oh ( ) Foreign versus local investors: Who knows more? Who makes
more? Journal of Banking Finance, Vol., No., pp. -. Kamesaka, A., J.R. Nofsinger, and H. Kawakita ( ) Investment patterns and performance of investor groups in Japan, Pacific-Basin Finance Journal, Vol., No., pp. -. Kang, J.K. and R.M. Stulz ( ) Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan, Journal of Financial Economics, Vol., No., pp. -. Odean, T. ( ) Are investors reluctant to realize their losses? The Journal of Finance, Vol., No., pp. -. Said, S.E. and D.A. Dickey ( ) Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, Vol., No., pp. -. Sargan, J.D. ( ) Wages and prices in the United Kingdom: a study in econometric methodology, Econometric analysis for national economic planning, Vol., pp. -. Shefrin, H. and M. Statman ( ) The disposition to sell winners too early and ride losers too long: Theory and evidence, Journal of Finance, Vol., pp. -. Stock, J.H. and M. Yogo ( ) Testing for weak instruments in linear IV regression.