Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects

Abstract This paper investigates evidence on several seasonal regularities in the security price returns on the Tokyo Stock Exchange. The study uses data on the NSA and TOPIX market indices from 1949–1988. Results are presented concerning monthly, turn-of-the-month and first-half-of-the-month, turn-of-the-year, holiday and golden week effects on theTSE.

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