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Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market

โœ Scribed by Amihud, Yakov; Mendelson, Haim

Book ID
125814389
Publisher
John Wiley and Sons
Year
1991
Tongue
English
Weight
509 KB
Volume
46
Category
Article
ISSN
0022-1082

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In this study, we have investigated sudden changes in volatility and re-examined the persistence of volatility in Japanese and Korean stock markets during 1986-2008. Using the iterated cumulative sums of squares (ICSS) algorithm, we have determined that the identification of sudden changes is genera