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

DOI10.1007/s10690-019-09272-6zbMath1425.91444OpenAlexW2937616651WikidataQ128206622 ScholiaQ128206622MaRDI QIDQ2011040

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

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

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