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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/75224

    Title: Strategy switching in the Japanese stock market
    Authors: Yamamoto, Ryuichi;Hirata, Hirata H.
    Contributors: 國貿系
    Keywords: Strategy switching;Agent-based modeling;Survey data;Expectations;Japanese stock market
    Date: 2013-10
    Issue Date: 2015-05-21 15:59:49 (UTC+8)
    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. © 2013 Elsevier B.V.
    Relation: Journal of Economic Dynamics and Control, 37(10), 2010-2022
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.jedc.2013.05.006
    DOI: 10.1016/j.jedc.2013.05.006
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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