Entropy trading strategies reveal inefficiencies in Japanese stock market

Efremidze, Levan; Stanley, Darrol J.; Kownatzki, Clemens

doi:10.1016/j.iref.2021.04.021

Cited by 6 publications

(9 citation statements)

References 46 publications

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“…This suggests that an increase in ETF purchases by the BOJ contributes to an improvement in efficiency due to lower long-range dependence. This follows the findings of Efremidze et al ( 2021 ) that the BOJ purchase programme may have temporarily improved weak-form efficiency of the Japanese market. Net ETF inflows have no impact on the efficiency gap.…”

Section: Resultssupporting

confidence: 90%

“…Up until 2012/ 2013, the BOJ’s programme harms efficiency (a significant positive coefficient), followed by an improvement in efficiency (a significant negative coefficient) until the end of 2016/ 2017, while there is no impact in the final sub-period. Efremidze et al ( 2021 ) also noted that the improvement in weak-form efficiency of the Japanese market due to the BOJ’s monetary policy may have been temporary. Similarly, Hanaeda and Serita ( 2017 ) showed that the impact of the purchasing programme on market volatility varied over time.…”

Section: Resultsmentioning

confidence: 99%

“…Studying the efficiency of the Japanese market, Nagayasu ( 2003 ) documents evidence of long-range dependence in stock returns in violation of the weak-form EMH. Efremidze et al ( 2021 ) also observe evidence against the weak-form EMH. However, their results reveal that the BOJ’s ETF purchases may have, at least temporarily, made markets more weak-form efficient.…”

Section: Literature Reviewmentioning

confidence: 93%

“…Fourth, drawing from the idea of time-varying efficiency under the AMH, our study contributes to further understanding what factors contribute to variation in market efficiency over time. Allied to this, we also build on prior studies of the efficiency of the Japanese market under the AMH (Noda 2016 ; Jiang and Li 2020 ) and EMH (Efremidze et al 2021 ).…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?

Charteris

Steyn²

2023

J Asset Manag

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We examine the impact of the Bank of Japan’s exchange traded fund (ETF) purchases on two aspects of market efficiency—long-range dependence and price delay—of the TOPIX and Nikkei 225 indices. An increase in ETF purchases results in lower long-range dependence for both indices while the impact on the price delay varies according to index and measure. A sub-period analysis shows that the impact on market efficiency varies over time, with the dominant pattern being a delayed harmful effect, followed by a positive impact and thereafter a negative effect. The implications of these findings are discussed.

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Section: Resultssupporting

confidence: 90%

Section: Resultsmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 93%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?

Charteris

Steyn²

2023

J Asset Manag

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show abstract

“…However, a large number of financial anomalies continue to challenge the EMH theory, such as the long memory of financial markets [ 8 ]. With the in-depth follow-up research, many research results show that the real financial market is far from the efficient market [ 9 ]. Many scholars have found that financial markets have fractal nonlinear characteristics, which indicates that financial markets do not conform to the EMH [ 10 , 11 ].…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices

Cai

Peng

et al. 2022

Entropy

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As a typical complex system, the stock market has attracted the attention of scholars and investors to comprehensively understand its fractal characteristics and analyze its market efficiency. Firstly, this paper proposes an asymmetric, detrended fluctuation analysis based on overlapping sliding windows (OSW-A-MFDFA). It reduces the generation of fluctuation errors, and the calculation results are more robust and reliable. The advantage of the OSW-A-MFDFA is that it not only can reveal the multifractal characteristics of time series clearly, but also can further accurately analyze the asymmetry of fractal characteristics under different trends. Secondly, this paper focuses on the variation in the width difference and height difference of the multifractal spectrum under different trends. Finally, based on multifractality, this paper proposes a comprehensive indicator MED that can be used to measure market efficiency, which is characterized by traversing all fluctuation orders. The application revealed many interesting findings in style stock indices. Style stock indices have asymmetric multifractal characteristics, and there are significant differences in the fractal spectrum of different style assets. Moreover, the market efficiency of style stock indices is time-varying, which can be reasonably explained from the perspective of the adaptive market hypothesis.

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Entropy Augmented Asset Pricing Model: Study on Indian Stock Market

Mishra

Barai

2023

Asia-Pac Financ Markets

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Entropy trading strategies reveal inefficiencies in Japanese stock market

Cited by 6 publications

References 46 publications

The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?

The Bank of Japan’s exchange traded fund purchases: a help or hindrance to market efficiency?

Asymmetric Fractal Characteristics and Market Efficiency Analysis of Style Stock Indices

Entropy Augmented Asset Pricing Model: Study on Indian Stock Market

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