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We investigate whether the activity of financial firms creates value and/or risk to the economy within the asset pricing framework. We use stock return data from nonfinancial firms listed in the first section of the Tokyo Stock Exchange. The value-weighted index that is solely composed of...
This paper examines price linkages among Asian equity markets in the period surrounding the recent Asian economic, financial and currency crises. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand)...
Many studies show that the use of technical analysis can generate excess returns. We test the “CRISMA” technical trading rule introduced by [Pruitt and White J. Portfolio Managt. Spring, 1988, 55–58] on global equity indices and common stocks in Hong Kong. Out study shows that no excess returns...
In this paper, we propose a dynamic bond pricing model and report the usefulness of our bond pricing model based on analysis of Japanese Government bond price data. We extend the concept of the time dependent Markov (TDM) model proposed by Kariya and Tsuda (Financial Engineering and the Japanese...
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