Transitory Price Changes and Price-Limit Rules: Evidence from the Tokyo Stock Exchange

1995 ◽  
Vol 30 (2) ◽  
pp. 313 ◽  
Author(s):  
Thomas J. George ◽  
Chuan-Yang Hwang
Keyword(s):  
Stock Exchange ◽  
Price Changes ◽  
Price Limit ◽  
Tokyo Stock Exchange

scholarly journals Does the CBOE Volatility Index Predict Downside Risk at the Tokyo Stock Exchange?

2016 ◽  
Vol 10 (3) ◽  
pp. 1 ◽  
Author(s):  
Chikashi Tsuji
Keyword(s):  
Stock Price ◽  
Predictive Power ◽  
Price Index ◽  
Stock Exchange ◽  
Downside Risk ◽  
Price Changes ◽  
Volatility Index ◽  
Probit Models ◽  
Tokyo Stock Exchange ◽  
Left Tail

This study investigates the predictability of the preceding day’s US volatility index (VIX) from the Chicago Board Options Exchange (CBOE) for sharp price drops of the Tokyo Stock Price Index (TOPIX) by employing several versions of probit models. All our results indicate that the preceding day’s US S&P 500 VIX movement has predictive power for sharp price declines of the TOPIX in Japan. As we repeatedly examined several left tail risks in TOPIX price changes and we also tested by applying some different versions of probit models, our evidence of the forecast power of the S&P 500 VIX for downside risk of the TOPIX shall be very robust.

Predictable Patterns after Large Stock Price Changes on the Tokyo Stock Exchange

1997 ◽  
Vol 32 (3) ◽  
pp. 345 ◽  
Author(s):  
Marc Bremer ◽  
Takato Hiraki ◽  
Richard J. Sweeney
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Price Changes ◽  
Tokyo Stock Exchange

Low-Latency Trading and Price Discovery Without Trading: Evidence from The Tokyo Stock Exchange Pre-Opening Period

2015 ◽  
Author(s):  
Mario Bellia ◽  
Loriana Pelizzon ◽  
Marti G. Subrahmanyam ◽  
Jun Uno ◽  
Darya Yuferova
Keyword(s):  
Price Discovery ◽  
Stock Exchange ◽  
Low Latency ◽  
Tokyo Stock Exchange
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