Modeling trading behavior in the Japanese stock market during QE tapering and post-QE exit

DOI10.1007/S10690-019-09272-6zbMATH Open1425.91444OpenAlexW2937616651WikidataQ128206622 ScholiaQ128206622MaRDI QIDQ2011040FDOQ2011040

Authors: Wee-Yeap Lau, Tien-Ming Yip 

Publication date: 28 November 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-019-09272-6

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zbMATH Keywords

Japanmarket microstructurequantitative easingshort-sellingforeign investors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Testing for a unit root in time series regression
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

Cited In (2)

• Trading behaviour of foreign institutional investors: evidence from Indian stock markets
• Investment behavior of retail investors in response to COVID-19 economic impact payments

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