Title
Short-Term Market Efficiency in the Futures Markets: Topix Futures and 10-Year JGB Futures
Document Type
Article
Publication Date
3-1-2006
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.
DOI
10.1016/j.gfj.2006.01.006
MSU Digital Commons Citation
Rentzler, Joel; Tandon, Kishore; and Yu, Susana, "Short-Term Market Efficiency in the Futures Markets: Topix Futures and 10-Year JGB Futures" (2006). Department of Accounting and Finance Faculty Scholarship and Creative Works. 101.
https://digitalcommons.montclair.edu/acctg-finance-facpubs/101