Short-term market efficiency in the futures markets

TOPIX futures and 10-year JGB futures

Joel Rentzler, Kishore Tandon, Susana Yu

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Abstract

This paper examines the effect of the past price information on the two major futures contracts traded on the Tokyo Stock Exchange: the TOPIX futures and the 10-year JGB futures. The unique 90-min lunch break on the exchange creates two mini-sessions in each calendar-trading day. This paper compares these contracts between the morning and afternoon sessions. In addition, percentage-returns and tick-size-returns are used to measure the intraday price movements following past price performance. These futures contracts present evidence of short-term market inefficiency over the period 1994 to 2003.

Original languageEnglish
Pages (from-to)330-353
Number of pages24
JournalGlobal Finance Journal
Volume16
Issue number3
DOIs
StatePublished - 1 Mar 2006

Fingerprint

Market efficiency
Futures markets
Futures contracts
Tokyo Stock Exchange
Market inefficiency
Tick size
Calendar

Keywords

  • Index futures
  • Market efficiency
  • Overreaction

Cite this

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Short-term market efficiency in the futures markets : TOPIX futures and 10-year JGB futures. / Rentzler, Joel; Tandon, Kishore; Yu, Susana.

In: Global Finance Journal, Vol. 16, No. 3, 01.03.2006, p. 330-353.

Research output: Contribution to journalArticleResearchpeer-review

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