Strategy switching in the Japanese stock market

Authored by Ryuichi Yamamoto, Hideaki Hirata

Date Published: 2013-10

DOI: 10.1016/j.jedc.2013.05.006

Sponsors: National Science Council of Taiwan

Platforms: No platforms listed

Model Documentation: Other Narrative Mathematical description

Model Code URLs: Model code not found

Abstract

This paper investigates the expectation formation process of Japanese stock market professionals. By utilizing a monthly forecast survey dataset on the TOPIX distributed by QUICK Corporation, we sort forecasters into buy-side and sell-side professionals. We empirically demonstrate that the buy-side and sell-side professionals use either fundamental or trend-following strategies throughout their expectation formation processes and that they switch between fundamental and trend-following strategies over time. We also discuss that strategy switching can be key in understanding the persistent deviation of the TOPIX from the fundamentals. (c) 2013 Elsevier B.V. All rights reserved.

Tags

Agent-based modeling Expectations Japanese stock market Strategy switching Survey data