News and Market Efficiency in the Japanese Stock Market
News and Market Efficiency in the Japanese Stock Market
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DOI：
10.1080/15427560.2020.1774886
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发表时间：
2020-06-04
影响因子：
1.9
通讯作者：
Du, Wenti
中科院分区：
文献类型：
--
作者：
Du, Wenti
经济学家一直在争论市场对新闻的反应是否偏离了有效市场假说（EMH）的预测。本文使用汤森路透社市场心理指数的情绪指数和意外指数，并使用EMT模型，考察了1998年1月5日至2017年12月29日期间日经225指数收盘价对各种消息的反应，以及这些反应是否与EMH的预测一致。在整个样本中确定了三个子时期，然后在子时期之间检查和比较市场对新闻的反应。
Economists have debated whether market reactions to news depart from the predictions of the efficient market hypothesis (EMH). This article uses the sentiment index and the surprise index from the Thomson Reuters MarketPsych Indices and an ARCH model to investigate the reactions of the return of the Nikkei 225 closing price to different types of news between January 5, 1998 and December 29, 2017, and whether those responses are consistent with the predictions of the EMH. Three sub-periods during the full sample are identified, and the market reactions to the news are then examined and compared among the sub-periods.